Monetary policy uncertainty and ambiguity premium from news

IF 6.9 2区经济学 Q1 BUSINESS, FINANCE

Research in International Business and Finance Pub Date : 2025-08-01 DOI:10.1016/j.ribaf.2025.103117

Lei Lin , Jing Tan

引用次数: 0

Abstract

Investors dislike ambiguous news when its quality is hard to judge, and then make trading decisions based on a worst-case belief of information quality. We provide empirical evidence on the cross-sectional pricing implications of ambiguity-averse theory induced by poor information quality. Using news-based monetary policy uncertainty (MPU) index in China, we find that stocks with high MPU exposure earn lower average returns compared to stocks with low MPU exposure. This negative MPU effect is asymmetric and stronger in periods of bad MPU news than in periods of good MPU news. The premium for bearing MPU is not common risk compensation, nor is it explained by the well-known firm characteristics.

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货币政策的不确定性和模糊性从新闻中溢价

投资者不喜欢模棱两可的消息，因为它的质量难以判断，然后根据信息质量的最坏情况信念做出交易决策。我们提供了实证证据对模糊厌恶理论的横断面定价影响诱导信息质量差。利用基于新闻的中国货币政策不确定性（MPU）指数，我们发现MPU敞口高的股票的平均收益低于MPU敞口低的股票。这种负面的MPU效应是不对称的，在MPU消息不好的时期比MPU消息好的时期更强烈。轴承MPU的保费不是一般的风险补偿，也不能用众所周知的公司特征来解释。

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

Research in International Business and Finance BUSINESS, FINANCE-

CiteScore

11.20

自引率

9.20%

发文量

240

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