The smog that hovers: Air pollution and asset prices

Guo, Lei; Han, Xing; Li, Youwei

Abstract

Air pollution affects mental well-being (mood) and amplifies behavioral biases. We test the adverse impact of air pollution on asset prices through the lens of dual-listed stocks. Using regression analysis and difference-in-differences tests, we document that a sharp increase of air pollution (in one location) leads to an immediate deterioration of the price parity of dual-listed shares, which is consistent with the air pollution-induced depressive symptoms. Moreover, increased institutional ownership attenuates the adverse impact of air pollution on asset prices, as institutions are less susceptible to air pollution-induced symptoms than individuals.

Citation

Guo, L., Han, X., & Li, Y. (2023). The smog that hovers: Air pollution and asset prices. Finance research letters, Article 103633. https://doi.org/10.1016/j.frl.2023.103633

• Journal Article Type: Article
• Acceptance Date: Jan 6, 2023
• Online Publication Date: Jan 7, 2023
• Publication Date: 2023
• Deposit Date: Jan 11, 2023
• Publicly Available Date: Jan 8, 2024
• Journal: Finance Research Letters
• Print ISSN: 1544-6123
• Publisher: Elsevier
• Peer Reviewed: Peer Reviewed
• Article Number: 103633
• DOI: https://doi.org/10.1016/j.frl.2023.103633
• Keywords: Finance
• Public URL: https://hull-repository.worktribe.com/output/4174838