eng Science and Education Publishing Journal of Finance and Economics 2328-7276 2021-06-15 9 3 106 114 10.12691/jfe-9-3-2 JFE2021932 article Frederick Adjei 1 Mavis Adjei fadjei@semo.edu 2 Economics and Finance Department, Southeast Missouri State University, Cape Girardeau, USA Department of Marketing and Management, Southern Illinois University, Carbondale, USA Using the Trade Policy Uncertainty (TPU) 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, TPU does not impact contemporaneous market returns. However, TPU 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 TPU and expected market returns. http://pubs.sciepub.com/jfe/9/3/2/jfe-9-3-2.pdf Trade Policy Uncertainty