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Is presidential cycle in security returns merely a reflection of business conditions?

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  • Booth, James R.
  • Booth, Lena Chua
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    Bibliographic Info

    Article provided by Elsevier in its journal Review of Financial Economics.

    Volume (Year): 12 (2003)
    Issue (Month): 2 ()
    Pages: 131-159

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    Handle: RePEc:eee:revfin:v:12:y:2003:i:2:p:131-159

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    Web page: http://www.elsevier.com/locate/inca/620170

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    1. Alberto Alesina, 1988. "Macroeconomics and Politics," NBER Chapters, in: NBER Macroeconomics Annual 1988, Volume 3, pages 13-62 National Bureau of Economic Research, Inc.
    2. Rogoff, Kenneth, 1990. "Equilibrium Political Budget Cycles," American Economic Review, American Economic Association, vol. 80(1), pages 21-36, March.
    3. Willem Thorbecke, 1998. "On Stock Market Returns and Monetary Policy," Macroeconomics 9812009, EconWPA.
    4. Martin Neil Baily, 1978. "Stabilization Policy and Private Economic Behavior," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 9(1), pages 11-60.
    5. Banz, Rolf W., 1981. "The relationship between return and market value of common stocks," Journal of Financial Economics, Elsevier, vol. 9(1), pages 3-18, March.
    6. Jensen, Gerald R. & Mercer, Jeffrey M. & Johnson, Robert R., 1996. "Business conditions, monetary policy, and expected security returns," Journal of Financial Economics, Elsevier, vol. 40(2), pages 213-237, February.
    7. Lobo, Bento J., 1999. "Jump risk in the U.S. stock market: Evidence using political information," Review of Financial Economics, Elsevier, vol. 8(2), pages 149-163.
    8. Chen, Nai-Fu, 1991. " Financial Investment Opportunities and the Macroeconomy," Journal of Finance, American Finance Association, vol. 46(2), pages 529-54, June.
    9. Campbell, John, 1987. "Stock Returns and the Term Structure," Scholarly Articles 3207699, Harvard University Department of Economics.
    10. Fama, Eugene F. & French, Kenneth R., 1988. "Dividend yields and expected stock returns," Journal of Financial Economics, Elsevier, vol. 22(1), pages 3-25, October.
    11. G. William Schwert, 1990. "Stock Returns and Real Activity: A Century of Evidence," NBER Working Papers 3296, National Bureau of Economic Research, Inc.
    12. Chen, Nai-Fu & Roll, Richard & Ross, Stephen A, 1986. "Economic Forces and the Stock Market," The Journal of Business, University of Chicago Press, vol. 59(3), pages 383-403, July.
    13. Donald B. Keim & Robert F. Stambaugh, . "Predicting Returns in the Stock and Bond Markets," Rodney L. White Center for Financial Research Working Papers 15-85, Wharton School Rodney L. White Center for Financial Research.
    14. Gartner, Manfred & Wellershoff, Klaus W., 1995. "Is there an election cycle in American stock returns?," International Review of Economics & Finance, Elsevier, vol. 4(4), pages 387-410.
    15. Fama, Eugene F, 1990. " Stock Returns, Expected Returns, and Real Activity," Journal of Finance, American Finance Association, vol. 45(4), pages 1089-1108, September.
    16. Stephen R Foerster & John J Schmitz, 1997. "The Transmission of U.S. Election Cycles to International Stock Returns," Journal of International Business Studies, Palgrave Macmillan, vol. 28(1), pages 1-27, March.
    17. Nordhaus, William D, 1975. "The Political Business Cycle," Review of Economic Studies, Wiley Blackwell, vol. 42(2), pages 169-90, April.
    18. Fama, Eugene F. & French, Kenneth R., 1989. "Business conditions and expected returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 25(1), pages 23-49, November.
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    Cited by:
    1. Lawrence A. Leger & Vitor Leone, 2007. "Changes in the risk structure of stock returns. Consumer Confidence and the Dotcom Bubble," Discussion Paper Series 2007_15, Department of Economics, Loughborough University, revised Jun 2007.
    2. Manfred Gärtner, 2008. "Predicting the Presidential Election Cycle in US Stock Prices: Guinea Pigs versus the Pros," University of St. Gallen Department of Economics working paper series 2008 2008-06, Department of Economics, University of St. Gallen.
    3. Chrétien, Stéphane & Coggins, Frank, 2009. "Election outcomes and financial market returns in Canada," The North American Journal of Economics and Finance, Elsevier, vol. 20(1), pages 1-23, March.
    4. Bialkowski, Jedrzej & Gottschalk, Katrin & Wisniewski, Tomasz Piotr, 2008. "Stock market volatility around national elections," Journal of Banking & Finance, Elsevier, vol. 32(9), pages 1941-1953, September.
    5. R. Kraeussl & A. Lucas & D. Rijsbergen & P.J. van der Sluis & E. Vrugt, 2008. "Washington meets Wall Street: A Closer Examination of the Presidential Cycle Puzzle," Tinbergen Institute Discussion Papers 08-101/2, Tinbergen Institute.
    6. Bohl, Martin T. & Gottschalk, Katrin, 2006. "International evidence on the Democrat premium and the presidential cycle effect," The North American Journal of Economics and Finance, Elsevier, vol. 17(2), pages 107-120, August.
    7. K. Arin & Alexander Molchanov & Otto Reich, 2013. "Politics, stock markets, and model uncertainty," Empirical Economics, Springer, vol. 45(1), pages 23-38, August.
    8. Alvarez-Ramirez, J. & Rodriguez, E. & Espinosa-Paredes, G., 2012. "A partisan effect in the efficiency of the US stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(20), pages 4923-4932.
    9. R. Kraeussl & A. Lucas & D. Rijsbergen & P.J. van der Sluis & E. Vrugt, 2008. "Washington meets Wall Street: A Closer Examination of the Presidential Cycle Puzzle," Tinbergen Institute Discussion Papers 08-101/2, Tinbergen Institute.
    10. Roman Kraussl & Andre Lucas & David R. Rijsbergen & Pieter Jelle van der Sluis & Evert B. Vrugt, 2013. "Washington Meets Wall Street: A Closer Examination of the Presidential Cylce Puzzle," CREA Discussion Paper Series 13-4, Center for Research in Economic Analysis, University of Luxembourg.
    11. Wong, Wing-Keung & McAleer, Michael, 2009. "Mapping the Presidential Election Cycle in US stock markets," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(11), pages 3267-3277.

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