Quantitative Selection of Election Portfolios

25 Pages Posted: 22 Aug 2018 Last revised: 5 Feb 2019

See all articles by Michael Hanke

Michael Hanke

University of Liechtenstein

Sebastian Stöckl

University of Liechtenstein

Alex Weissensteiner

Free University of Bolzano Bozen

Date Written: February 1, 2019

Abstract

We combine stock prices with data from political betting markets in order to assess individual stock price sensitivity to potential election outcomes. Selecting stocks before the elections based on this sensitivity, we build portfolios that generate large positive returns after the election date conditional on the election outcome. This outperformance persists for several days after the elections, leading to positive returns even for investors who build their portfolios once the election outcome becomes known. The approach is illustrated using data from the US presidential elections 2016 and the Brexit referendum 2016.

Keywords: betting odds, election portfolios, political uncertainty

JEL Classification: G11, D72

Suggested Citation

Hanke, Michael and Stöckl, Sebastian and Weissensteiner, Alex, Quantitative Selection of Election Portfolios (February 1, 2019). Available at SSRN: https://ssrn.com/abstract=3229788 or http://dx.doi.org/10.2139/ssrn.3229788

Michael Hanke

University of Liechtenstein ( email )

Fuerst Franz Josef-Strasse
Vaduz, FL-9490
Liechtenstein

Sebastian Stöckl (Contact Author)

University of Liechtenstein ( email )

Fürst-Franz-Josef-Strasse
Vaduz, FL-9490
Liechtenstein

HOME PAGE: http://www.uni.li/sebastian.stoeckl

Alex Weissensteiner

Free University of Bolzano Bozen ( email )

Universitätsplatz 1
Bolzano, 39100
+39 0471 013496 (Phone)

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