Economic Policy Uncertainty and Stock Risk Features
作者机构：Department of FinanceSchool of EconomicsXiamen UniversityXiamen 361005China Wang Yanan Institute for Studies in EconomicsXiamen UniversityXiamen 361005China Postdoctoral WorkstationGuosen SecuritiesShenzhen 518001China
出 版 物：《Frontiers of Economics in China-Selected Publications from Chinese Universities》 (中国高等学校学术文摘·经济学（英文版）)
年 卷 期：2019年第14卷第3期
页 面：461-495页
学科分类：1002[医学-临床医学] 100214[医学-肿瘤学] 10[医学]
基 金：This study is supported by the National Social Sciences Fund of China(No.16BJL028) the National Natural Science Fund of China(No.71771193,No.71471154) China Postdoctoral Science Foundation funded project(No.2017M622671)
主 题：economic policy uncertainty (EPU) stock risk transmission mechanism panel regression
摘 要：In this paper,we introduce economic policy uncertainty by using a stochastic discount *** parameter calibration and static analysis,we investigate the dynamic characteristics of stock risk on different policy *** this basis,we test the channel through policy uncertainty affects stock risk by empirical simulation,and the effect of policy uncertainty on stock risk formation by portfolio analysis,in order to verify the applicability of the theoretical model in ***,the panel model is used to quantitatively analyze the relationship between policy uncertainty and stock *** results show that policy uncertainty can inereuse stock risk through enterprise cash flow,discounting factors and correlation *** effect is still significant after controlling traditional risk factors,corporate heterogeneity,and external environmental *** that are non-state-owned,have lower returns on invested capital and lower asset growth rate manifest greater stock risk when policy uncertainty is *** magnitude of the effect of policy uncertainty on stock risk is larger when the economy is weaker and the policy environment is more unstable.
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