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The Asset-Pricing Implications of Government Economic Policy Uncertainty
Abstract
Using the news-based measure of Baker et al. [Baker SR, Bloom N, Davis SJ (2013) Measuring economic policy uncertainty. Working paper, Stanford University, Stanford, CA] to capture economic policy uncertainty (EPU) in the United States, we find that EPU positively forecasts log excess market returns. An increase of one standard deviation in EPU is associated with a 1.5% increase in forecasted three-month abnormal returns (6.1% annualized). Furthermore, innovations in EPU earn a significant negative risk premium in the Fama–French 25 size–momentum portfolios. Among the Fama–French 25 portfolios formed on size and momentum returns, the portfolio with the greatest EPU beta underperforms the portfolio with the lowest EPU beta by 5.53% per annum, controlling for exposure to the Carhart four factors as well as implied and realized volatility. These findings suggest that EPU is an economically important risk factor for equities. This paper was accepted by Wei Jiang, finance.
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Cites
On Persistence in Mutual Fund Performance
Carhart, M. M. (1997) · The Journal of Finance · doi:10.1111/j.1540-6261.1997.tb03808.x · Cited by 17,283
Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement
Hodrick, R. J. (1992) · Review of Financial Studies · doi:10.1093/rfs/5.3.351 · Cited by 1,523
Cited by
Measuring Economic Policy Uncertainty*
Baker, S. R., Bloom, N., & Davis, S. J. (2016) · The Quarterly Journal of Economics · doi:10.1093/qje/qjw024 · Cited by 12,458
Ilhan, E., Sautner, Z., & Vilkov, G. (2021) · The Review of Financial Studies · doi:10.1093/rfs/hhaa071 · Cited by 1,136
Ilhan, E., Sautner, Z., & Vilkov, G. (2018) · SSRN Electronic Journal · doi:10.2139/ssrn.3204420 · Cited by 1,136
Hsu, P.-H., Li, K., & Tsou, C.-Y. (2020) · SSRN Electronic Journal · doi:10.2139/ssrn.3578215 · Cited by 665
Can economic policy uncertainty predict stock returns? Global evidence
Phan, D. H. B., Sharma, S. S., & Tran, V. T. (2018) · Journal of International Financial Markets, Institutions and Money · doi:10.1016/j.intfin.2018.04.004 · Cited by 282
Metadata
- Authors
- Brogaard, J., & Detzel, A.
- Venue
- Management Science
- Published
- 2015-01
- Volume
- 61
- Issue
- 1
- Pages
- 3-18
- ISSN
- 0025-1909 (ISSN-L)
- 1526-5501
- OpenAlex
- W3121806304
- Cited by
- 1,344
- References
- 2
- FWCI
- 108.73
- Type
- journal article
- Language
- en
- Open access
- closed
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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