Open AccessPosted Content
The Presidential Puzzle: Political Cycles and the Stock Market
TLDR
The difference in returns through the political cycle is therefore a puzzle as mentioned in this paper, which is not explained by business-cycle variables related to expected returns, and is not concentrated around election dates.Abstract:
The excess return in the stock market is higher under Democratic than Republican presidencies: 9 percent for the value-weighted and 16 percent for the equal-weighted portfolio. The difference comes from higher real stock returns and lower real interest rates, is statistically significant, and is robust in subsamples. The difference in returns is not explained by business-cycle variables related to expected returns, and is not concentrated around election dates. There is no difference in the riskiness of the stock market across presidencies that could justify a risk premium. The difference in returns through the political cycle is therefore a puzzle.read more
Citations
More filters
Journal ArticleDOI
Uncertainty about Government Policy and Stock Prices
TL;DR: This paper analyzed how changes in government policy affect stock prices and found that stock prices should fall at the announcements of policy changes, on average, if uncertainty about government policy is large, and also if the policy change is preceded by a short or shallow economic downturn.
Journal ArticleDOI
Political Uncertainty and Risk Premia
TL;DR: This article developed a general equilibrium model of government policy choice in which stock prices respond to political news, which implies that political uncertainty commands a risk premium whose magnitude is larger in weaker economic conditions.
Journal ArticleDOI
The Asset Pricing Implications of Government Economic Policy Uncertainty
TL;DR: It is found that EPU positively forecasts log excess market returns and innovations in EPU earn a significant negative risk premium in the Fama-French 25 size-momentum portfolios.
Journal ArticleDOI
Corporate Political Contributions and Stock Returns
TL;DR: The authors developed a new and comprehensive database of firm-level contributions to U.S. political campaigns from 1979 to 2004, and constructed variables that measure the extent of firm support for candidates.
Journal ArticleDOI
Stock market volatility around national elections
TL;DR: In this paper, the authors investigated whether the event of a national election induces higher stock market volatility and found that the countryspecific component of index return variance can easily double during the week around the Election Day, which attests to the fact that investors are surprised by the actual election outcome.
References
More filters
Book
An introduction to the bootstrap
Bradley Efron,Robert Tibshirani +1 more
TL;DR: This article presents bootstrap methods for estimation, using simple arguments, with Minitab macros for implementing these methods, as well as some examples of how these methods could be used for estimation purposes.
ReportDOI
A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix
Whitney K. Newey,Kenneth D. West +1 more
TL;DR: In this article, a simple method of calculating a heteroskedasticity and autocorrelation consistent covariance matrix that is positive semi-definite by construction is described.
Book
The econometrics of financial markets
TL;DR: In this paper, Campbell, Lo, and MacKinlay present an attempt by three well-known and well-respected scholars to fill an acknowledged void in the empirical finance literature, a text covering the burgeoning field of empirical finance.
Book
Bootstrap Methods and Their Application
Anthony C. Davison,David Hinkley +1 more
TL;DR: In this paper, a broad and up-to-date coverage of bootstrap methods, with numerous applied examples, developed in a coherent way with the necessary theoretical basis, is given, along with a disk of purpose-written S-Plus programs for implementing the methods described in the text.
Journal ArticleDOI
Efficient Capital Markets: II
TL;DR: A review of the market efficiency literature can be found in this article, where the authors discuss the work that they find most interesting, and offer their views on what we have learned from the research on market efficiency.