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This study aims to analyse the effects of Economic Policy Uncertainty (EPU) on the return of growth/value and small/large-cap stocks during expansionary and recessionary periods across a conditional distribution.

The authors selected a sample covering the period between 01/1995–05/2021. Quantile regressions were applied to the EPU and Russell indices. Business cycles were established following the NBER.

The results show that EPU has a negative effect on stocks with the intensity of the effect depending on the stock's profile. Small-cap and growth stocks were found to be most sensitive to EPU, especially during recessions. The negative effect is moderated by the economic cycle but is progressively diluted at the lower tail of the stock return distribution.

The findings shed more light on investment strategies for growth/value investors that pursue opportunities arising from a changing economic cycle.

This study makes the following contributions: (1) explores the impact of EPU on the return of different stocks across a conditional distribution, and (2) provides evidence on how the economic cycle influences EPU impact on growth/value stocks and small/large stocks.

:本研究擬分析跨條件分佈、以及於擴張期和衰退期,經濟政策不確定性對成長型股票/價值股和小盤股/大型股的收益的影響。

我們選擇了涵蓋1995年1月與2021年5月期間的樣本進行研究。我們於經濟政策不確定性指數和羅素指數上採用分位數迴歸法進行研究; 並跟隨著美國國家經濟研究局,建立了多個經濟週期。

研究結果顯示,經濟政策不確定性對股票是有負面影響的,而影響的強度則視乎股票的投資組合而定。我們發現,小盤股和成長型股票對經濟政策不確定性是非常敏感的,尤其是在經濟衰退期間。這負面影響會被經濟週期緩和,唯這緩和作用卻會在股票收益的低尾處逐漸減輕。

研究結果使我們更容易理解為尋找因經濟週期改變而衍生的機會的增長/價值投資者所提供的投資策略。

本研究有以下的貢獻:(一) 、 探究了經濟政策不確定性對跨條件分佈、不同的股票收益的影響; (二) 、為經濟週期會如何左右經濟政策不確定性對成長型股票/價值股和小盤股/大型股的影響,提供了證據。