This study investigates the asset pricing implications of war risks in global stock markets. We employ a novel war discourse index developed by Hirshleifer et al. (2023a), which captures market attention to war through news. Extending this approach to both developed and emerging markets, we uncover a significantly positive relation between war risks and global stock market excess returns, which is robust to a range of sensitivity checks. Our findings indicate that investor attention to war risks significantly influences equity premium in global markets.

中文翻译：

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战争话语和全球股票回报


本研究调查了全球股市战争风险对资产定价的影响。我们采用了 Hirshleifer 等人 （2023a） 开发的新型战争话语指数，该指数通过新闻捕捉市场对战争的关注。将这种方法扩展到发达市场和新兴市场，我们发现战争风险与全球股市超额回报之间存在显著的正相关关系，这在一系列敏感性检查中是稳健的。我们的研究结果表明，投资者对战争风险的关注显著影响全球市场的股票溢价。