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http://hdl.handle.net/10419/43214
  

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dc.contributor.authorKräussl, Romanen_US
dc.contributor.authorLucas, Andréen_US
dc.contributor.authorRijsbergen, David R.en_US
dc.contributor.authorvan der Sluis, Pieter Jelleen_US
dc.contributor.authorVrugt, Evert B.en_US
dc.date.accessioned2010-03-29en_US
dc.date.accessioned2010-12-15T09:21:52Z-
dc.date.available2010-12-15T09:21:52Z-
dc.date.issued2010en_US
dc.identifier.piurn:nbn:de:hebis:30-75795-
dc.identifier.urihttp://hdl.handle.net/10419/43214-
dc.description.abstractWe show that average excess returns during the last two years of the presidential cycle are significantly higher than during the first two years: 9.8 percent over the period 1948 2008. This pattern in returns cannot be explained by business-cycle variables capturing time-varying risk premia, differences in risk levels, or by consumer and investor sentiment. In this paper, we formally test the presidential election cycle (PEC) hypothesis as the alternative explanation found in the literature for explaining the presidential cycle anomaly. PEC states that incumbent parties and presidents have an incentive to manipulate the economy (via budget expansions and taxes) to remain in power. We formulate eight empirically testable propositions relating to the fiscal, monetary, tax, unexpected inflation and political implications of the PEC hypothesis. We do not find statistically significant evidence confirming the PEC hypothesis as a plausible explanation for the presidential cycle effect. The existence of the presidential cycle effect in U.S. financial markets thus remains a puzzle that cannot be easily explained by politicians employing their economic influence to remain in power.en_US
dc.language.isoengen_US
dc.publisherCenter for Financial Studies Frankfurt, Mainen_US
dc.relation.ispartofseriesCFS Working Paper 2010/06en_US
dc.subject.jelE32en_US
dc.subject.jelG14en_US
dc.subject.jelP16en_US
dc.subject.ddc330en_US
dc.subject.keywordPolitical Economyen_US
dc.subject.keywordMarket Efficiencyen_US
dc.subject.keywordAnomaliesen_US
dc.subject.keywordCalendar Effectsen_US
dc.subject.stwPräsidentschaftswahlen_US
dc.subject.stwSpillover-Effekten_US
dc.subject.stwFinanzmarkten_US
dc.subject.stwMarkteffizienzen_US
dc.subject.stwZeiten_US
dc.subject.stwUSAen_US
dc.titleWashington meets Wall Street: A closer examination of the presidential cycle puzzleen_US
dc.typeWorking Paperen_US
dc.identifier.ppn622761366en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:cfswop:201006-
Appears in Collections:CFS Working Paper Series, Universität Frankfurt a. M.

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