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New evidence on economic policy uncertainty and equity premium
16 references·9 citing·31 second hopsampled
New evidence on economic policy uncertainty and equity premium (2017)New evidence on economic policy uncertain…Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Integración de los mercados f…Measuring Economic Policy Uncertainty* (2016)Measuring Economic Policy Unc…The Asset-Pricing Implications of Government Economic Policy Uncertainty (2015)The Asset-Pricing Implication…Economic policy uncertainty and corporate investment: Evidence from China (2014)Economic policy uncertainty a…Political uncertainty and risk premia (2013)Political uncertainty and ris…Uncertainty about Government Policy and Stock Prices (2012)Uncertainty about Government …The Impact of Uncertainty Shocks (2009)The Impact of Uncertainty Sho…A skeptical appraisal of asset pricing tests☆ (2009)A skeptical appraisal of asse…The Impact of Uncertainty Shocks (2007)The Impact of Uncertainty Sho…The Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…The Equity Premium (2002)The Equity PremiumIlliquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…Overconfidence, Arbitrage, and Equilibrium Asset Pricing (2001)Overconfidence, Arbitrage, an…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Editor's Choice Digesting Anomalies: An Investment ApproachEditor's Choice Digesting Ano…Raising capital amid economic policy uncertainty: an empirical investigation (2022)Raising capital amid economic…Assessing the asymmetric effects of capital and money markets on economic growth in China (2022)Assessing the asymmetric effe…The impact of economic policy uncertainty on crowdfunding success (2021)The impact of economic policy…Geopolitical risk, economic policy uncertainty and asset returns in Chinese financial markets (2021)Geopolitical risk, economic p…Economic policy uncertainty and financing structure: A new panel data evidence from selected Asian economies (2021)Economic policy uncertainty a…Investor sentiment and the economic policy uncertainty premium (2020)Investor sentiment and the ec…Empirical investigation of changes in policy uncertainty on stock returns—Evidence from China’s market (2020)Empirical investigation of ch…Economic policy uncertainty, risk and stock returns: Evidence from G7 stock markets (2019)Economic policy uncertainty, …The role of time‐varying rare disaster risks in predicting bond returns and volatility (2018)The role of time‐varying rare…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The Pricing of Options and Corporate Liabilities (1973)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Liquidity and leverage (2008)… and the Cross-Section of Expected Returns (2015)Tobin's Marginal q and Average q: A Neoclassical Interpretation (1982)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)Measuring Geopolitical Risk (2022)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Protection For Sale (1992)Distributive Politics and Economic Growth (1994)Policy Uncertainty and Corporate Investment (2015)Carbon Tail Risk (2018)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Sentiment and the Cross‐Section of Stock Returns (2006)In Search of Attention (2011)The short of it: Investor sentiment and anomalies (2011)An Economic Theory of Democracy. (1958)The Role of Monetary Policy (1995)Measuring Uncertainty (2015)COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach (2020)The Unprecedented Stock Market Reaction to COVID-19 (2020)Liquidity Risk and Expected Stock Returns (2003)Asset pricing with liquidity risk (2005)Hedging Climate Change News (2019)Dissecting green returns (2022)
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References

  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 2016Measuring Economic Policy Uncertainty*12,311 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 2009The Impact of Uncertainty Shocks5,941 cited
  • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited
  • 2020Integración de los mercados financieros Latinoamericanos por medio de MILA3,764 cited
  • n.d.Editor's Choice Digesting Anomalies: An Investment Approach2,508 cited
  • 2013Political uncertainty and risk premia2,375 cited
  • 2012Uncertainty about Government Policy and Stock Prices2,327 cited
  • 2007The Impact of Uncertainty Shocks2,111 cited
  • 2015The Asset-Pricing Implications of Government Economic Policy Uncertainty1,352 cited
  • 2002The Equity Premium1,331 cited
  • 2009A skeptical appraisal of asset pricing tests☆1,204 cited
  • 2001Overconfidence, Arbitrage, and Equilibrium Asset Pricing951 cited
  • 2014Economic policy uncertainty and corporate investment: Evidence from China

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  • 2019Economic policy uncertainty, risk and stock returns: Evidence from G7 stock markets145 cited
  • 2021Geopolitical risk, economic policy uncertainty and asset returns in Chinese financial markets132 cited
  • 2020Empirical investigation of changes in policy uncertainty on stock returns—Evidence from China’s market96 cited
  • 2021Economic policy uncertainty and financing structure: A new panel data evidence from selected Asian economies56 cited
  • 2020Investor sentiment and the economic policy uncertainty premium47 cited
  • 2021The impact of economic policy uncertainty on crowdfunding success38 cited
  • 2022Raising capital amid economic policy uncertainty: an empirical investigation29 cited
  • 2018The role of time‐varying rare disaster risks in predicting bond returns and volatility27 cited
  • 2022Assessing the asymmetric effects of capital and money markets on economic growth in China18 cited