Financial regulatory policy uncertainty: An informative predictor for financial industry stock returns

IF 3.8 3区 经济学 Q1 BUSINESS, FINANCE
Yaojie Zhang , Xinyi Zhao , Zhikai Zhang
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引用次数: 0

Abstract

We find that financial regulatory policy uncertainty is an informative indicator for predicting returns of financial industry stocks, outperforming popular predictive variables both in-sample and out-of-sample. Mean-variance investors can achieve substantial economic gains by allocating assets based on the information provided by the financial regulatory policy uncertainty index. Placebo tests suggest that other policy uncertainty indices do not provide predictive information for stock returns of the financial industry, and financial regulatory policy uncertainty cannot forecast stock returns of other industries. We demonstrate that the predictive power of financial regulatory policy uncertainty stems from the cash flow channel, potentially due to the inhibitory effect of uncertainty on firms’ economic activities.
金融监管政策的不确定性:金融行业股票收益的信息预测
我们发现金融监管政策的不确定性是预测金融行业股票收益的信息指标,优于样本内和样本外流行的预测变量。均值方差投资者可以根据金融监管政策不确定性指数提供的信息进行资产配置,从而获得可观的经济收益。安慰剂检验表明,其他政策不确定性指标不能为金融业股票收益提供预测信息,金融监管政策不确定性不能预测其他行业股票收益。我们证明了金融监管政策不确定性的预测能力源于现金流渠道,这可能是由于不确定性对企业经济活动的抑制作用。
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来源期刊
CiteScore
7.30
自引率
8.30%
发文量
168
期刊介绍: The focus of the North-American Journal of Economics and Finance is on the economics of integration of goods, services, financial markets, at both regional and global levels with the role of economic policy in that process playing an important role. Both theoretical and empirical papers are welcome. Empirical and policy-related papers that rely on data and the experiences of countries outside North America are also welcome. Papers should offer concrete lessons about the ongoing process of globalization, or policy implications about how governments, domestic or international institutions, can improve the coordination of their activities. Empirical analysis should be capable of replication. Authors of accepted papers will be encouraged to supply data and computer programs.
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