Zhao, Peizhi; Wang, Yuyan - In: International Journal of Financial Studies : open … 10 (2022) 3, pp. 1-18
Economic policy uncertainty has been identified as a new macroeconomic risk factor that harms the stock market's profitability. This paper examines the impact of the Chinese EPU levels on one of the most famous financial anomalies-momentum returns. A new EPU index based on mainland China...