Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/99756
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dc.contributorSchool of Accounting and Financeen_US
dc.creatorChui, ACWen_US
dc.date.accessioned2023-07-19T00:57:02Z-
dc.date.available2023-07-19T00:57:02Z-
dc.identifier.urihttp://hdl.handle.net/10397/99756-
dc.language.isoenen_US
dc.publisherWorld Scientificen_US
dc.rights© World Scientific Publishing Co. and Center for Pacific Basin Business, Economics and Finance Researchen_US
dc.rightsElectronic version of an article published as Chui, Andy C.W., 2023, Economic policy uncertainty, short-term reversals, and investor sentiment, Review of Pacific Basin Financial Markets and Policies 26 (2) 2350010, https://doi.org/10.1142/S0219091523500108 © World Scientific Publishing Co. and Center for Pacific Basin Business, Economics and Finance Research https://www.worldscientific.com/worldscinet/rpbfmp.en_US
dc.subjectEconomic policy uncertaintyen_US
dc.subjectInvestor sentimenten_US
dc.subjectLiquidity provisionen_US
dc.subjectReturn reversalsen_US
dc.titleEconomic policy uncertainty, short-term reversals, and investor sentimenten_US
dc.typeJournal/Magazine Articleen_US
dc.identifier.volume26en_US
dc.identifier.issue2en_US
dc.identifier.doi10.1142/S0219091523500108en_US
dcterms.abstractThis study finds that the predictability of economic policy uncertainty on short-term reversals is stronger among stocks exposed more to the volatility index (VIX) and economic policy uncertainty index (EPU). In addition, the predictability of VIX on short-term reversals is stronger among stocks exposed more to this index and the Aruoba-Diebold-Scotti business conditions index (ADS). Furthermore, the finding is robust after controlling for the other popular investor sentiment indexes, the Fama-French five risk factors, financial crises, and firm size.en_US
dcterms.accessRightsopen accessen_US
dcterms.bibliographicCitationReview of pacific basin financial markets and policies, June 2023, v. 26, no. 2, 2350010en_US
dcterms.isPartOfReview of pacific basin financial markets and policiesen_US
dcterms.issued2023-06-
dc.identifier.scopus2-s2.0-85162744143-
dc.identifier.eissn0219-0915en_US
dc.identifier.artn2350010en_US
dc.description.validate202307 bcwwen_US
dc.description.oaAccepted Manuscripten_US
dc.identifier.FolderNumbera2302-
dc.identifier.SubFormID47422-
dc.description.fundingSourceRGCen_US
dc.description.pubStatusPublisheden_US
dc.description.oaCategoryGreen (AAM)en_US
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