Is economic uncertainty priced in the cross-section of stock returns?

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Textual analysis in finance (2019, background): “For example, Bali, Brown, and Tang (2017) show that investors demand a higher premium to hold stocks with a negative effect due to uncertainty, Starks and Sun (2016) argue that in times with higher uncertainty flow-performance sensitivity decreases in mutual funds and Zhang (2006) evidences that…”
Dissecting Climate Risks: Are they Reflected in Stock Prices? (2021, background): “climate policy textual factor to the fact that investors hedge this risk (intertemporal hedging argument, Merton (1973), Bali et al. (2017)). To establish our argument, we conjecture that a decrease in this factor translates to bad news for the economy (i.e. it signals increased transition risks), a”
Climate Change News Risk and Corporate Bond Returns (2020, positive): “Bekaert, Hoerova, and Lo Duca (2013), and Bali et al. (2017)).”
The Pollution Premium (2023, methodology): “Similar findings from Bali et al. (2017) suggest that uncertainty is priced in the cross-section by using the alternative measure of the economic uncertainty index proposed by Jurado, Ludvigson, and Ng (2015).”