This paper is built around a simple premise that is based on the theoretical models of Harris and Raviv (1993) and Kandel and Pearson (1995). Complex statements are more difficult to interpret and may be construed in different ways by different agents. This creates heterogeneity of beliefs among...

Economic policy touches most facets of corporate decision-making and variations in policy can elicit significant changes in financial performance and asset prices. We utilise the EPU measure of Baker et al. (2016) to investigate the extent to which policy uncertainty influences Australian...

Economic policy uncertainty (EPU) relates to ambiguity surrounding possible changes in government policy and their associate impact on firm performance. This uncertainty places additional stress on economic agents and has implications for the global economy via delays in firm investment and...

The Australian federal election cycle, which occurs every 3 years, causes much media attention and invokes much consternation regarding investment decisions in both the real economy and financial markets. This paper constructs measures of political uncertainty and formally explores their...

This letter explores a single research question: How does political uncertainty, outside of the election cycle, influence financial market uncertainty? Using the UK (‘Brexit') referendum on EU membership as a novel event to examine this question, I identify a positive and well defined...

This article examines the relationship between changes in the level of investor fear (measured by VIX) and financial market returns. We document a statistically significant relationship, across asset classes, consistent with a flight to quality as investor fear increases. As VIX increase there...