شواهد جدید در مورد عدم اطمینان سیاست های اقتصادی و حق امتیاز

Motivated by well-documented observations that the Chinese equity market is dominated by risk-seeking speculators with a behavioural bias, we test the hypothesis that China's economic policy uncertainty (EPU) commands a positive equity premium. We find stocks with higher EPU betas earn higher average returns, and the EPU factor-mimicking portfolio earns significant abnormal returns. Loadings on the EPU factor positively forecast the cross-section of returns on various sets of portfolios or stocks, controlling for macroeconomic and stock market uncertainty factors, conventional risk factors, and firm characteristics. Our findings are complimentary to the recently reported US evidence of a negative premium.