The effect of the uncertainty of economic policies and people's health on the excess returns of companies in different quantiles

Economic uncertainty, which means difficulty in predicting the economic environment, comes from various factors such as political instability, change and uncertainty of government policies, natural disasters and market fluctuations, which can affect the surplus efficiency of companies. Also, people's health is also considered as another important factor affecting the surplus efficiency of companies.

Accordingly; the main purpose of this research is to investigate the effect of uncertainty of economic policies and people's health on the surplus efficiency of companies in different quantiles in the period of 1385 to 1401. Quantile regression is a statistical method that was first introduced by Koenker and Bassett (1978). One of the advantages of this model is to identify the shape of the distribution of the dependent variable of the model at different levels of the independent variable.

The estimation of the research model using the quantile regression method indicates that the transmission of the oil price to the surplus stock market, in addition to the direct route, also takes place indirectly through the exchange rate channel. So that in the higher quantiles, i.e. when the stock market is booming, the change in oil price return on the stock market is only indirect and through the exchange rate channel, and the decrease in oil prices (oil revenues) is the same as in the two sanctions periods, it strengthens the stock market through the increase of the exchange rate. In addition, it was observed that the increase in air pollution, which is a measure of people's health, causes people to invest less in stocks due to lower income and increased health risks; When the stock supply remains relatively constant and the demand decreases, the stock price and yield also decrease, and accordingly, air pollution at its higher levels can lead to a decrease in the excess yield of firms.

Based on the findings of the research, it is concluded that in examining the factors affecting the surplus efficiency of companies, the two factors of economic policy uncertainty and people's health should be considered, so that the increase in economic policy uncertainty leads to a decrease in surplus efficiency and Also, the increase in air pollution and the decrease in people's health also lead to a decrease in the surplus efficiency of companies.