Measuring Firm-Level Manager Risk Perception

Using textual analysis of Chinese listed firms’ filings, we construct a new firm-level measure of manager risk perception. The measure identifies the extent of risk perceived by managers. We validate our measure by showing that it varies over time and across industries, correlates with aggregate economic policy uncertainty and firm-level stock return volatility, and relates cross-sectionally with firm characteristics. Managers with higher risk perception leads to a lower level of firm investment.