Political risk, investor attention and the Scottish Independence referendum

- We find that the risk arising from the Scottish Independence referendum was priced.
- We use opinion polls and betting odds to assess which stocks favoured a No/Yes vote.
- Our evidence suggests investors paid attention to opinion polls not betting odds.

Using data relating to the Scottish Independence referendum and a purely market-driven method for estimating the sensitivity of stocks to its result we provide evidence that the political risk associated with the referendum was priced and that investors appeared to pay attention primarily to the most visible information about the likely referendum result.