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Economic Policy Uncertainty and Stock Return Momentum

2021-03Journal article Open access
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dc.contributor.authorGoel, Garima
dc.contributor.authorDash, Saumya Ranjan
dc.contributor.authorMata, Mário Nuno
dc.contributor.authorCaleiro, António Bento
dc.contributor.authorXavier Rita, João
dc.contributor.authorFilipe, J.A.
dc.date.accessioned2021-03-31T16:09:52Z
dc.date.available2021-03-31T16:09:52Z
dc.date.issued2021-03
dc.descriptionArtigo publicado em revista científica internacionalpt_PT
dc.description.abstractThis paper investigates the relationship between economic policy uncertainty (EPU), an index capturing newspaper coverage of policy-related issues, and momentum profits. Momentum remains an unexplained anomaly. Our findings reveal a statistically negative association between EPU and hedge momentum portfolios. The short side portfolio dominates this effect as compared to the long side. EPU is statistically significant after controlling for macroeconomic variables. Further- more, the paper conducts a battery of time series analysis, which highlights that EPU has a causal relationship with the hedge portfolio in the short run. On the other hand, the hedge portfolio has a long-term relationship with EPU, not the other way around.pt_PT
dc.description.versioninfo:eu-repo/semantics/publishedVersionpt_PT
dc.identifier.citationGoel, G., Dash, S. R., Mata, M. N., Caleiro, A. B., Xavier Rita, J., & Filipe, J. A. (2021). Economic Policy Uncertainty and Stock Return Momentum. Journal of Risk and Financial Management, 14(4), 141. doi:10.3390/jrfm14040141pt_PT
dc.identifier.doihttps://doi.org/10.3390/jrfm14040141pt_PT
dc.identifier.urihttp://hdl.handle.net/10400.21/13179
dc.language.isoengpt_PT
dc.peerreviewedyespt_PT
dc.publisherMDPIpt_PT
dc.relation.ispartofseries;4
dc.relation.publisherversionhttps://www.mdpi.com/1911-8074/14/4/141pt_PT
dc.subjectMomentumpt_PT
dc.subjectEconomic policy uncertaintypt_PT
dc.subjectMacroeconomypt_PT
dc.titleEconomic Policy Uncertainty and Stock Return Momentumpt_PT
dc.typejournal article
dspace.entity.typePublication
oaire.citation.endPage17pt_PT
oaire.citation.startPage1pt_PT
oaire.citation.titleJournal of Risk and Financial Managementpt_PT
oaire.citation.volume14pt_PT
person.familyNameGOEL
person.familyNameMata
person.familyNameRatão Caleiro
person.familyNameXavier Rita
person.familyNameCandeias Bonito Filipe
person.givenNameGARIMA
person.givenNameMário Nuno
person.givenNameAntónio Bento
person.givenNameJoão
person.givenNameJosé António
person.identifier1403614
person.identifierB-2815-2008
person.identifier1489121
person.identifierC-7792-2016
person.identifier.ciencia-idFA13-1761-4192
person.identifier.ciencia-idBD11-26C0-7DDD
person.identifier.ciencia-id6116-C0DA-5ACE
person.identifier.ciencia-id0810-AD60-EC4E
person.identifier.orcid0000-0002-6099-6781
person.identifier.orcid0000-0003-1765-4273
person.identifier.orcid0000-0003-1205-4404
person.identifier.orcid0000-0003-1297-4905
person.identifier.orcid0000-0003-1264-4252
person.identifier.scopus-author-id11738890000
person.identifier.scopus-author-id57224368373
person.identifier.scopus-author-id55588192500
rcaap.rightsopenAccesspt_PT
rcaap.typearticlept_PT
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