upward movements in realized market return volatility. Common wisdom connects these spikes with elevated uncertainty on … state variables and parameters. I show that infrequent, large and relatively transitory macroeconomic uncertainty shocks …, the onset of the second Gulf War, and the great financial crisis of 2008-2009. I compute macroeconomic uncertainty as the …

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 …