环境政策和股票价格的价格
1Department of Finance, University of Luxembourg, Esch-sur-Alzette, Luxembourg.
PloS one
|July 28, 2023
概括
环境政策的不确定性对预期的股票回报产生负面影响,而不是市场波动. 基于这种不确定性的风险调整策略产生了显著的投资阿尔法,特别是当共和党人控制参议院时.
科学领域:
- 经济学 经济学 经济学
- 金融 金融 金融 金融 金融
- 政治科学 政治科学是指政治学.
背景情况:
- 信息质量假设认为,投资者的不确定性会影响预期回报与波动性之间的关系.
- 环境政策被探讨为未来经济表现的不精确信号.
研究的目的:
- 调查环境政策不确定性对股票市场回报和波动性的影响.
- 评估基于环境政策不确定性的投资策略的利能力.
主要方法:
- 基于报纸的环境政策不确定性指标 (EPN) 的开发.
- 分析EPN与股票市场波动性之间的相关性.
- 检查EPN对预期收益的影响.
- 使用基于EPN的风险调整构建和评估管理的股权投资组合.
主要成果:
- EPN显示与股票市场波动率的相关性很低.
- EPN对预期回报有显著的负面影响.
- 一个EPN时机策略产生了相当大的股权风险调整的alphas (年化5-6%).
- 在环境政策不确定性较低的时期,这种策略更有效,例如共和党控制参议院时.
结论:
- 环境政策的不确定性是影响预期股票回报的一个关键因素.
- 基于EPN的几倍风险的投资策略是有利可图的.
- 参议院的政治控制影响环境政策的不确定性和投资战略的表现.
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