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
{"title":"The impact of economic policy uncertainty on stock types while considering the economic cycle. A quantile regression approach","authors":"Jessica Paule-Vianez, Carmen Orden-Cruz, Camilo Prado-Román, Raúl Gómez-Martínez","doi":"10.1108/ejmbe-12-2022-0365","DOIUrl":null,"url":null,"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.","PeriodicalId":45118,"journal":{"name":"European Journal of Management and Business Economics","volume":"52 1","pages":"0"},"PeriodicalIF":4.2000,"publicationDate":"2023-10-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"European Journal of Management and Business Economics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1108/ejmbe-12-2022-0365","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS","Score":null,"Total":0}
引用次数: 0

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.
查看原文
分享 分享
微信好友 朋友圈 QQ好友 复制链接
本刊更多论文
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。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
求助全文
约1分钟内获得全文 去求助
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.
期刊最新文献
Exploring factors influencing smart tourism destination visiting behaviors in a historic country: a theory of e-consumption behavior Cognitive social capital and new product performance: indirect effect of potential absorptive and innovation capacity: a tourism-based study The relevance of legal requirements in the going public process: the discretionary decision of adopting an audit committee A comparative analysis of supply chain management between Portugal and Ireland “I love your brand! I engage with you, and I do online brand-related activities (COBRAs)”: the role of brand value
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
0
微信
客服QQ
Book学术公众号 扫码关注我们
反馈
×
意见反馈
请填写您的意见或建议
请填写您的手机或邮箱
已复制链接
已复制链接
快去分享给好友吧!
我知道了
×
扫码分享
扫码分享
Book学术官方微信
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术
文献互助 智能选刊 最新文献 互助须知 联系我们:info@booksci.cn
Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。
Copyright © 2023 Book学术 All rights reserved.
ghs 京公网安备 11010802042870号 京ICP备2023020795号-1