Real-Time Forecasting and Political Stock Market Anomalies: Evidence for the U.S

32 Pages Posted: 8 Jun 2016

See all articles by Martin T. Bohl

Martin T. Bohl

University of Muenster

Jörg Döpke

Deutsche Bundesbank

Christian Pierdzioch

Saarland University - Department of Economics and Statistics

Date Written: 2006

Abstract

Using monthly data for the period 1953-2003, we apply a real-time modeling approach

Keywords: Political stock market anomalies, predictability of stock returns, efficient markets hypothesis, real-time forecasting

JEL Classification: G14, G11

Suggested Citation

Bohl, Martin T. and Döpke, Jörg and Pierdzioch, Christian, Real-Time Forecasting and Political Stock Market Anomalies: Evidence for the U.S (2006). Bundesbank Series 1 Discussion Paper No. 2006,22, Available at SSRN: https://ssrn.com/abstract=2785251 or http://dx.doi.org/10.2139/ssrn.2785251

Martin T. Bohl (Contact Author)

University of Muenster ( email )

Schlossplatz 2
D-48149 Muenster, D-48149
Germany

Jörg Döpke

Deutsche Bundesbank ( email )

Wilhelm-Epstein-Str. 14
Frankfurt/Main, 60431
Germany
+49-069-9566-3051 (Phone)

Christian Pierdzioch

Saarland University - Department of Economics and Statistics ( email )

P.O. Box 151150
D-66041 Saarbruecken
Germany
+49 681 302 58195 (Phone)
+49 681 302 58193 (Fax)

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