Economic policy uncertainty and short-term reversals

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2023-12-12 DOI:10.1111/jfir.12371

Zhaobo Zhu, Licheng Sun

引用次数: 0

Abstract

In this article, we provide new evidence on the impact of economic policy uncertainty (EPU) on asset pricing. Specifically, we find that short-term return reversals are stronger following high-EPU periods, likely due to an uncertainty-induced decrease in stock market liquidity. However, EPU does not appear to have a significant effect on accounting-based anomalies, possibly because these anomalies are not driven by stock illiquidity. Our findings suggest that EPU affects short-term asset prices mainly through stock liquidity. However, EPU may contain incremental information beyond stock liquidity. Moreover, the arrival of the latest fundamental information could significantly mitigate the effect of EPU on short-term reversals.

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经济政策的不确定性和短期逆转

在本文中，我们提供了经济政策不确定性对资产定价影响的新证据。具体来说，我们发现在高epu时期，短期回报逆转更强，可能是由于不确定性导致的股市流动性下降。然而，EPU似乎对基于会计的异常没有显著影响，可能是因为这些异常不是由股票非流动性驱动的。我们的研究结果表明，EPU主要通过股票流动性影响短期资产价格。然而，EPU可能包含股票流动性以外的增量信息。此外，最新基本信息的到来可能会大大减轻EPU对短期逆转的影响。

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

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.