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.