with this hypothesis, we show that a one-standard-deviation increase in aggregate uncertainty amplifies the predictive … ability of sentiment for market returns by two to four times relative to when uncertainty is at its mean. We find similar … sensitive to sentiment and for anomaly returns is substantially larger in times of higher uncertainty. The results hold for both …

I empirically investigate whether macroeconomic uncertainty is a priced risk factor in the cross-section of equity and … macroeconomic uncertainty factor is the return on a long/short portfolio of equity options, built on the basis of how implied … volatilities change around scheduled macroeconomic announcements. I find that macroeconomic uncertainty is priced in the cross …