Economic uncertainty and stock returns
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2024-06-26
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en
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Motivated by the results of Ilut and Schneider (2014) this paper examines the relation between ambiguity and stock returns using S&P500 data and data from the Survey of Professional forecasters. Other research mainly focusses on the risk return trade-off whereas this study is more focussed on ambiguity. Using the dispersion in individual forecasts for inflation, real GDP growth and inflation to measure ambiguity, I find a negative effect for inflation ambiguity, mixed results for real GDP growth ambiguity and a positive effect for unemployment ambiguity, particularly during high unemployment periods. Additionally, the results imply significant effects of unanticipated inflation, real GDP, and unemployment as well. Robustness checks with different time periods and a different measure for ambiguity indicate not very high robustness of the ambiguity effects.
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Faculteit der Managementwetenschappen