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Is there an election cycle in American stock returns?

  • Gartner, Manfred
  • Wellershoff, Klaus W.

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File URL: http://www.sciencedirect.com/science/article/B6W4V-45NP3M5-5/2/fc35837e2b1d7ba4ebdad882ac3b2a17
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Article provided by Elsevier in its journal International Review of Economics & Finance.

Volume (Year): 4 (1995)
Issue (Month): 4 ()
Pages: 387-410

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Handle: RePEc:eee:reveco:v:4:y:1995:i:4:p:387-410
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620165

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  1. Andrew W. Lo & A. Craig MacKinlay, 1987. "Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test," NBER Working Papers 2168, National Bureau of Economic Research, Inc.
  2. Myung Jig Kim & Charles R. Nelson & Richard Startz, 1988. "Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence," NBER Working Papers 2795, National Bureau of Economic Research, Inc.
  3. Haynes, Stephen E & Stone, Joe A, 1990. "Political Models of the Business Cycle Should Be Revived," Economic Inquiry, Western Economic Association International, vol. 28(3), pages 442-65, July.
  4. 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.
  5. William D. Nordhaus, 1989. "Alternative Approaches to the Political Business Cycle," Cowles Foundation Discussion Papers 927, Cowles Foundation for Research in Economics, Yale University.
  6. John Y. Campbell & Robert J. Shiller, 1986. "The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors," NBER Working Papers 2100, National Bureau of Economic Research, Inc.
  7. Nordhaus, William D, 1975. "The Political Business Cycle," Review of Economic Studies, Wiley Blackwell, vol. 42(2), pages 169-90, April.
  8. Umstead, David A, 1977. "Forecasting Stock Market Prices," Journal of Finance, American Finance Association, vol. 32(2), pages 427-41, May.
  9. French, Kenneth R. & Schwert, G. William & Stambaugh, Robert F., 1987. "Expected stock returns and volatility," Journal of Financial Economics, Elsevier, vol. 19(1), pages 3-29, September.
  10. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
  11. Connolly, Robert A., 1991. "A posterior odds analysis of the weekend effect," Journal of Econometrics, Elsevier, vol. 49(1-2), pages 51-104.
  12. Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-617, December.
  13. 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.
  14. Fama, Eugene F. & Schwert, G. William, 1977. "Asset returns and inflation," Journal of Financial Economics, Elsevier, vol. 5(2), pages 115-146, November.
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