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Title: Economic Policy Uncertainty and Stock Return Momentum
Authors: Goel, Garima
Dash, Saumya Ranjan
Mata, Mário Nuno
Caleiro, António Bento
Rita, João Xavier
Filipe, José António
Keywords: momentum
economic policy uncertainty
Issue Date: Mar-2021
Citation: Goel, Garima; Dash, Saumya Ranjan; Mata, Mário Nuno; Caleiro, António Bento; Rita, João Xavier; Filipe, José António (2021), "Economic Policy Uncertainty and Stock Return Momentum", Journal of Risk and Financial Management, 4(4), 1-17.
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. Furthermore, 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 a long-term relationship with EPU, not the other way around.
Type: article
Appears in Collections:ECN - Publicações - Artigos em Revistas Internacionais Com Arbitragem Científica

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