Real-time forecasting and political stock market anomalies: evidence for the U.S.

Please use this identifier to cite or link to this item: http://dspace.mediu.edu.my:8181/xmlui/handle/10419/19653

Title:	Real-time forecasting and political stock market anomalies: evidence for the U.S.
Keywords:	G14 G11 ddc:330 Political stock market anomalies predictability of stock returns efficient markets hypothesis real-time forecasting Börsenkurs Kapitalertrag Prognose Politische Partei Effizienzmarktthese USA
Issue Date:	16-Oct-2013
Description:	Using monthly data for the period 1953-2003, we apply a real-time modeling approach to investigate the implications of U.S. political stock market anomalies for forecasting excess stock returns. Our empirical findings show that political variables, selected on the basis of widely used model selection criteria, are often included in real-time forecasting models. However, they do not contribute to systematically improving the performance of simple trading rules. For this reason, political stock market anomalies are not necessarily an indication of market inefficiency.
URI:	http://koha.mediu.edu.my:8181/xmlui/handle/10419/19653
Other Identifiers:	http://hdl.handle.net/10419/19653 ppn:516360485 RePEc:zbw:bubdp1:4723
Appears in Collections:	EconStor

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