Abstract
AbstractMotivated by the purportedly close relation between economic uncertainty and future stock returns in the US, we investigate the predictive role of this potential factor in the Australian stock market. Applying portfolio‐sorting strategies based on economic uncertainty exposure measured by individual stock betas, we find that uncertainty betas negatively relate to future stock returns over short‐ and medium‐term trading horizons. Moreover, common asset pricing models, including the capital asset pricing model (CAPM) and the Fama and French three‐, five‐, and six‐factor models, cannot explain these relations. The results remain robust when applying firm‐level Fama and MacBeth regressions.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
