Bekiros, SteliosGupta, RanganMajumdar, Anandamayee2016-11-012016-08Bekiros, 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. 291-296.1544-612310.1016/j.frl.2016.01.012http://hdl.handle.net/2263/57612Information 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© 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.Stock marketsEconomic uncertaintyPredictabilityQuantile regressionPostprint Article