Trade Policy Uncertainty and Stock Returns

Marcelo Bianconi, Federico Esposito and Marco Sammon

No 830, Discussion Papers Series, Department of Economics, Tufts University from Department of Economics, Tufts University

Abstract: This paper documents new stylized facts on the effects of trade policy uncertainty on stock returns. We exploit quasi-exogenous variation in exposure to policy uncertainty arising from annual votes by US Congress to revoke China's MFN tariff rates between 1990 and 2000. Before the uncertainty was resolved by granting China permanent MFN rates, US manufacturing industries highly exposed to trade policy uncertainty had stock returns 10.4% higher per year than less exposed sectors. We argue that this difference in average returns is a risk premium for exposure to trade policy uncertainty. Indirect exposure to trade policy uncertainty through Input-Output linkages also commands a substantial risk premium.

Date: 2019
New Economics Papers: this item is included in nep-fmk and nep-int
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12)

Downloads: (external link)
http://ase.tufts.edu/economics/documents/papers/20 ... nconiTradePolicy.pdf

Related works:
Journal Article: Trade policy uncertainty and stock returns (2021)
Working Paper: Trade Policy Uncertainty and Stock Returns (2020)
Working Paper: Trade Policy Uncertainty and Stock Returns (2020)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:tuf:tuftec:0830

Access Statistics for this paper

More papers in Discussion Papers Series, Department of Economics, Tufts University from Department of Economics, Tufts University Medford, MA 02155, USA.
Bibliographic data for series maintained by Marcus Weir ( this e-mail address is bad, please contact ).