International evidence on global economic uncertainty and cross-sectional stock returns

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2024-03-29 DOI:10.1111/irfi.12450

Xiaoyue Chen, Bin Li, Andrew C. Worthington, Tarlok Singh

引用次数: 0

Abstract

We investigate the predictive role of global economic uncertainty exposure at the firm level in the top-five developed stock markets outside the US. Applying portfolio-level sorting strategies, we find that exposure to global idiosyncratic uncertainty exhibits stronger predictive power than either total or common uncertainty. Further, the idiosyncratic uncertainty betas are negatively related to future stock returns over multiple trading horizons in the UK, Europe, and Canada, and this relationship cannot be explained by common risk factors, including market, size, value, investment, profitability, and momentum. Our findings are robust to the use of firm-level Fama–MacBeth regressions and additional trading horizons.

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全球经济不确定性与横截面股票回报率的国际证据

我们研究了美国以外五大发达股票市场公司层面的全球经济不确定性风险的预测作用。运用投资组合层面的分类策略，我们发现全球特异性不确定性风险比总体或共同不确定性风险具有更强的预测能力。此外，在英国、欧洲和加拿大，特异性不确定性赌注与多个交易期限内的未来股票回报呈负相关，而这种关系无法用普通风险因素（包括市场、规模、价值、投资、盈利能力和动量）来解释。使用公司层面的 Fama-MacBeth 回归和额外的交易期限，我们的研究结果是稳健的。

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

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.