Economic policy uncertainty and momentum
研究发现经济政策不确定性（EPU）上升会显著降低股票动量策略的收益，原因在于低EPU环境下基金资金流追逐业绩的机制更有效，从而产生更强的动量。
Abstract We show that a news‐based measure of economic policy uncertainty (EPU) negatively forecasts momentum. A 1‐standard‐deviation increase in EPU is associated with a 1.11% decrease in risk‐adjusted momentum returns. The predictive power of EPU is robust after controlling for previously documented economic state variables and macroeconomic uncertainty. We provide an explanation for these results from the perspective of a fund flow‐induced trading mechanism and offer direct empirical support. The literature documents that momentum can be partially attributed to performance‐chasing mutual fund flows. We find that this flow‐induced mechanism functions more effectively in low EPU states, thereby generating stronger stock momentum.