The Asset-Pricing Implications of Government Economic Policy Uncertainty

Published Online:https://doi.org/10.1287/mnsc.2014.2044

References

  • Aizenman J, Marion NP (1993) Policy uncertainty, persistence and growth. Rev. Internat. Econom. 1(2):145–163.CrossrefGoogle Scholar
  • Ang A, Bekaert G (2007) Stock return predictability: Is it there? Rev. Financial Stud. 20(3):651–707.CrossrefGoogle Scholar
  • Ang A, Hodrick RJ, Xing Y, Zhang X (2006) The cross-section of volatility and expected returns. J. Finance 61(1):259–199.CrossrefGoogle Scholar
  • Baker SR, Bloom N, Davis SJ (2013) Measuring economic policy uncertainty. Working paper, Stanford University, Stanford, CA.Google Scholar
  • Bansal R, Yaron A (2004) Risks for the long run: A potential resolution of asset pricing puzzles. J. Finance 59(4):1481–1509.CrossrefGoogle Scholar
  • Barnett JL (2011) State and local government finances summary: 2009. Report, U.S. Department of Commerce, U.S. Census Bureau, Washington, DC. Accessed November 26, 2014, http://www2.census.gov/govs/local/09_summary_report.pdf.Google Scholar
  • Belo F, Gala VD, Li J (2012) Government spending, political cycles, and the cross-section of stock returns. J. Financial Econom. 107(2):305–324.CrossrefGoogle Scholar
  • Bernanke BS (1983) Irreversibility, uncertainty and cyclical investment. Quart. J. Econom. 98(1):85–106.CrossrefGoogle Scholar
  • Bloom N (2009) The impact of uncertainty shocks. Econometrica 77(3):623–685.CrossrefGoogle Scholar
  • Bloom N, Bond S, Van Reenen J (2007) Uncertainty and investment dynamics. Rev. Econom. Stud. 74(2):391–415.CrossrefGoogle Scholar
  • Born B, Pfeifer J (2014) Policy risk and the business cycle. J. Monetary Econom. 68:68–85.CrossrefGoogle Scholar
  • Boutchkova M, Hitesh D, Durnev A, Molchanov A (2012) Precarious politics and return volatility. Rev. Financial Stud. 25(4): 1111–1154.CrossrefGoogle Scholar
  • Breeden DT, Gibbons MR, Litzenberger RH (1989) Empirical tests of the consumption-oriented CAPM. J. Finance 44(2):231–262.Google Scholar
  • Brennan MJ, Wang AW, Xia Y (2004) Estimation and test of a simple model of intertemporal capital asset pricing. J. Finance 59(4):1743–1775.CrossrefGoogle Scholar
  • Campbell JY, Yogo M (2006) Efficient tests of stock return predictability. J. Financial Econom. 81(1):27–60.CrossrefGoogle Scholar
  • Carhart MM (1997) On persistence in mutual fund performance. J. Finance 52(1):83–110.CrossrefGoogle Scholar
  • Cochrane JH (1996) A cross-sectional test of an investment-based asset pricing model. J. Political Econom. 104(3):572–621.CrossrefGoogle Scholar
  • Cochrane JH (2005) Asset Pricing (Princeton University Press, Princeton, NJ).Google Scholar
  • Cooper I, Priestley R (2009) Time-varying risk premiums and the output gap. Rev. Financial Stud. 22(7):2801–2833.CrossrefGoogle Scholar
  • Da Z, Engelberg J, Gao P (2014) The sum of all FEARS: Investor sentiment and asset prices. Rev. Financial Stud. Forthcoming.Google Scholar
  • Dixit A (1989) Entry and exit decisions under uncertainty. J. Political Econom. 97(3):620–638.CrossrefGoogle Scholar
  • Erb CB, Harvey CR, Viskanta TE (1996) Political risk, economic risk, and financial risk. Financial Analysts J. 52(6):29–46.CrossrefGoogle Scholar
  • Hansen L, Hodrick R (1980) Forward exchange rates as optimal predictors of future spot rates: An econometric analysis. J. Political Econom. 88(5):829–853.CrossrefGoogle Scholar
  • Hansen L, Jagannathan R (1997) Assessing specification errors in stochastic discount factor models. J. Finance 52(2):557–590.CrossrefGoogle Scholar
  • Hassett KA, Metcalf GE (1999) Investment with uncertain tax policy: Does random tax policy discourage investment? Econom. J. 109(457):372–393.Google Scholar
  • Hermes N, Lensink R (2001) Capital flight and the uncertainty of government policies. Econom. Lett. 71(3):377–381.CrossrefGoogle Scholar
  • Hodrick RJ (1992) Dividend yields and expected stock returns: Alternative procedures for inference and measurement. Rev. Financial Stud. 5(2):357–386.CrossrefGoogle Scholar
  • Julio B, Yook Y (2012) Political uncertainty and corporate investment cycles. J. Finance 67(1):45–83.CrossrefGoogle Scholar
  • Kendall MG (1954) Note on bias in the estimation of autocorrelation. Biometrika 41(3–4):403–404.CrossrefGoogle Scholar
  • Knight FHR (1921) Risk, Uncertainty, and Profit (Houghton Mifflin, Boston).CrossrefGoogle Scholar
  • Lettau M, Ludvigson S (2001) Consumption, aggregate wealth, and expected stock returns. J. Finance 56(3):815–849.CrossrefGoogle Scholar
  • Lewellen J, Nagel S, Shanken J (2010) A skeptical appraisal of asset pricing tests. J. Financial Econom. 96(2):175–194.CrossrefGoogle Scholar
  • Marriott FC, Pope JA (1954) Bias in the estimation of autocorrelations. Biometrika 41(3–4):390–402.CrossrefGoogle Scholar
  • Merton RC (1973) An intertemporal capital asset pricing model. Econometrica 41(5):867–887.CrossrefGoogle Scholar
  • Newey WK, West KD (1987) Hypothesis testing with efficient method of moments estimation. Internat. Econom. Rev. 28(3): 777–787.CrossrefGoogle Scholar
  • Pástor L, Stambaugh R (2003) Liquidity risk and expected stock returns. J. Political Econom. 111(3):642–685.CrossrefGoogle Scholar
  • Pástor L, Veronesi P (2012) Uncertainty about government policy and stock prices. J. Finance 67(4):1219–1264.CrossrefGoogle Scholar
  • Pástor L, Veronesi P (2013) Political uncertainty and risk premia. J. Financial Econom. 110(3):520–545.CrossrefGoogle Scholar
  • Santa-Clara P, Valkanov R (2003) The presidential puzzle: Political cycles and the stock market. J. Finance 58(5):1841–1872.CrossrefGoogle Scholar
  • Stambaugh RF (1999) Predictive regressions. J. Financial Econom. 54(3):375–421.CrossrefGoogle Scholar
  • U.S. Census Bureau (2012) Statistical abstracts of the U.S.: 2012. Table 667—Gross domestic product in current and chained (2005) dollars: 1970 to 2010. U.S. Census Bureau, Washington, DC. Accessed November 26, 2014, http://www.census.gov/compendia/statab/2012/tables/12s0667.pdf.Google Scholar
  • U.S. Government Printing Office (GPO) (2014) Table 1.1—Summary of receipts, outlays, and surpluses or deficits (-): 1789–2019. GPO, Washington, DC. Accessed November 26, 2014, http://www.gpo.gov/fdsys/pkg/BUDGET-2015-TAB/xls/BUDGET-2015-TAB-1-1.xls.Google Scholar
  • Vassalou M (2003) News related to future GDP growth as a risk factor in equity returns. J. Financial Econom. 68(1):47–73.CrossrefGoogle Scholar
  • Veronesi P (1999) Stock market overreaction to bad news in good times: A rational expectations equilibrium model. Rev. Financial Stud. 12(5):975–1007.CrossrefGoogle Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.