Abstract:Motivated 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 (C… Show more
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