The 283 Days of Stock Returns after the 2016 Election

77 Pages Posted: 11 Dec 2020 Last revised: 8 Nov 2021

See all articles by Anthony M. Diercks

Anthony M. Diercks

Board of Governors of the Federal Reserve System

Daniel Soques

University of North Carolina (UNC) at Wilmington

William Waller

Tulane University - Finance & Economics

Date Written: November 2, 2021

Abstract

The stock market rose by 25% between the 2016 election and the day TCJA was signed into law. To determine how much the prospect of tax cuts contributed to this increase, we construct a human-based attribution by examining non-public Market Intelligence from FRBNY for each of the 283 days during this period. We find that the prospect of tax cuts had a net impact of less than 1%. Corroborating evidence is provided by a machine textual approach, cross-sectional regressions including a newly constructed optimally-weighted measure of tax exposure, market-based probability measures, and a Gordon growth model

Keywords: Stock Market, Taxes, TCJA

JEL Classification: E00, E58, E60

Suggested Citation

Diercks, Anthony M. and Soques, Daniel and Waller, William, The 283 Days of Stock Returns after the 2016 Election (November 2, 2021). Available at SSRN: https://ssrn.com/abstract=3727719 or http://dx.doi.org/10.2139/ssrn.3727719

Anthony M. Diercks (Contact Author)

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States

Daniel Soques

University of North Carolina (UNC) at Wilmington ( email )

601 South College Road
Wilmington, NC 28403
United States

HOME PAGE: http://people.uncw.edu/soquesd/index.html

William Waller

Tulane University - Finance & Economics ( email )

A.B. Freeman School of Business
7 McAlister Drive
New Orleans, LA 70118
United States

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