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Predicting anomaly performance with politics, the weather, global warming, sunspots, and the stars

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  • Novy-Marx, Robert

Abstract

Predictive regressions find that the party of the US president, the weather in Manhattan, global warming, the El Niño phenomenon, sunspots, and the conjunctions of the planets all have significant power predicting the performance of popular anomalies. The interpretation of these results has important implications for the asset pricing literature.

Suggested Citation

  • Novy-Marx, Robert, 2014. "Predicting anomaly performance with politics, the weather, global warming, sunspots, and the stars," Journal of Financial Economics, Elsevier, vol. 112(2), pages 137-146.
    • Handle: RePEc:eee:jfinec:v:112:y:2014:i:2:p:137-146
    DOI: 10.1016/j.jfineco.2014.02.002
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    More about this item

    Keywords

    Predictive regressions; Anomaly performance;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General

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