The Asset-Pricing Implications of Government Economic Policy Uncertainty
The Asset-Pricing Implications of Government Economic Policy Uncertainty
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Publisher
Linthicum: INFORMS
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Language
English
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Linthicum: INFORMS
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Contents
Using the news-based measure of Baker et al. [Baker SR, Bloom N, Davis SJ (2013) Measuring economic policy uncertainty. Working paper, Stanford University, Stanford, CA] to capture economic policy uncertainty (EPU) in the United States, we find that EPU positively forecasts log excess market returns. An increase of one standard deviation in EPU is...
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Full title
The Asset-Pricing Implications of Government Economic Policy Uncertainty
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TN_cdi_gale_infotracmisc_A424530832
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_gale_infotracmisc_A424530832
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ISSN
0025-1909
E-ISSN
1526-5501
DOI
10.1287/mnsc.2014.2044
