{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,21]],"date-time":"2026-10-21T15:57:10Z","timestamp":1792598230576,"version":"4.5.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":0,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.uspto.gov\/ip-policy\/copyright-policy\/copyright-basics"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>We study when global geopolitical risk (GPR) predicts U.S. sector and style ETF returns. Using weekly observations on sixteen ETFs from 2008 to 2026, we find limited predictive evidence for the GPR index in specifications without state interactions. Higher GPR predicts lower subsequent four-week returns when high-yield credit spreads are elevated. This predictive evidence is concentrated in the threats component, with limited evidence for the acts component. Comparable patterns are not evident when conditioning on interest rate, VIX, or recession states. ETFs with greater sensitivity to credit-spread widening exhibit a more negative GPR-return relationship during credit stress, consistent with a credit-related transmission channel. The evidence is weaker in an alternative monthly industry-portfolio sample covering a longer period, when investment-grade spreads replace high-yield spreads, and when spreads are constructed using shorter-maturity Treasury yields as benchmarks. Overall, the results suggest that geopolitical threat news contains information about short-horizon ETF returns conditional on credit stress, although the strength of this relationship depends on the sample and credit-spread measure.<\/jats:p>","DOI":"10.2139\/ssrn.7645738","type":"posted-content","created":{"date-parts":[[2026,10,21]],"date-time":"2026-10-21T15:35:28Z","timestamp":1792596928000},"source":"Crossref","is-referenced-by-count":0,"title":["Geopolitical Risk and Sector Returns: Conditional Pricing during Credit Stress"],"prefix":"10.2139","author":[{"ORCID":"https:\/\/orcid.org\/0009-0000-1280-5736","authenticated-orcid":true,"given":"Tian","family":"Qin","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,10,21]],"date-time":"2026-10-21T15:35:28Z","timestamp":1792596928000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=7645738"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":0,"URL":"https:\/\/doi.org\/10.2139\/ssrn.7645738","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}