Please use this identifier to cite or link to this item:
http://hdl.handle.net/10071/22478
Author(s): | Goel, G. Dash, S. R. Mata, M. N. Caleiro, A. B. Rita, J. X. Filipe, J. A. |
Date: | 2021 |
Title: | Economic policy uncertainty and stock return momentum |
Volume: | 14 |
Number: | 4 |
ISSN: | 1911-8066 |
DOI (Digital Object Identifier): | 10.3390/jrfm14040141 |
Keywords: | Momentum Economic policy uncertainty Macroeconomy |
Abstract: | This paper investigates the relationship between economic policy uncertainty (EPU), an index capturing newspaper coverage of policy-related issues, and momentum profits. Momentum remains an unexplained anomaly. Our findings reveal a statistically negative association between EPU and hedge momentum portfolios. The short side portfolio dominates this effect as compared to the long side. EPU is statistically significant after controlling for macroeconomic variables. Further-more, the paper conducts a battery of time series analysis, which highlights that EPU has a causal relationship with the hedge portfolio in the short run. On the other hand, the hedge portfolio has along-term relationship with EPU, not the other way around. |
Peerreviewed: | yes |
Access type: | Open Access |
Appears in Collections: | DM-RI - Artigos em revistas científicas internacionais com arbitragem científica |
Files in This Item:
File | Description | Size | Format | |
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article_81464.pdf | 1,2 MB | Adobe PDF | View/Open |
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