کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
8942355 | 1645074 | 2018 | 52 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Can economic policy uncertainty predict stock returns? Global evidence
ترجمه فارسی عنوان
آیا عدم قطعیت سیاست اقتصادی می تواند بازده سهام را پیش بینی کند؟ شواهد جهانی
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
کلمات کلیدی
بازده سهام، عدم اطمینان سیاست اقتصادی، پیشگو، ابزار سرمایه گذار،
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
This paper, using data for 16 countries, tests whether economic policy uncertainty (EPU) predicts stock excess returns. First, we show that the ability of EPU to forecast stock returns depends not only on the country used, but also on the sectors examined. This indicates that forecasting of returns is country-dependent (sector-dependent), suggesting that EPU is relatively more important for some countries (sectors) than others. Second, we test whether the predictability of EPU is from either or both the cash flow and discount rate channels. Our results support the discount rate channel over the cash flow channel. Third, we use positive and negative EPU shocks to predict stock excess returns and find evidence of asymmetric predictability. Finally, we consider a mean-variance investor and show that such investor has positive utility by following forecasts generated from the EPU-based model. Our results are consistent with a number of robustness tests.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Financial Markets, Institutions and Money - Volume 55, July 2018, Pages 134-150
Journal: Journal of International Financial Markets, Institutions and Money - Volume 55, July 2018, Pages 134-150
نویسندگان
Dinh Hoang Bach Phan, Susan Sunila Sharma, Vuong Thao Tran,