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....

Using comprehensive company-level ownership data from Japan, the authors found that the equity size premium correlates strongly with the investment flows of international institutional investors. When investment flows intensified and shifted into larger stocks in the mid-1990s, the equity size...