{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,3,4]],"date-time":"2026-03-04T05:10:33Z","timestamp":1772601033640,"version":"3.50.1"},"reference-count":42,"publisher":"MDPI AG","issue":"4","license":[{"start":{"date-parts":[[2021,3,24]],"date-time":"2021-03-24T00:00:00Z","timestamp":1616544000000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["JRFM"],"abstract":"<jats:p>This paper investigates the relationship between economic policy uncertainty (EPU), an index capturing newspaper coverage of policy-related issues, and momentum profits. Momentum remains an unexplained anomaly. Our findings reveal a statistically negative association between EPU and hedge momentum portfolios. The short side portfolio dominates this effect as compared to the long side. EPU is statistically significant after controlling for macroeconomic variables. Furthermore, the paper conducts a battery of time series analysis, which highlights that EPU has a causal relationship with the hedge portfolio in the short run. On the other hand, the hedge portfolio has a long-term relationship with EPU, not the other way around.<\/jats:p>","DOI":"10.3390\/jrfm14040141","type":"journal-article","created":{"date-parts":[[2021,3,24]],"date-time":"2021-03-24T15:42:19Z","timestamp":1616600539000},"page":"141","update-policy":"https:\/\/doi.org\/10.3390\/mdpi_crossmark_policy","source":"Crossref","is-referenced-by-count":2,"title":["Economic Policy Uncertainty and Stock Return Momentum"],"prefix":"10.3390","volume":"14","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-6099-6781","authenticated-orcid":false,"given":"Garima","family":"Goel","sequence":"first","affiliation":[{"name":"Finance and Accounting Area, Indian Institute of Management Indore (IIM Indore), Indore 453556, India"}]},{"given":"Saumya Ranjan","family":"Dash","sequence":"additional","affiliation":[{"name":"Finance and Accounting Area, Indian Institute of Management Indore (IIM Indore), Indore 453556, India"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-1765-4273","authenticated-orcid":false,"given":"M\u00e1rio Nuno","family":"Mata","sequence":"additional","affiliation":[{"name":"ISCAL-Instituto Superior de Contabilidade e Administra\u00e7\u00e3o de Lisboa, Instituto Polit\u00e9cnico de Lisboa, Avenida Miguel Bombarda 20, 1069-035 Lisboa, Portugal"},{"name":"Polytechnic Institute of Santar\u00e9m, School of Management and Technology (ESGTS-IPS), 2001-904 Santar\u00e9m, Portugal"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-1205-4404","authenticated-orcid":false,"given":"Ant\u00f3nio Bento","family":"Caleiro","sequence":"additional","affiliation":[{"name":"Departamento de Economia, Universidade de Evora, Largo Dos Colegiais, 2, 7002-554 Evora, Portugal"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-1297-4905","authenticated-orcid":false,"given":"Jo\u00e3o","family":"Xavier Rita","sequence":"additional","affiliation":[{"name":"ISCAL-Instituto Superior de Contabilidade e Administra\u00e7\u00e3o de Lisboa, Instituto Polit\u00e9cnico de Lisboa, Avenida Miguel Bombarda 20, 1069-035 Lisboa, Portugal"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-1264-4252","authenticated-orcid":false,"given":"Jos\u00e9 Ant\u00f3nio","family":"Filipe","sequence":"additional","affiliation":[{"name":"Departamento de Matem\u00e1tica, Iscte-Instituto Universit\u00e1rio de Lisboa, ISTAR-Iscte, BRU-Iscte, 1649-026 Lisboa, Portugal"}]}],"member":"1968","published-online":{"date-parts":[[2021,3,24]]},"reference":[{"key":"ref_1","doi-asserted-by":"crossref","first-page":"773","DOI":"10.1111\/fima.12241","article-title":"Underreaction to political information and price momentum","volume":"48","author":"Addoum","year":"2019","journal-title":"Financial Management"},{"key":"ref_2","doi-asserted-by":"crossref","first-page":"242","DOI":"10.1108\/JFEP-11-2016-0074","article-title":"Economic policy uncertainty, market returns and expected return 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