المستودع الأكاديمي جامعة المدينة

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

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dc.creator Bohl, Martin T.
dc.creator Döpke, Jörg
dc.creator Pierdzioch, Christian
dc.date 2006
dc.date.accessioned 2013-10-16T07:06:08Z
dc.date.available 2013-10-16T07:06:08Z
dc.date.issued 2013-10-16
dc.identifier http://hdl.handle.net/10419/19653
dc.identifier ppn:516360485
dc.identifier RePEc:zbw:bubdp1:4723
dc.identifier.uri http://koha.mediu.edu.my:8181/xmlui/handle/10419/19653
dc.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.
dc.language eng
dc.relation Discussion paper Series 1 / Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank 2006,22
dc.rights http://www.econstor.eu/dspace/Nutzungsbedingungen
dc.subject G14
dc.subject G11
dc.subject ddc:330
dc.subject Political stock market anomalies
dc.subject predictability of stock returns
dc.subject efficient markets hypothesis
dc.subject real-time forecasting
dc.subject Börsenkurs
dc.subject Kapitalertrag
dc.subject Prognose
dc.subject Politische Partei
dc.subject Effizienzmarktthese
dc.subject USA
dc.title Real-time forecasting and political stock market anomalies: evidence for the U.S.
dc.type doc-type:workingPaper
dc.coverage 1953-2002


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