Macroeconomic Uncertainty and Expected Stock Returns

@inproceedings{Bali2015MacroeconomicUA,
  title={Macroeconomic Uncertainty and Expected Stock Returns},
  author={Turan G. Bali and Stephen J. Brown and Yi Tang},
  year={2015}
}
This paper introduces a broad index of macroeconomic uncertainty based on the ex-ante measures of cross-sectional dispersion in economic forecasts by the Survey of Professional Forecasters. We estimate individual stock exposures to a newly proposed measure of economic uncertainty index and find that the resulting uncertainty beta predicts a significant proportion of the cross-sectional dispersion in stock returns. After controlling for a large set of stock characteristics and risk factors, we… 

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