Hudson, R., Urquhart, A. and Zhang, H. orcid.org/0000-0002-8727-4906 (2020) Political uncertainty and sentiment: Evidence from the impact of Brexit on financial markets. European Economic Review, 129. 103523. ISSN 0014-2921
Abstract
This paper investigates whether the impact of Brexit on financial markets is consistent with rational asset pricing models using 34 financial indices. Our results indicate that, whilst Brexit events affect both the risk and returns of stocks, the returns on event days are largely justified by the risk and the risk premium on those days. Our results support the appropriateness of rational asset pricing models even in a period of such high political uncertainty and potentially raised sentiment.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2020 Published by Elsevier B.V. This is an author produced version of a paper subsequently published in European Economic Review. Uploaded in accordance with the publisher's self-archiving policy. Article available under the terms of the CC-BY-NC-ND licence (https://creativecommons.org/licenses/by-nc-nd/4.0/). |
Keywords: | Event Study; EU Referendum; Risk; Investor Sentiment; Market Efficiency |
Dates: |
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Institution: | The University of Sheffield |
Academic Units: | The University of Sheffield > Faculty of Social Sciences (Sheffield) > Management School (Sheffield) |
Depositing User: | Symplectic Sheffield |
Date Deposited: | 20 Jul 2020 09:27 |
Last Modified: | 16 Jul 2022 00:13 |
Status: | Published |
Publisher: | Elsevier BV |
Refereed: | Yes |
Identification Number: | 10.1016/j.euroecorev.2020.103523 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:163445 |
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Licence: CC-BY-NC-ND 4.0