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Article

Economic Policy Uncertainty and Stock Return Momentum

1
Finance and Accounting Area, Indian Institute of Management Indore (IIM Indore), Indore 453556, India
2
ISCAL-Instituto Superior de Contabilidade e Administração de Lisboa, Instituto Politécnico de Lisboa, Avenida Miguel Bombarda 20, 1069-035 Lisboa, Portugal
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Polytechnic Institute of Santarém, School of Management and Technology (ESGTS-IPS), 2001-904 Santarém, Portugal
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Departamento de Economia, Universidade de Evora, Largo Dos Colegiais, 2, 7002-554 Evora, Portugal
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Departamento de Matemática, Iscte-Instituto Universitário de Lisboa, ISTAR-Iscte, BRU-Iscte, 1649-026 Lisboa, Portugal
*
Author to whom correspondence should be addressed.
Academic Editor: Tihana Škrinjarić
J. Risk Financial Manag. 2021, 14(4), 141; https://doi.org/10.3390/jrfm14040141
Received: 3 March 2021 / Revised: 16 March 2021 / Accepted: 19 March 2021 / Published: 24 March 2021
(This article belongs to the Special Issue Frontiers in Quantitative Finance)
This 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. View Full-Text
Keywords: momentum; economic policy uncertainty; macroeconomy momentum; economic policy uncertainty; macroeconomy
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MDPI and ACS Style

Goel, G.; Dash, S.R.; Mata, M.N.; Caleiro, A.B.; Xavier Rita, J.; Filipe, J.A. Economic Policy Uncertainty and Stock Return Momentum. J. Risk Financial Manag. 2021, 14, 141. https://doi.org/10.3390/jrfm14040141

AMA Style

Goel G, Dash SR, Mata MN, Caleiro AB, Xavier Rita J, Filipe JA. Economic Policy Uncertainty and Stock Return Momentum. Journal of Risk and Financial Management. 2021; 14(4):141. https://doi.org/10.3390/jrfm14040141

Chicago/Turabian Style

Goel, Garima, Saumya R. Dash, Mário N. Mata, António B. Caleiro, João Xavier Rita, and José A. Filipe 2021. "Economic Policy Uncertainty and Stock Return Momentum" Journal of Risk and Financial Management 14, no. 4: 141. https://doi.org/10.3390/jrfm14040141

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