Economic policy uncertainty and short‐term reversals
研究发现经济政策不确定性高时，短期股价反转效应更强，原因是不确定性降低了股市流动性，但该效应能被最新基本面信息缓解。
Abstract In this article, we provide new evidence on the impact of economic policy uncertainty (EPU) on asset pricing. Specifically, we find that short‐term return reversals are stronger following high‐EPU periods, likely due to an uncertainty‐induced decrease in stock market liquidity. However, EPU does not appear to have a significant effect on accounting‐based anomalies, possibly because these anomalies are not driven by stock illiquidity. Our findings suggest that EPU affects short‐term asset prices mainly through stock liquidity. However, EPU may contain incremental information beyond stock liquidity. Moreover, the arrival of the latest fundamental information could significantly mitigate the effect of EPU on short‐term reversals.