Is economic uncertainty priced in the cross-section of stock returns?

• 成果类型: Article
• 署名作者: Bali, Turan G.; Brown, Stephen J.; Tang, Yi
• 署名单位: Georgetown University; Monash University; New York University; Fordham University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2017.09.005
• 发表日期: 2017
• 页码: 471-489
• 关键词: economic uncertainty; Uncertainty aversion; Cross-section of stock returns; ICAPM; Return predictability

摘要

We investigate the role of economic uncertainty in the cross-sectional pricing of individual stocks and equity portfolios. We estimate stock exposure to an economic uncertainty index and show that stocks in the lowest uncertainty beta decile generate 6% more annualized risk-adjusted return compared to stocks in the highest uncertainty beta decile. We find that the uncertainty premium is driven by the outperformance (underperformance) by stocks with negative (positive) uncertainty beta. Our results indicate that uncertainty averse investors demand extra compensation to hold stocks with negative uncertainty beta and they are willing to pay high prices for stocks with positive uncertainty beta. (C) 2017 Elsevier B.V. All rights reserved.