Purpose

This paper aims to evaluate the influence of economic policy uncertainty (EPU) on the momentum effect, analysing its influence depending on the economic cycle and in different quantiles.

Design/methodology/approach

To determine the influence of EPU in the momentum effect taking into account the economic cycle and the level of the quantile, linear regression and quantile regression have been applied for the period from 2 January 1985 to 30 April 2019 for the US stock market.

Findings

It is shown that an increased feeling of insecurity associated with EPU reduces the momentum effect, especially in times of recession. Distinguishing by quantiles, an asymmetry in the impact of EPU in the momentum effect is discovered, finding that EPU reduces (increases) the profits of momentum strategies in the lowest (highest) quantiles. In the highest quantiles, an investor can obtain higher extraordinary returns with this strategy. For example, in the highest quantile, a one-point increase in the EPU levels would have increased the daily profitability by 12.7 basis points. These findings have important implications for investors and policymakers.

Originality/value

To the best of the authors’ knowledge, this is the first paper that evaluates the influence of EPU on the momentum effect by conducting an analysis based on the economic cycle and different quantiles, demonstrating how these factors are relevant in the influence of this uncertainty in the momentum anomaly.

中文翻译：

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经济政策不确定时期的动量策略

目的

本文旨在评估经济政策不确定性（EPU）对动量效应的影响，并根据经济周期和不同分位数来分析其影响。

设计/方法/方法

为了确定EPU在考虑经济周期和分位数水平的情况下对动量效应的影响，已对1985年1月2日至2019年4月30日期间的美国股市采用了线性回归和分位数回归。

发现

结果表明，与EPU相关的不安全感的增加会降低动量效应，尤其是在经济衰退时期。通过分位数进行区分，发现EPU在动量效应中的影响是不对称的，发现EPU降低（增加）了最低（最高）分位数中动量策略的利润。在最高分位数下，投资者可以通过此策略获得更高的非凡收益。例如，在最高分位数中，EPU水平每增加1点，每日获利能力将增加12.7个基点。这些发现对投资者和政策制定者具有重要意义。

创意/价值

据作者所知，这是第一篇通过对经济周期和不同分位数进行分析的方法，评估了EPU对动量效应的影响，论证了这些因素在不确定性影响中的相关性。动量异常。