International Evidence on the Democrat Premium and the Presidential Cycle Effect

North American Journal of Economics and Finance, Forthcoming

25 Pages Posted: 18 Apr 2006

See all articles by Martin T. Bohl

Martin T. Bohl

University of Muenster

Katrin Gottschalk

Auckland University of Technology - Business School - Department of Finance; European University Viadrina - Department of Finance and Capital Market Theory

Abstract

In this paper, we provide further empirical evidence on the relationship between political cycles and stock returns. While previous empirical results on the Democrat premium and the presidential cycle effect are limited to the US, we investigate both anomalies using an international dataset covering 15 countries. The data base allows us to apply a panel framework, in addition to an empirical analysis of the individual countries. Our results show that the Democrat premium and the presidential cycle effect are not strikingly pervasive global phenomena. This finding is robust and valid after controlling for business cycle conditions. The panel regressions do not support either of the two anomalies.

Keywords: Stock market efficiency, stock market anomalies, presidential cycle, Democrat premium, panel analysis

JEL Classification: G15, G18, C12

Suggested Citation

Bohl, Martin T. and Gottschalk, Katrin, International Evidence on the Democrat Premium and the Presidential Cycle Effect. North American Journal of Economics and Finance, Forthcoming, Available at SSRN: https://ssrn.com/abstract=892151

Martin T. Bohl

University of Muenster ( email )

Schlossplatz 2
D-48149 Muenster, D-48149
Germany

Katrin Gottschalk (Contact Author)

Auckland University of Technology - Business School - Department of Finance ( email )

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European University Viadrina - Department of Finance and Capital Market Theory

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