Aggregate and Idiosyncratic Political Risk : Measurement and Effects ∗

@inproceedings{Hassan2016AggregateAI,
  title={Aggregate and Idiosyncratic Political Risk : Measurement and Effects ∗},
  author={Tarek A. Hassan and Stephan Hollander and Laurence van Lent and Ahmed Tahoun},
  year={2016}
}
We propose a new measure of political risk faced by individual US-firms based on textual analysis of earnings conference call transcripts: the share of the conversation between management and analysts that is devoted to political topics. Our measure correlates significantly with firm-level stock return volatility, even after controlling for firm and time fixed effects. We find that increases in idiosyncratic political risk are associated with decreases in investment and hiring, and that the… CONTINUE READING