The Asset-Pricing Implications of Government Economic Policy Uncertainty

By Jonathan Brogaard, Andrew Detzel. Management Sciences, 2015

1,335 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/2d4156833ea1424599efd95e797a6b2bc0881e89

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Rangan Gupta
2. Tiecheng Leng
3. X. Tian
4. Brandon Julio
5. Elie Bouri
6. Julian Atanassov
7. M. Wohar
8. Po-Hsuan Hsu

In Finance

1. Rangan Gupta
2. Elie Bouri
3. Haroon Mumtaz
4. Artyom Durnev
5. Gonul Colak
6. Po-Hsuan Hsu
7. Hieu V. Phan
8. X. Tian

Citations in the corpus

• The pandemic and economic policy uncertainty (2020, background): “On the one hand, increasing EPU leads to higher volatility in the overall economy and market; Brogaard and Detzel (2015) argue that the EPU index could serve as a proxy to help forecast financial market returns.”
• Policy uncertainty and loan loss provisions in the banking industry (2020, neutral): “Many recent studies have used this index to examine the economic consequences of PU (e.g., Bhagat and Obreja, 2013; Brogaard and Detzel, 2015; Gulen and Ion, 2016; Kim and Kung, 2017; Nguyen and Phan, 2017).”
• Economic Policy Uncertainty and Capital Structure Choice: Evidence from China (2015, background): “Using alternative policy uncertainty measures, previous literature has explored the associations of economic policy uncertainty with asset prices (Pastor and Veronesi, 2013; Brogaard and Detzel, 2012), corporate investment decisions (Julio and Yook, 2012; Gulen and Ion, 2013) and IPO activities (Col”
• Carbon Tail Risk (2020, positive): “Similar evidence is provided by Brogaard and Detzel (2015). Brogaard et al.”
• The interactive relationship between the US economic policy uncertainty and BRIC stock markets (2016, background): “Brogaard and Detzel (2015) provide evidence showing that the impact of a high degree of economic policy uncertainty is higher on the future stock returns than on the contemporaneous returns Although few studies focus on the influence of the EPU index returns in the US on the stock market returns in…”
• Oil price shocks, economic policy uncertainty and industry stock returns in China: Asymmetric effects with quantile regression (2017, background): “…uncertainty affects financial markets, such as equity portfolios and stocks (Anderson et al., 2009; Bekaert et al., 2009; Pástor and Veronesi, 2012; Brogaard and Detzel, 2015; Bekiros et al., 2016), volatility and investment opportunities (Bloom et al., 2007; Bloom, 2009), and energy and metals…”
• Political Uncertainty and Accounting Conservatism (2013, neutral): “Several asset pricing studies examine the impact of political uncertainty on stock returns (e.g., Belo et al. 2012; Boutchkova et al. 2012; Brogaard and Detzel 2012).”