A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2020; you can also visit the original URL.
The file type is
This paper introduces a broad index of macroeconomic uncertainty based on the ex-ante measures of cross-sectional dispersion in economic forecasts by the Survey of Professional Forecasters. We estimate individual stock exposures to a newly proposed measure of economic uncertainty index and find that the resulting uncertainty beta predicts a significant proportion of the cross-sectional dispersion in stock returns. After controlling for a large set of stock characteristics and risk factors, wedoi:10.2139/ssrn.2407279 fatcat:p66yfxh5qvddtnwxtsyzeuudju