دانلود رایگان مقاله آیا عدم اطمینان اقتصادی در مقیاس بازده سهام قیمت گذاری می شود؟

Abstract

We investigate the role of economic uncertainty in the cross-sectional pricing of individual stocks and equity portfolios. We estimate stock exposure to an economic uncertainty index and show that stocks in the lowest uncertainty beta decile generate 6% more annualized risk-adjusted return compared to stocks in the highest uncertainty beta decile. We find that the uncertainty premium is driven by the outperformance (underperformance) by stocks with negative (positive) uncertainty beta. Our results indicate that uncertainty-averse investors demand extra compensation to hold stocks with negative uncertainty beta and they are willing to pay high prices for stocks with positive uncertainty beta.

5. Conclusion

This paper investigates the role of economic uncertainty in the cross-sectional pricing of individual stocks and equity portfolios. Economic uncertainty is quantified with the one-, three-, and 12-month-ahead uncertainty indices of JLN (2015), defined as the conditional volatility of the unforecastable component of a large number of economic indicators. We estimate stock exposure to the uncertainty index and find that the resulting uncertainty betas predict a significant proportion of the cross-sectional dispersion in future stock returns.

Univariate portfolio-level analyses indicate that decile portfolios that are long in stocks with the lowest uncertainty beta and short in stocks with the highest uncertainty beta yield an annualized risk-adjusted return of 6%. We find that this uncertainty premium is driven by the outperformance by stocks with negative uncertainty beta and the underperformance by stocks with positive uncertainty beta. Consistent with theoretical predictions, these results indicate that uncertainty-averse investors demand extra compensation to hold stocks with negative uncertainty beta and they are willing to pay high prices for stocks with positive uncertainty beta.

Bivariate portfolio-level analyses and stock-level cross-sectional regressions that control for well-known pricing effects, including size, book-to-market, momentum, short-term reversal, liquidity, co-skewness, idiosyncratic volatility, dispersion in analysts’ earnings estimates, market volatility beta, investment, profitability, and lottery demand generate similar results. After controlling for each of these variables one-byone and then controlling for all variables simultaneously, the results provide evidence of a significantly negative link between the uncertainty beta and future stock returns. Moreover, the predictive power of the uncertainty beta is not just a one-month affair. It predicts cross-sectional variation in stock returns 11 months into the future. Our main findings also hold for different stock samples, including the S&P 500 stocks, large and liquid stocks. In line with the well-celebrated theoretical models, the uncertainty premium is found to be significantly higher during economic downturns and periods of high economic uncertainty, compared to non-recessionary and relatively tranquil periods, indicating a nonlinear time-varying nature of the uncertainty premium.