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dc.contributor.authorKräussl, Romanen
dc.contributor.authorLucas, Andréen
dc.contributor.authorRijsbergen, David R.en
dc.contributor.authorvan der Sluis, Pieter Jelleen
dc.contributor.authorVrugt, Evert B.en
dc.date.accessioned2010-03-29-
dc.date.accessioned2010-12-15T09:21:52Z-
dc.date.available2010-12-15T09:21:52Z-
dc.date.issued2010-
dc.identifier.piurn:nbn:de:hebis:30-75795en
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
dc.language.isoengen
dc.publisher|aGoethe University Frankfurt, Center for Financial Studies (CFS) |cFrankfurt a. M.en
dc.relation.ispartofseries|aCFS Working Paper |x2010/06en
dc.subject.jelE32en
dc.subject.jelG14en
dc.subject.jelP16en
dc.subject.ddc330en
dc.subject.keywordPolitical Economyen
dc.subject.keywordMarket Efficiencyen
dc.subject.keywordAnomaliesen
dc.subject.keywordCalendar Effectsen
dc.subject.stwPräsidentschaftswahlen
dc.subject.stwSpillover-Effekten
dc.subject.stwFinanzmarkten
dc.subject.stwMarkteffizienzen
dc.subject.stwZeiten
dc.subject.stwUSAen
dc.titleWashington meets Wall Street: A closer examination of the presidential cycle puzzle-
dc.typeWorking Paperen
dc.identifier.ppn622761366en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:cfswop:201006en

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