Economic Policy Uncertainty, Macroeconomic Environment and Stock Price Crash Risk : Evidence from China

This paper examines how the macroeconomic environment affects crash risk-policy uncertainty sensitivity. We document that policy uncertainty heightens crash risk, while economic growth diminishes crash risk-policy uncertainty sensitivity through the managers’ policy risk perception channel. And the moderating effect of economic growth is amplified for nonSOEs and firms with weaker managerial ability, higher managerial ownership, and lower media attention, which further confirms the risk perception channel. We emphasize that risk perception bias is the primary determinant that crash risk-policy uncertainty sensitivity exhibits heterogeneity in different macroeconomic environments