@article{jfe2021932,
author={{Adjei, Frederick and Adjei, Mavis},
title={Trade Policy Uncertainty, Market Return, and Expected Return Predictability},
journal={Journal of Finance and Economics},
volume={9},
number={3},
pages={106--114},
year={2021},
url={http://pubs.sciepub.com/jfe/9/3/2},
issn={2328-7276},
abstract={Using the Trade Policy Uncertainty (<i>TPU</i>) index as a proxy for the level of trade policy uncertainty in the U.S. economy, we study the impact of the level of trade policy uncertainty on the conditional mean of market returns. Additionally, we investigate the predictive power of trade policy uncertainty on future market returns. Our findings show that after accounting for business cycle effects, <i>TPU</i> does <i>not </i>impact contemporaneous market returns. However, <i>TPU</i> is a robust predictor of future market returns in both univariate and bivariate regression tests. Specifically, our findings present unequivocal evidence of a positive relation between <i>TPU</i> and expected market returns.},
doi={10.12691/jfe-9-3-2}
publisher={Science and Education Publishing}
}