Economic policy uncertainty and excess stock returns in Japan from year 2012-2017

Salim, Alvina (2018) Economic policy uncertainty and excess stock returns in Japan from year 2012-2017. Bachelor thesis, Universitas Pelita Harapan.

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Abstract

This paper examines the role of economic policy uncertainty in the cross-sectional pricing individual stocks and equity portfolios Japan. The paper finds a negative relationship between economic policy uncertainty and stock return. Stocks with the most negatively sensitive to economic policy uncertainty beta generate 0,098% more annualized risk-adjusted return compared to the stocks with the least sensitive to economic policy uncertainty. Uncertainty premium is driven by the outperformance and underperformance of stock with negative and neutral uncertainty beta. The results indicate that investors demand higher compensation to hold stocks with negative uncertainty beta.

Item Type:	Thesis (Bachelor)
Creators:	Creators NIM Email Salim, Alvina NIM00000013524 UNSPECIFIED
Contributors:	Contribution Contributors NIDN/NIDK Email Thesis advisor Handoko, Liza NIDN0315019003 liza.handoko@uph.edu
Additional Information:	SK 11-14 SAL e ; 31001000258872
Uncontrolled Keywords:	economic policy uncertainty (epu); cross-section returns; excess stock returns; Japan.
Subjects:	H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management
Divisions:	University Subject > Current > Faculty/School - UPH Karawaci > Business School > Management Current > Faculty/School - UPH Karawaci > Business School > Management
Depositing User:	Marselita New
Date Deposited:	17 Jun 2022 11:18
Last Modified:	04 Dec 2023 03:33
URI:	http://repository.uph.edu/id/eprint/47859

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