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Political uncertainty and sentiment: Evidence from the impact of Brexit on financial markets

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Political uncertainty and sentiment: Evidence from the impact of Brexit on financial markets. / Andrew Urquhart; Robert Hudson.
In: European Economic Review, 01.10.2020.

Research output: Contribution to journal › Article › peer-review

HarvardHarvard

Andrew Urquhart & Robert Hudson 2020, 'Political uncertainty and sentiment: Evidence from the impact of Brexit on financial markets', European Economic Review. https://doi.org/10.1016/j.euroecorev.2020.103523

APA

Andrew Urquhart, & Robert Hudson (2020). Political uncertainty and sentiment: Evidence from the impact of Brexit on financial markets. European Economic Review. https://doi.org/10.1016/j.euroecorev.2020.103523

CBE

Andrew Urquhart, Robert Hudson. 2020. Political uncertainty and sentiment: Evidence from the impact of Brexit on financial markets. European Economic Review. https://doi.org/10.1016/j.euroecorev.2020.103523

MLA

Andrew Urquhart and Robert Hudson. "Political uncertainty and sentiment: Evidence from the impact of Brexit on financial markets". European Economic Review. 2020. https://doi.org/10.1016/j.euroecorev.2020.103523

VancouverVancouver

Andrew Urquhart, Robert Hudson. Political uncertainty and sentiment: Evidence from the impact of Brexit on financial markets. European Economic Review. 2020 Oct 1. doi: 10.1016/j.euroecorev.2020.103523

Author

Andrew Urquhart ; Robert Hudson. / Political uncertainty and sentiment: Evidence from the impact of Brexit on financial markets. In: European Economic Review. 2020.

RIS

TY - JOUR

T1 - Political uncertainty and sentiment: Evidence from the impact of Brexit on financial markets

AU - Andrew Urquhart

AU - Robert Hudson

AU - Zhang, Hanxiong

PY - 2020/10/1

Y1 - 2020/10/1

N2 - 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.

AB - 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.

U2 - 10.1016/j.euroecorev.2020.103523

DO - 10.1016/j.euroecorev.2020.103523

M3 - Article

JO - European Economic Review

JF - European Economic Review

SN - 0014-2921

ER -