Motivated by recent studies documenting an equity premium associated with economic policy uncertainty (EPU), we test the hypothesis that the EPU premium is stronger (weaker) following periods of low (high) investor sentiment. We estimate stock sensitivity to an economic policy uncertainty (EPU) index and show that stocks in the Australian equities market in the highest uncertainty beta quintile underperform stocks in the lowest quintile, similar to U.S. stocks. However, we find that this negative uncertainty premium remains significant only following periods of low investor sentiment as it disappears following periods of high sentiment. Our results complement the U.S. evidence in that uncertainty averse investors are willing to pay high prices for stocks with positive uncertainty beta and require extra compensation to hold stocks with the negative beta, but only in low sentiment periods. These results are consistent with strong (weak) intertemporal hedging demand for positive EPU beta stocks in low (high) sentiment periods. It is also consistent with limited (full) participation of pessimistic investors and investors with a high aversion to uncertainty in low (high) sentiment periods. Our results suggest that betting against EPU as a trading strategy would be relatively more profitable when executed during low sentiment periods.

受近期研究证明与经济政策不确定性（EPU）相关的股权溢价的影响，我们检验了以下假设：在投资者情绪低迷时期之后，EPU溢价更强（减弱）。我们估计了股票对经济政策不确定性（EPU）指数的敏感性，并表明，不确定性最高的五分位五分之一的澳大利亚股票市场的股票跑输了最低的五分之一的表现低于美国的股票。但是，我们发现这种负的不确定性溢价只有在投资者情绪低迷时期才保持显着，因为在情绪高迷时期之后就消失了。我们的结果补充了美国 有证据表明，厌恶不确定性的投资者愿意为不确定性beta为正的股票支付高价，并要求额外赔偿以持有具有负beta的股票，但仅限于情绪低迷时期。这些结果与在低（高）景气时期对正EPU beta存量的强劲（弱）跨期套期需求一致。这也与悲观投资者的有限（充分）参与以及对低（高）情绪期不确定性的高度厌恶的投资者的参与是一致的。我们的结果表明，在情绪低迷时期执行EPU作为一种交易策略时，其获利相对较高。这也与悲观投资者的有限（充分）参与以及对低（高）情绪期不确定性的高度厌恶的投资者的参与是一致的。我们的结果表明，在情绪低迷时期执行EPU作为一种交易策略时，其获利相对较高。这也与悲观投资者的有限（充分）参与以及对低（高）情绪期不确定性的高度厌恶的投资者的参与是一致的。我们的结果表明，在情绪低迷时期执行EPU作为一种交易策略时，其获利相对较高。