The impact of economic policy uncertainty on stock types while considering the economic cycle. A quantile regression approach

Jessica Paule-Vianez, Carmen Orden-Cruz, Camilo Prado-Román, Raúl Gómez-Martínez
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Abstract

Purpose This study aims to analyse the effects of Economic Policy Uncertainty (EPU) on the return of growth/value and small/large-cap stocks during expansionary and recessionary periods across a conditional distribution. Design/methodology/approach The authors selected a sample covering the period between 01/1995–05/2021. Quantile regressions were applied to the EPU and Russell indices. Business cycles were established following the NBER. Findings The results show that EPU has a negative effect on stocks with the intensity of the effect depending on the stock's profile. Small-cap and growth stocks were found to be most sensitive to EPU, especially during recessions. The negative effect is moderated by the economic cycle but is progressively diluted at the lower tail of the stock return distribution. Practical implications The findings shed more light on investment strategies for growth/value investors that pursue opportunities arising from a changing economic cycle. Originality/value This study makes the following contributions: (1) explores the impact of EPU on the return of different stocks across a conditional distribution, and (2) provides evidence on how the economic cycle influences EPU impact on growth/value stocks and small/large stocks.
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在考虑经济周期的情况下,经济政策不确定性对股票类型的影响。分位数回归方法
本研究旨在分析经济政策不确定性(EPU)在扩张期和衰退期对成长型/价值型和小盘/大盘股回报的影响。作者选取了1995年1月至2021年5月期间的样本。分位数回归应用于EPU和罗素指数。经济周期是根据NBER建立的。研究结果表明,EPU对股票存在负向影响,且影响程度随股票概况的不同而不同。小盘股和成长型股票对EPU最为敏感,尤其是在经济衰退期间。这种负面影响被经济周期所缓和,但在股票收益分布的下尾部逐渐被稀释。研究结果为追求经济周期变化带来的机会的成长型/价值型投资者的投资策略提供了更多启示。本研究的贡献如下:(1)探讨了EPU对条件分布下不同股票收益的影响;(2)提供了经济周期如何影响EPU对成长型/价值型股票和小型/大型股票的影响的证据。
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来源期刊
CiteScore
6.90
自引率
0.00%
发文量
21
审稿时长
24 weeks
期刊介绍: European Journal of Management and Business Economics is interested in the publication and diffusion of articles of rigorous theoretical, methodological or empirical research associated with the areas of business economics, including strategy, finance, management, marketing, organisation, human resources, operations, and corporate governance, and tourism. The journal aims to attract original knowledge based on academic rigour and of relevance for academics, researchers, professionals, and/or public decision-makers.
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