Journal of Banking & Finance Vol. 171 2025
Uncertainty and cross-sectional stock returns: Evidence from China
Abstract
We study the impact of macroeconomic and financial uncertainties on cross-sectional returns in the Chinese stock market. We find that stocks with a lower macroeconomic uncertainty beta generate higher excess returns, implying that macroeconomic uncertainty commands a negative risk premium. Meanwhile, the exposure to financial uncertainty is not priced in stock returns. Unlike financial uncertainty, macroeconomic uncertainty is a state variable that predicts a deterioration in economic activity, suggesting that investors require a premium for holding stocks that correlate negatively with it.
- DOI
- 10.1016/j.jbankfin.2024.107374
- Volume
- 171
- Pages
- 107374
- Language
- en
- Sources
- openalex crossref bibtex:phds-export.bib