Economic policy uncertainty and the cost of equity capital
研究了经济政策不确定性如何影响股权资本成本，发现高不确定性时期市场风险溢价上升，投资者转向低风险资产。
Abstract In this paper, we investigate the role of economic policy uncertainty (EPU) in the cost of equity capital. Our findings suggest that the relationship between EPU and the security market line (SML) varies cross‐sectionally. Following periods of high EPU, the SML tends to slope upward, whereas it exhibits a downward slope following periods of low EPU. In the time‐series analysis, we observe that EPU significantly and positively affects the beta premium. Further evidence shows that investors may adjust their portfolios, shifting investments from higher‐risk assets to lower‐risk assets when confronted with high EPU.