Political Cycles in US Industry Returns

37 Pages Posted: 6 Dec 2005

See all articles by Jeffrey Scott Stangl

Jeffrey Scott Stangl

Massey University - School of Economics and Finance

Ben Jacobsen

Tilburg University - TIAS School for Business and Society; Massey University

Multiple version iconThere are 2 versions of this paper

Date Written: November 30, 2005

Abstract

After correcting industry returns for general market movements and known risk factors, using either the Single-Index or the Fama-French three factor models, we find no evidence of two well known political effects documented for general stock market returns in the United States. Contrary to the general market, adjusted industry returns do not show a significant or consistent underperformance under Republican presidents. Contrary to general market indices, adjusted industry returns do not exhibit significant or a consistent presidential election cycle effect. Our results defy popular belief that some industries perform consistently better under either Democrats or Republicans, and suggest these two political effects are market wide phenomena whose explanation should be sought at a macro economic level.

Keywords: efficient markets, industry returns, political cycles

Suggested Citation

Stangl, Jeffrey Scott and Jacobsen, Ben, Political Cycles in US Industry Returns (November 30, 2005). Available at SSRN: https://ssrn.com/abstract=864804 or http://dx.doi.org/10.2139/ssrn.864804

Jeffrey Scott Stangl (Contact Author)

Massey University - School of Economics and Finance ( email )

Auckland
New Zealand
+64 414 0800 (9487) (Phone)

Ben Jacobsen

Tilburg University - TIAS School for Business and Society ( email )

Warandelaan 2
TIAS Building
Tilburg, Noord Brabant 5037 AB
Netherlands

Massey University ( email )

Auckland
New Zealand

Register to save articles to
your library

Register

Paper statistics

Downloads
313
rank
94,535
Abstract Views
1,545
PlumX Metrics
!

Under construction: SSRN citations while be offline until July when we will launch a brand new and improved citations service, check here for more details.

For more information