Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/19653
Authors: 
Bohl, Martin T.
Döpke, Jörg
Pierdzioch, Christian
Year of Publication: 
2006
Series/Report no.: 
Discussion paper Series 1 / Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank 2006,22
Abstract: 
Using 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.
Subjects: 
Political stock market anomalies
predictability of stock returns
efficient markets hypothesis
real-time forecasting
JEL: 
G14
G11
Document Type: 
Working Paper

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