というIMF論文をMostly Economicsが紹介している。原題は「The Economic Consequences of Social Unrest: Evidence from Initial Public Offerings」で、著者はPhilip Barrett（IMF）、Thomas J. Boulton（マイアミ大）、Terry D. Nixon（同）。
以下はその要旨。
Prior research attributes negative stock market performance following episodes of social unrest to elevated uncertainty. However, social unrest does not solely increase uncertainty, but separately acts to decrease investor sentiment. To determine which effect dominates, we study initial public offering (IPO) underpricing, which responds differently to changes to uncertainty and investor sentiment. Consistent with the notion that social unrest dampens investor sentiment, we find robust evidence that IPO first-day returns are lower during times of greater social unrest. Limits to arbitrage intensify the negative relation between social unrest and underpricing. Notably, strong institutional frameworks mitigate the impact of social unrest on underpricing, suggesting that quality institutions weaken the link between investor sentiment and returns.
（拙訳）
従来の研究は、社会不安の時期に続く株式市場の悪いパフォーマンスを、不確実性の高まりに起因するものとしていた。しかし、社会不安はそれだけでは不確実性を増加させないものの、単独で投資家センチメントを損なう。どちらの効果が優位になるかを決めるため、我々は新規株式公開（IPO）における公募割れを調べた*1。それは不確実性と投資家センチメントの変化に対し相異なる反応を示す*2。社会不安が投資家センチメントを損なうという概念と整合的に、社会不安が大きい時期にはIPOの初日のリターンが低いことを我々は見い出した。裁定の限界は、社会不安と公募割れの間の負の関係を強化する。注目すべきことに、強固な制度的枠組みは社会不安が公募割れに及ぼす影響を緩和し、高品質の制度が投資家センチメントとリターンの間の関係を弱めることを示唆している。
*1:ここで公募割れ（Underpricing）は以下のように定義されている。
Underpricing = (First-day closing price – IPO offer price) / IPO offer price
*2:結論部では次のように説明されている。
「Ljungqvist et al. (2006) suggest that underpricing compensates investors who receive IPO allocations for the possibility that investor sentiment changes before they can sell their shares in the aftermarket. Consequently, we would expect a positive relation between investor sentiment and underpricing as an increase in investor sentiment during the first trading day would result in a greater increase to the stock closing price on day one. However, if social unrest lowers investor sentiment, the
opposite should be true. In such cases, IPOs that take place during periods of unrest should exhibit lower first-day returns. Theory predicts that increased uncertainty has the opposite effect. When uncertainty is high, the incentive to gather information increases, which exacerbates information disparities among IPO participants. This leads to the prediction of a positive association between social unrest and first-day returns, as unrest magnifies uncertainty and necessitates greater underpricing to mitigate risks.」
