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- W2777026830 abstract "This paper studies how the Baker, Bloom and Davis (2013) new measure capturing economic policy uncertainty (EPU) is related to stock market performance in the United States. We use a variety of methods to estimate different specifications. We find that an increase in the EPU index negatively affects the S&P500 returns and raises its implied volatility. However, there is no evidence to support that an increase in the EPU has a significant influence on dividend growth. Furthermore, the component of the EPU that has the strongest explanatory power is that based on newspaper coverage of policy uncertainty, while the other three components lack statistical significance. These findings suggest that the news information is an economically important risk factor for a financial market. This study also provides some further discussion on characteristics portfolio and predictability of cash flow and discount rate. Governments should try to maintain policy stability and sustainability, so that investors can make reasonable predictions about policy changes and arrange their investment planning accordingly. Moreover, investors should also pay attention to expectations of policy change and adjust their portfolios based on policy uncertainty exposure." @default.
- W2777026830 created "2018-01-05" @default.
- W2777026830 creator A5079708788 @default.
- W2777026830 date "2017-01-01" @default.
- W2777026830 modified "2023-09-27" @default.
- W2777026830 title "Policy Uncertainty and Stock Market Behaviour: Evidence from the United States" @default.
- W2777026830 doi "https://doi.org/10.2139/ssrn.3086296" @default.
- W2777026830 hasPublicationYear "2017" @default.
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