Laurence van Lent
Frankfurt School of Finance and Management
60322 Frankfurt am Main
Institutional Affiliation: Frankfurt School of Finance and Management
NBER Working Papers and Publications
|January 2020||The Global Impact of Brexit Uncertainty|
with Tarek Alexander Hassan, Stephan Hollander, Ahmed Tahoun: w26609
Using tools from computational linguistics, we construct new measures of the impact of Brexit on listed firms in the United States and around the world; these measures are based on the proportion of discussions in quarterly earnings conference calls on the costs, benefits, and risks associated with the UK's intention to leave the EU. We identify which firms expect to gain or lose from Brexit and which are most affected by Brexit uncertainty. We then estimate effects of the different types of Brexit exposure on firm-level outcomes. We find that the impact of Brexit-related uncertainty extends far beyond British or even European firms; US and international firms most exposed to Brexit uncertainty lost a substantial fraction of their market value and have also reduced hiring and investment. I...
|November 2017||Firm-Level Political Risk: Measurement and Effects|
with Tarek A. Hassan, Stephan Hollander, Ahmed Tahoun: w24029
We adapt simple tools from computational linguistics to construct a new measure of political risk faced by individual US firms: the share of their quarterly earnings conference calls that they devote to political risks. We validate our measure by showing it correctly identifies calls containing extensive conversations on risks that are political in nature, that it varies intuitively over time and across sectors, and that it correlates with the firm’s actions and stock market volatility in a manner that is highly indicative of political risk. Firms exposed to political risk retrench hiring and investment and actively lobby and donate to politicians. These results continue to hold after controlling for news about the mean (as opposed to the variance) of political shocks. Interestingly, the v...
Published: Tarek A Hassan & Stephan Hollander & Laurence van Lent & Ahmed Tahoun, 2019. "Firm-Level Political Risk: Measurement and Effects*," The Quarterly Journal of Economics, vol 134(4), pages 2135-2202. citation courtesy of