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The impact of economic policy uncertainty on stock returns: the role of corporate environmental responsibility engagement

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This paper examines the impact of economic policy uncertainty (EPU) on market-driven common stock returns and individual-driven idiosyncratic stock returns as well as explores the role of corporate environmental responsibility (CER) engagement on this impact based on a sample of 175 firms listed on Shanghai and Shenzhen 300 index from 2008 to 2016. The results show that an increase in EPU significantly reduces the market-driven common stock returns but increases individual-driven idiosyncratic stock returns. Further, EPU has a lower negative impact on the common stock returns of high-CER firms comparing with low-CER firms. EPU has a higher positive impact on idiosyncratic stock returns of high-CER firms comparing with low-CER firms. Overall, the findings of this paper extremely relevant for the government, investors and firm’s managers and can be utilised for policy and investment decision-making.
Original languageEnglish
JournalInternational Journal of Finance and Economics
Publication statusAccepted for publication - 18 Jun 2020

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  • ALBITAR_2020_cright_The Impact of Economic Policy Uncertainty on Stock Returns

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    Accepted author manuscript (Post-print), 512 KB, PDF document

    Due to publisher’s copyright restrictions, this document is not freely available to download from this website until: 1/01/50

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