Macroeconomic Uncertainty and Expected Stock Returns is a recent paper (Bali, Brown, and Tang (2015)) finds an economically important effect on uncertainty on returns.
This paper introduces a broad index of macroeconomic uncertainty based
on ex-ante measures of cross-sectional dispersion in economic
forecasts by the Survey of Professional Forecasters. We estimate
individual stock exposure to a newly proposed measure of economic
uncertainty index and find that the resulting uncertainty beta
predicts a significant proportion of the cross-sectional dispersion in
stock returns. After controlling for a large set of stock
characteristics and risk factors, we find the predicted negative
relation between uncertainty beta and future stock returns remains
economically and statistically significant. The significantly negative
uncertainty premium is robust to alternative measures of uncertainty
index and distinct from the negative market volatility risk premium
identified by earlier studies.
Dynamic co-movements of stock market returns, implied volatility and policy uncertainty (Antonakakisa, Chatziantonioua, and Filisb (2013)) finds that policy uncertainty, as measured by Baker, Bloom, and Davis (2013), has an unconditional correlation with the Vix of about 0.43. But using a DCC_Garch they find episodes when this correlation was negative, which may be surprising.