Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 21, 2017 erstellt
Description:
Contrary to the recently reported US evidence of a negative premium, this study shows that China's economic policy uncertainty (EPU) commands a positive equity risk premium. Motivated by the observation that Chinese stock traders have a strong risk appetite and a cognitive bias, we modify the assumption underlying the orthodox ICAPM framework to derive hypotheses consistent with the Chinese context, and test them based on multifactor models. We find that stocks with higher EPU betas earn significantly higher average returns. Loadings on the EPU factor incrementally and positively forecast the cross-section of returns on portfolios and individual stocks