Abstract
We investigate the role of economic uncertainty in the cross-sectional pricing of individual stocks and equity portfolios. We estimate stock exposure to an economic uncertainty index and show that stocks in the lowest uncertainty beta decile generate 6% more annualized risk-adjusted return compared to stocks in the highest uncertainty beta decile. We find that the uncertainty premium is driven by the outperformance (underperformance) by stocks with negative (positive) uncertainty beta. Our results indicate that uncertainty-averse investors demand extra compensation to hold stocks with negative uncertainty beta and they are willing to pay high prices for stocks with positive uncertainty beta.
本文研究经济不确定性在个股和股票组合的横截面定价中的作用。考察股票收益在经济不确定性指数这个变量上的风险暴露(exposure)发现，经济不确定性beta最低十分位组比最高组的股票高出6%的经风险调整后的年化收益。该不确定性溢价是由具有负（正）不确定性beta股票的优异（不佳）表现(outperformance / underperformance)所引起。本文的研究结果表明，不确定性厌恶(uncertainty averse)的投资者需要额外的补偿以持有那些不确定性beta为负的股票，且他们愿意为具有正不确定性beta的股票支付高价。
