Utilize este identificador para referenciar este registo:
http://hdl.handle.net/10071/22478
Registo completo
Campo DC | Valor | Idioma |
---|---|---|
dc.contributor.author | Goel, G. | - |
dc.contributor.author | Dash, S. R. | - |
dc.contributor.author | Mata, M. N. | - |
dc.contributor.author | Caleiro, A. B. | - |
dc.contributor.author | Rita, J. X. | - |
dc.contributor.author | Filipe, J. A. | - |
dc.date.accessioned | 2021-04-22T10:55:36Z | - |
dc.date.available | 2021-04-22T10:55:36Z | - |
dc.date.issued | 2021 | - |
dc.identifier.issn | 1911-8066 | - |
dc.identifier.uri | http://hdl.handle.net/10071/22478 | - |
dc.description.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. | eng |
dc.language.iso | eng | - |
dc.publisher | MDPI | - |
dc.rights | openAccess | - |
dc.subject | Momentum | eng |
dc.subject | Economic policy uncertainty | eng |
dc.subject | Macroeconomy | eng |
dc.title | Economic policy uncertainty and stock return momentum | eng |
dc.type | article | - |
dc.peerreviewed | yes | - |
dc.journal | Journal of Risk and Financial Management | - |
dc.volume | 14 | - |
dc.number | 4 | - |
degois.publication.issue | 4 | - |
degois.publication.title | Economic policy uncertainty and stock return momentum | eng |
dc.date.updated | 2021-04-22T11:51:44Z | - |
dc.description.version | info:eu-repo/semantics/publishedVersion | - |
dc.identifier.doi | 10.3390/jrfm14040141 | - |
iscte.identifier.ciencia | https://ciencia.iscte-iul.pt/id/ci-pub-81464 | - |
Aparece nas coleções: | DM-RI - Artigos em revistas científicas internacionais com arbitragem científica |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
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article_81464.pdf | 1,2 MB | Adobe PDF | Ver/Abrir |
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