آیا عدم اطمینان اقتصادی در مقیاس بازده سهام قیمت گذاری می شود؟ Is economic uncertainty priced in the cross-section of stock returns?

1. Introduction Merton’s (1973) seminal article indicates that, in a multi-period economy, investors have incentive to hedge against future stochastic shifts in consumption and investment opportunity sets. This implies that state variables that are correlated with changes in consumption and investment opportunities are priced in capital markets such that an asset’s covariance with these state variables is related to its expected returns. Macroeconomic variables are widely accepted candidates for these systematic risk factors because innovations in economic indicators can generate significant impacts on expected returns through several channels. To the extent that investors pursue opportunities arising from changing economic circumstances, we would expect that returns from investment in risky assets are influenced by the extent to which investors vary their exposure to economic fundamentals. Gomes, Kogan, and Zhang (2003), Bloom (2009), Allen, Bali, and Tang (2012), Drechsler (2013), and Jurado, Ludvigson, and Ng (2015) provide theoretical and empirical support for the idea that time variation in the conditional volatility of macroeconomic shocks is linked to real economic activity and asset returns. Thus, economic uncertainty is a relevant state variable affecting future consumption and investment decisions. Motivated by the aforementioned studies, we examine the role of economic uncertainty in the cross-sectional pricing of individual stocks and equity portfolios. We quantify uncertainty using the economic uncertainty index of Jurado, Ludvigson, and Ng (2015, hereafter JLN), defined as the conditional volatility of the unforecastable component of a large number of economic indicators. We estimate stock exposure to the uncertainty index and provide the out-of-sample performance of exante measures of the uncertainty beta in predicting the cross-sectional variation in future stock returns.