Implications of economic policy uncertainty on the industry level asset pricing in the U.S.

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dc.contributorAalto Universityen
dc.contributorAalto-yliopistofi
dc.contributor.advisorJylhä, Petri
dc.contributor.authorRiihimäki, Julia
dc.contributor.departmentRahoituksen laitosfi
dc.contributor.schoolKauppakorkeakoulufi
dc.contributor.schoolSchool of Businessen
dc.date.accessioned2019-02-17T17:05:27Z
dc.date.available2019-02-17T17:05:27Z
dc.date.issued2018
dc.description.abstractThis paper analyses whether economic policy uncertainty acts as a systematic risk factor in 49 industry portfolios which include all U.S. firms listed on NYSE, AMEX, and NASDAQ. Empirically, the paper shows that the economic policy uncertainty, EPU, does not conduct statistically significant risk premium in the sample period from the beginning of January 1985 until the end of July 2017. This evidence is partly contradictory to the aggregate market level documentation of the EPU risk premium. In addition to examining the EPU risk premium, this research conducts portfolio analysis based on different industries’ sensitivities towards the EPU. Results from empirical tests also show that industry portfolios with similar sensitivities towards the EPU have integrative characteristics.en
dc.format.extent28
dc.format.mimetypeapplication/pdfen
dc.identifier.urihttps://aaltodoc.aalto.fi/handle/123456789/36513
dc.identifier.urnURN:NBN:fi:aalto-201902171675
dc.language.isoenen
dc.programmeRahoitusen
dc.subject.keywordeconomic policy uncertaintyen
dc.subject.keywordrisk premiumen
dc.subject.keywordasset pricingen
dc.subject.keywordportfolio sortsen
dc.subject.keywordrisk factoren
dc.titleImplications of economic policy uncertainty on the industry level asset pricing in the U.S.en
dc.titleA study of political uncertainty as a systematic risk factor
dc.typeG1 Kandidaatintyöfi
dc.type.ontasotBachelor's thesisen
dc.type.ontasotKandidaatintyöfi

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