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The 2000 presidential election and the information cost of sensitive versus non-sensitive S&P 500 stocks

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发布日期：2009年10月14日上次修订日期：2009年10月14日

Yan He Indiana University Southeast Hai Lin Xiamen University Chunchi Wu University of Missouri at Columbia Uric B. Dufrene Indiana University Southeast

摘要

We investigate the information cost of stock trading during the 2000 presidential election. We find that the uncertainty of the election induces information asymmetry of politically sensitive firms under the Bush/Gore platforms. The unusual delay in election results in a significant increase in the adverse selection component of trading cost of politically sensitive stocks. Cross-sectional variations in bid-ask spreads are significantly and positively related to changes in information cost, controlling for the effects of liquidity cost and stock characteristics. This empirical evidence is robust to different estimation methods.

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关键词：

Presidential election information asymmetry transaction costs bid-ask spreads adverse selection cost

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