We show that a news-based measure of economic policy uncertainty (EPU) negatively forecasts momentum. A one-standard-deviation increase in EPU is associated with a 1.11% decrease in risk-adjusted momentum returns. The predictive power of EPU is robust after controlling for previously documented economic state variables and macroeconomic uncertainty. We provide an explanation for these results from the perspective of a fund-flow-induced trading mechanism and offer direct empirical support. Overall, our findings suggest that EPU is an important determinant of time-series variation in momentum.

中文翻译：

---

经济政策的不确定性和动力

我们表明，基于新闻的经济政策不确定性 (EPU) 衡量标准对势头有负面预测。EPU 一个标准差的增加与风险调整后的动量回报减少 1.11% 相关。在控制了先前记录的经济状态变量和宏观经济不确定性之后，EPU 的预测能力是强大的。我们从资金流动诱导的交易机制的角度对这些结果进行解释，并提供直接的实证支持。总的来说，我们的研究结果表明 EPU 是动量时间序列变化的重要决定因素。