Partisan Return Gap: The Polarized Stock Market in the Time of a Pandemic

• 成果类型: Article
• 署名作者: Sheng, Jinfei; Sun, Zheng; Wang, Wanyi
• 署名单位: University of California System; University of California Irvine
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2023.4913
• 发表日期: 2024
• 页码: 5091-5114
• 关键词: Partisanship; stock returns; pandemic; Covid-19; political polarization; political finance; Social finance

摘要

Using two proxies for investors' political affiliation, we document sharp differences in stock returns between firms likely dominated by Democratic investors (blue stocks) and those dominated by Republican investors (red stocks) during the COVID pandemic. Red stocks have 20 basis points higher risk-adjusted returns than blue stocks on COVID news days (Partisan Return Gap). Lockdown policies, COVID cases, industry and firm fundamentals only explain at most 40% of the return gap. Polarized political beliefs about COVID, revealed through people's social distancing behavior, contribute to about 40% of the return gap beyond the fundamental channel. Our paper provides partisanship as a novel aspect in understanding abnormal stock returns during the pandemic.