Incorporating economic policy uncertainty in US equity premium models : a nonlinear predictability analysis

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dc.contributor.author Bekiros, Stelios
dc.contributor.author Gupta, Rangan
dc.contributor.author Majumdar, Anandamayee
dc.date.accessioned 2016-11-01T13:13:49Z
dc.date.issued 2016-08
dc.description.abstract Information on economic policy uncertainty does matter in predicting the US equity premium, especially when accounting for structural instabilities and omitted nonlinearities in their relationship, via a quantile predictive regression approach over the monthly period 1900:1–2014:2. Unlike as suggested by a linear mean-based predictive model, the extended quantile regression model with the incorporation of the EPU proxy, enhances significantly the out-of-sample stock return predictability. This is observed especially when the market is neutral, exhibits a slide or mildly upward trending behavior, yet not when the market appears to turn highly bullish. en_ZA
dc.description.department Economics en_ZA
dc.description.embargo 2017-08-31
dc.description.librarian hb2016 en_ZA
dc.description.uri http://www.elsevier.com/locate/frl en_ZA
dc.identifier.citation Bekiros, S, Gupta, R & Majumdar, A 2016, 'Incorporating economic policy uncertainty in US equity premium models : a nonlinear predictability analysis', Finance Research Letters, vol. 18, pp. 291-296. en_ZA
dc.identifier.issn 1544-6123
dc.identifier.other 10.1016/j.frl.2016.01.012
dc.identifier.uri http://hdl.handle.net/2263/57612
dc.language.iso en en_ZA
dc.publisher Elsevier en_ZA
dc.rights © 2016 Elsevier Inc. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Finance Research Letters. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in Finance Research Letters, vol. 18, pp. 291-296, 2016. doi : 10.1016/j.frl.2016.01.012. en_ZA
dc.subject Stock markets en_ZA
dc.subject Economic uncertainty en_ZA
dc.subject Predictability en_ZA
dc.subject Quantile regression en_ZA
dc.title Incorporating economic policy uncertainty in US equity premium models : a nonlinear predictability analysis en_ZA
dc.type Postprint Article en_ZA


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