Economic policy uncertainty and stock return momentum

Detalhes bibliográficos
Autor(a) principal: Goel, G.
Data de Publicação: 2021
Outros Autores: Dash, S. R., Mata, M. N., Caleiro, A., Rita, J. X., Filipe, J.
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10071/23303
Resumo: 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.
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spelling Economic policy uncertainty and stock return momentumMomentumEconomic policyUncertaintyMacroeconomyThis 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.MDPI2021-10-07T09:50:48Z2021-01-01T00:00:00Z20212021-10-07T10:46:45Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10071/23303eng1911-8066Goel, G.Dash, S. R.Mata, M. N.Caleiro, A.Rita, J. X.Filipe, J.info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-11-09T17:32:21Zoai:repositorio.iscte-iul.pt:10071/23303Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T22:14:34.199761Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Economic policy uncertainty and stock return momentum
title Economic policy uncertainty and stock return momentum
spellingShingle Economic policy uncertainty and stock return momentum
Goel, G.
Momentum
Economic policy
Uncertainty
Macroeconomy
title_short Economic policy uncertainty and stock return momentum
title_full Economic policy uncertainty and stock return momentum
title_fullStr Economic policy uncertainty and stock return momentum
title_full_unstemmed Economic policy uncertainty and stock return momentum
title_sort Economic policy uncertainty and stock return momentum
author Goel, G.
author_facet Goel, G.
Dash, S. R.
Mata, M. N.
Caleiro, A.
Rita, J. X.
Filipe, J.
author_role author
author2 Dash, S. R.
Mata, M. N.
Caleiro, A.
Rita, J. X.
Filipe, J.
author2_role author
author
author
author
author
dc.contributor.author.fl_str_mv Goel, G.
Dash, S. R.
Mata, M. N.
Caleiro, A.
Rita, J. X.
Filipe, J.
dc.subject.por.fl_str_mv Momentum
Economic policy
Uncertainty
Macroeconomy
topic Momentum
Economic policy
Uncertainty
Macroeconomy
description 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.
publishDate 2021
dc.date.none.fl_str_mv 2021-10-07T09:50:48Z
2021-01-01T00:00:00Z
2021
2021-10-07T10:46:45Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
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status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10071/23303
url http://hdl.handle.net/10071/23303
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 1911-8066
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv MDPI
publisher.none.fl_str_mv MDPI
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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