This paper investigates tail risk in emerging stock markets by comparing the investable and noninvestable segments in terms of the expected shortfall of standardized returns and tail dependence on the world market. Employing the skewed Student-t GJR-GARCH model and the symmetrized Joe-Clayton...

This study proposes a new approach that bridges the asset pricing implications of economic policy uncertainty (EPU) and the dynamic debt-financing decisions of Chinese firms. The approach introduces a new variable, firm-level policy risk (FLPR), in empirical tests. FLPR embraces two elements,...

This paper examines the effects of economic policy uncertainty shocks on stock-bond correlations for the US market. We devise a general framework which distinguishes a positive shock from a negative one and nests either as its special case. The results show that innovations in the policy...

This paper investigates the impact of innovations in US economic policy uncertainty on the co-movements of, respectively, the Shanghai A-share, the Shenzhen A-share, the Shanghai B-share and the Shenzhen B-share market, with the US stock market. We show that it is absolute changes in the US...

This study investigates the effects of economic policy uncertainty on capital structure decisions for US firms. We use all the five EPU indexes available, conduct both static and dynamic panel regression analyses, control for firm characteristics, take into account global financial episodes, and...