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Economic policy uncertainty and stock return momentum

2021Journal article Open access
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dc.contributor.authorGoel, Garima
dc.contributor.authorDash, Saumya Ranjan
dc.contributor.authorMata, Mário Nuno
dc.contributor.authorCaleiro, António Bento
dc.contributor.authorXavier Rita, João
dc.contributor.authorFilipe, José António
dc.date.accessioned2021-05-18T12:45:15Z
dc.date.available2021-05-18T12:45:15Z
dc.date.issued2021
dc.description.abstractThis 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. Furthermore, 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 a long-term relationship with EPU, not the other way around.pt_PT
dc.description.versioninfo:eu-repo/semantics/publishedVersionpt_PT
dc.identifier.citationGoel, G., Dash, S. R., Mata, M. N., Caleiro, A. B., Xavier Rita, J., & Filipe, J. A. (2021). Economic policy uncertainty and stock return momentum. Journal of Risk and Financial Management, 14(4). doi.:10.3390/jrfm14040141pt_PT
dc.identifier.doi10.3390/jrfm14040141pt_PT
dc.identifier.issn1911-8074
dc.identifier.issn1911-8066
dc.identifier.urihttp://hdl.handle.net/10400.15/3485
dc.language.isoengpt_PT
dc.peerreviewedyespt_PT
dc.publisherMDPIpt_PT
dc.relation.publisherversionhttps://www.mdpi.com/1911-8074/14/4/141pt_PT
dc.subjectMomentumpt_PT
dc.subjectEconomic policy uncertaintypt_PT
dc.subjectMacroeconomypt_PT
dc.titleEconomic policy uncertainty and stock return momentumpt_PT
dc.typejournal article
dspace.entity.typePublication
oaire.citation.issue4pt_PT
oaire.citation.titleJournal of Risk and Financial Managementpt_PT
oaire.citation.volume14pt_PT
person.familyNameMata
person.givenNameMário Nuno
person.identifier1403614
person.identifier.ciencia-idFA13-1761-4192
person.identifier.orcid0000-0003-1765-4273
rcaap.rightsopenAccesspt_PT
rcaap.typearticlept_PT
relation.isAuthorOfPublicationda64bac4-a291-4dce-a167-d33ef827bce3
relation.isAuthorOfPublication.latestForDiscoveryda64bac4-a291-4dce-a167-d33ef827bce3

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