Which uncertainty measures matter for the cross-section of stock returns?

Using recently developed various economic uncertainty measures, we provide a comparison of their pricing power for the cross-section of stock returns during the most recent period. We consider measures by Jurado et al. (2015), Bekaert et al. (2021), the Economic Policy Uncertainty by Baker et al. (2016), and the S&P 500 implied and realized volatilities. Using individual stocks and 100 equity portfolios from 1990 to 2019, we find that the realized volatility exhibits the strongest explanatory power for the cross-section of stock returns. We also find that many of the previous findings are not robust to our empirical approach and sample period.