Economic policy uncertainty dispersion and excess returns: Evidence from China

被引：15
|
作者：
Yang, Jianlei [1 ]
Yang, Chunpeng [1 ]
Hu, Xiaoyi [1 ]
机构：
[1] South China Univ Technol, Finance & Secur Ctr, Sch Econ & Commerce, Guangzhou 510006, Peoples R China
来源：
FINANCE RESEARCH LETTERS | 2021年 / 40卷
基金：
中国国家自然科学基金;
关键词：
Economic policy uncertainty; Economic policy uncertainty dispersion; Excess returns; Chinese stock markets;
D O I：
10.1016/j.frl.2020.101714
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Using the daily economic policy uncertainty (EPU) index of Huang and Luk (2020), we construct an economic policy uncertainty dispersion (EPUD) index and further examine its impact on portfolio excess returns in the Chinese stock markets over the period 2000-2019. Our empirical findings reveal that the EPUD index positively predicts subsequent portfolio excess returns. This effect remains significant as we control for realized volatility, turnover ratio and a variety of macro-economic variables. Besides, we show that the impact of EPUD is stronger in small-stock portfolios.
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页数：8
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