Real-time forecasting and political stock market anomalies: evidence for the U.S
AbstractUsing monthly data for the period 1953-2003, we apply a real-time modeling approach to investigate the implications of U.S. political stock market anomalies for forecasting excess stock returns. Our empirical findings show that political variables, selected on the basis of widely used model selection criteria, are often included in real-time forecasting models. However, they do not contribute to systematically improving the performance of simple trading rules. For this reason, political stock market anomalies are not necessarily an indication of market inefficiency. --
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Bibliographic InfoPaper provided by Deutsche Bundesbank, Research Centre in its series Discussion Paper Series 1: Economic Studies with number 2006,22.
Date of creation: 2006
Date of revision:
Political stock market anomalies; predictability of stock returns; efficient markets hypothesis; real-time forecasting;
Find related papers by JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-09-11 (All new papers)
- NEP-ETS-2006-09-11 (Econometric Time Series)
- NEP-FIN-2006-09-11 (Finance)
- NEP-FMK-2006-09-11 (Financial Markets)
- NEP-FOR-2006-09-11 (Forecasting)
- NEP-POL-2006-09-11 (Positive Political Economics)
- NEP-RMG-2006-09-11 (Risk Management)
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