This study examines the role of policy and technological risk on U.S. stock returns. The results will highlight the effect of economic policy uncertainty on stock returns, given that such uncertainty rose to historically high levels after the recession of 2007-2009. In our case, uncertainty is related to tax, spending, and monetary policies. To identify the effect of different uncertainties (shocks) related to stochastic driving processes on stock returns, the empirical methodology allows factors relative to capital and labour tax rates, government spending, monetary policy and total factor productivity to play a leading role in the process of affecting stock returns, whereas the econometric methodology builds upon the stochastic volatility in mean (TVP-SVM) model by Koopman and Hol Uspensky (2002). The empirical findings document the importance of both policy and technological risks, especially after the recent financial crisis event. The findings also carry substantial implications for asset pricing modelling, indicating not only the time-varying character of shocks but also the asymmetric effect of such shocks on stock returns.