Economic policy uncertainty and industry portfolio returns in the United States

IF 1.2 4区经济学 Q3 BUSINESS, FINANCE Investment Analysts Journal Pub Date : 2022-04-03 DOI:10.1080/10293523.2022.2076379

Asil Azimli

引用次数: 0

Abstract

ABSTRACT This paper examines whether returns on 49 different industry portfolios in the United States (US) expose significantly to the US economic policy uncertainty (EPU) even after controlling for the market and firm-specific risk factors. We find that the US EPU can load significantly against the returns of 15 industry portfolios which include stocks from heavy manufacturing and export dependent industries. However, further asset pricing tests show that the US EPU cannot improve the ability of a benchmark model to capture average industry returns. Additionally, the impact of EPU is time-dependent and significant only during specific periods which are different for each industry. Using a portfolio analysis, we also test whether EPU can forecast future returns. Results imply that the return-EPU relationship is almost flat.

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美国经济政策的不确定性与产业投资组合回报

摘要本文考察了美国49个不同行业投资组合的回报是否显著暴露于美国经济政策不确定性(EPU)，即使在控制了市场和企业特定风险因素之后。我们发现，美国EPU可以对15个行业组合的回报显著加载，其中包括重工业和出口依赖型行业的股票。然而，进一步的资产定价测试表明，美国EPU无法提高基准模型捕捉行业平均回报率的能力。此外，EPU的影响是时间依赖性的，仅在特定时期显著，这对每个行业都是不同的。通过投资组合分析，我们还检验了EPU能否预测未来收益。结果表明，收益- epu关系几乎是平的。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Investment Analysts Journal BUSINESS, FINANCE-

CiteScore

1.90

自引率

11.10%

发文量

期刊介绍： The Investment Analysts Journal is an international, peer-reviewed journal, publishing high-quality, original research three times a year. The journal publishes significant new research in finance and investments and seeks to establish a balance between theoretical and empirical studies. Papers written in any areas of finance, investment, accounting and economics will be considered for publication. All contributions are welcome but are subject to an objective selection procedure to ensure that published articles answer the criteria of scientific objectivity, importance and replicability. Readability and good writing style are important. No articles which have been published or are under review elsewhere will be considered. All submitted manuscripts are subject to initial appraisal by the Editor, and, if found suitable for further consideration, to peer review by independent, anonymous expert referees. All peer review is double blind and submission is via email. Accepted papers will then pass through originality checking software. The editors reserve the right to make the final decision with respect to publication.