Terrorism and international stock returns

Paresh Kumar Narayan,Seema Narayan,Dinh Hoang Bach Phan

Journal of International Financial Markets, Institutions and Money（2022）

引用 4|浏览2

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摘要

•We develop a terrorism risk factor and show its statistical and economic relevance to stock returns.•Our terrorism factor has a strong contemporaneous effect on countries’ stock returns.•Our factor is able to predict returns for approximately 53% of the countries in our sample.•The source of this predictability is via both the discount rate and cash flow channels.

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关键词

Terrorism,Stock returns,Predictability,Time-series,Robustness test

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