Artikel
The role of economic uncertainty in UK stock returns
We investigated the role of domestic and international economic uncertainty in the cross-sectional pricing of UK stocks. We considered a broad range of financial market variables in measuring financial conditions to obtain a better estimate of macroeconomic uncertainty compared to previous literature. In contrast to many earlier studies using conventional principal component analysis to estimate economic uncertainty, we constructed new economic activity and inflation uncertainty indices for the UK using a time-varying parameter factor-augmented vector autoregressive (TVP-FAVAR) model. We then estimated stock sensitivity to a range of macroeconomic uncertainty indices and economic policy uncertainty indices. The evidence suggests that economic activity uncertainty and UK economic policy uncertainty have power in explaining the cross-section of UK stock returns, while UK inflation, EU economic policy and US economic policy uncertainty factors are not priced in stock returns for the UK.
- Language
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Englisch
- Bibliographic citation
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Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 12 ; Year: 2019 ; Issue: 1 ; Pages: 1-16 ; Basel: MDPI
- Classification
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Wirtschaft
Portfolio Choice; Investment Decisions
Asset Pricing; Trading Volume; Bond Interest Rates
- Subject
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stock pricing
UK stock market
economic uncertainty
- Event
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Geistige Schöpfung
- (who)
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Gao, Jun
Zhu, Sheng
O'Sullivan, Niall
Sherman, Meadhbh
- Event
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Veröffentlichung
- (who)
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MDPI
- (where)
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Basel
- (when)
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2019
- DOI
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doi:10.3390/jrfm12010005
- Handle
- Last update
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10.03.2025, 11:44 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Gao, Jun
- Zhu, Sheng
- O'Sullivan, Niall
- Sherman, Meadhbh
- MDPI
Time of origin
- 2019
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Bootstrapping time-varying uncertainty intervals for extreme daily return periods
Economic policy uncertainty and stock return momentum
Multiscale partial correlation clustering of stock market returns
Multiscale analysis of the predictability of stock returns
The effect of stock return sequences on trading volumes
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Evidence of economic policy uncertainty and COVID-19 pandemic on global stock returns
Risk and policy uncertainty on stock-bond return correlations: Evidence from the US markets
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Bootstrapping time-varying uncertainty intervals for extreme daily return periods
Economic policy uncertainty and stock return momentum
Multiscale partial correlation clustering of stock market returns
Multiscale analysis of the predictability of stock returns
The effect of stock return sequences on trading volumes
Non-parametric statistic for testing cumulative abnormal stock returns
The equity curve and its relation to future stock returns