The role of economic uncertainty in UK stock returns

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dc.contributor.authorGao, Jun
dc.contributor.authorZhu, Sheng
dc.contributor.authorO'Sullivan, Niall
dc.contributor.authorSherman, Meadhbh
dc.date.accessioned2019-05-16T15:20:42Z
dc.date.available2019-05-16T15:20:42Z
dc.date.issued2019
dc.description.abstractWe investigated the role of domestic and international economic uncertainty in the cross-sectional pricing of UK stocks. We considered a broad range of financial market variables in measuring financial conditions to obtain a better estimate of macroeconomic uncertainty compared to previous literature. In contrast to many earlier studies using conventional principal component analysis to estimate economic uncertainty, we constructed new economic activity and inflation uncertainty indices for the UK using a time-varying parameter factor-augmented vector autoregressive (TVP-FAVAR) model. We then estimated stock sensitivity to a range of macroeconomic uncertainty indices and economic policy uncertainty indices. The evidence suggests that economic activity uncertainty and UK economic policy uncertainty have power in explaining the cross-section of UK stock returns, while UK inflation, EU economic policy and US economic policy uncertainty factors are not priced in stock returns for the UKen
dc.description.statusPeer revieweden
dc.description.versionPublished Versionen
dc.format.mimetypeapplication/pdfen
dc.identifier.articleid5en
dc.identifier.citationGao, J., Zhu, S., O’Sullivan, N. and Sherman, M., 2019. The Role of Economic Uncertainty in UK Stock Returns. Journal of Risk and Financial Management, 12(1), 5 (16pp.) DOI: 10.3390/jrfm12010005en
dc.identifier.doi10.3390/jrfm12010005en
dc.identifier.endpage16en
dc.identifier.issn1911-8074
dc.identifier.issued1en
dc.identifier.journaltitleJournal of Risk and Financial Managementen
dc.identifier.startpage1en
dc.identifier.urihttps://hdl.handle.net/10468/7926
dc.identifier.volume12en
dc.language.isoenen
dc.publisherMDPIen
dc.relation.urihttps://www.mdpi.com/1911-8074/12/1/5
dc.rights© 2019 The Authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (http://creativecommons.org/licenses/by/4.0/).en
dc.rights.urihttps://creativecommons.org/licenses/by/4.0/en
dc.subjectStock pricingen
dc.subjectUK stock marketen
dc.subjectEconomic uncertaintyen
dc.titleThe role of economic uncertainty in UK stock returnsen
dc.typeArticle (peer-reviewed)en
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