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- W4284969345 abstract "This paper examines whether local, regional, and global policy uncertainty shocks predict the sector returns of the UK stock market. Consistent with the market integration literature, we find global policy uncertainty shock is the major predictor of sector returns. Our second contribution is that the predictability of returns is dependent on the state of the business cycle. Finally, the evidence of predictability is strongest at the 6-month horizon, revealing that the impact of policy uncertainty shocks lasts for a few months. Our findings hold even after controlling for well-known risk factors and different sub-samples of data." @default.
- W4284969345 created "2022-07-10" @default.
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- W4284969345 date "2022-11-01" @default.
- W4284969345 modified "2023-09-27" @default.
- W4284969345 title "Economic policy uncertainty and industry return predictability – Evidence from the UK" @default.
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- W4284969345 doi "https://doi.org/10.1016/j.iref.2022.07.006" @default.
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