Name
Social Unrest as a Risk Factor: Cross-Sectional Evidence and Evolving Investor Perceptions
Date & Time
Monday, July 6, 2026, 4:15 PM - 4:40 PM
Description
Social unrest has re-emerged as a systemic risk, but its role in asset pricing remains underexplored. We test whether social unrest risk is priced in U.S. equities by estimating firm--level sensitivities to the Reported Social Unrest Index (RSUI). We find that stocks with positive RSUI co--movement (unrest--hedging stocks) significantly outperform those with negative RSUI co--movement (unrest--risky stocks) prior to 2021, and this spread is not explained by other common asset pricing factors, suggesting that social unrest was not treated as a priced risk historically. After the 2020 surge in U.S. unrest, pricing dynamics changed. Over 2021--2024, unrest--hedging stocks earn lower contemporaneous and future returns, consistent with a traditional risk--premium interpretation. This regime shift indicates heightened investor attention to social unrest risk. Overall, our findings reveal that the pricing of a non-traditional risk factor can evolve substantially after pivotal events.
Speakers
Keywords
Social unrest; sociopolitical risk; asset pricing; Fama–MacBeth; portfolio sorts; investor attention
Theme
ASSET PRICING
Author 1
Jianxing Ma