The effects of sentiment should be strongest during times of heightened valuation uncertainty. As such, we document a … significant amplifying role for market uncertainty in the relation between sentiment and aggregate investment. A one …-standard-deviation increase in uncertainty more than doubles the effect of sentiment on investment. Moreover, allowing uncertainty …

Purpose: We investigate the nature and degree of US economic policy uncertainty spillover on the stock markets of a … to explore the nature and degree of US economic policy uncertainty spillover on the stock markets of the GCC countries ….Findings: We find that an unexpected increase in the US economic policy uncertainty significantly decreases the stock market index …

correlation between output and aggregate uncertainty. We find the transmission of uncertainty shocks to output is weak, while … aggregate uncertainty endogenously responds to first moment shocks in the presence of labor market search frictions. This … indicates that countercyclical movements in aggregate uncertainty are endogenous responses to changes in output, rather than …

This paper evidences the explanatory power of managers' uncertainty for cross-sectional stock returns. I introduce a … novel measure of the degree of managers' uncertain beliefs about future states: manager uncertainty (MU), defined as the … count of the word “uncertainty” over the sum of the count of the word “uncertainty” and the count of the word “risk” in …

We propose a new instrument to identify uncertainty shocks in a SVAR model with external instruments. The instrument is … constructed by exploiting variations in the price of gold around events that capture periods of changes in uncertainty. The … variations in the price of gold around the events correlate with the underlying uncertainty shocks, due to the perception of gold …

We introduce Implied Volatility Duration (IVD) as a new measure for the timing of uncertainty resolution, with a high … average more than five percent return per year as a compensation for a late resolution of uncertainty. In a general … a preference for early resolution of uncertainty. Our empirical analysis thus provides a purely market-based assessment …