Firm-level reactions to trade policy risk: Evidence from the S&P 500
研究标普500企业在2025年4月关税公告和8月执行时的短期股市反应，发现公告日出现剧烈且异质的损失，执行日部分恢复，且企业特征影响风险暴露。
This paper investigates the short-term equity market response to the April 2025 “Liberation Day” tariff announcement and the subsequent August 2025 enforcement. Using event-study methods and panel regressions on S&P500 firms, we document sharp and heterogeneous losses at announcement, most severe in trade-exposed sectors and among smaller firms, followed by partial recovery at implementation, when realized tariffs were less stringent than initially signalled. Placebo tests corroborate the causal interpretation, while impulse-response analysis highlights asymmetric effects across financial sub-sectors. Overall, the evidence supports semi-strong market efficiency and underscores the role of firm characteristics in shaping exposure to trade-policy risk. The findings provide insight into how markets price trade policy risk and offer implications for policymakers. • Asymmetric market reactions. The April 2025 tariff announcement generated sharp negative abnormal returns across S&P500 firms, while the August enforcement produced modest positive adjustments, reflecting anticipatory pricing and partial relief once realized tariffs proved less severe. • Sectoral heterogeneity. Trade-exposed sectors such as Energy, Information Technology, and Materials suffered the largest losses at announcement but rebounded at enforcement, whereas defensive industries displayed greater resilience, highlighting heterogeneous exposure to global supply chains. • Firm characteristics. Smaller and less liquid firms experienced disproportionately negative returns, underscoring that market capitalization and liquidity buffers mitigate vulnerability to politically salient policy shocks. • Financial sub-sectors. Banks faced persistent adverse effects, while fintech firms, though more volatile, adjusted more swiftly, reflecting divergent transmission channels of trade policy uncertainty within the financial sector. • Market efficiency. Placebo tests confirm the absence of pre-trends, supporting the interpretation of tariffs as unanticipated shocks and reinforcing the semi-strong form of market efficiency in processing politically relevant trade-policy events.