Real-Time Forecasting and Political Stock Market Anomalies: Evidence for the United States
Zusammenfassung
Using monthly data from 1953 to 2003, we apply a real-time modeling approach to investigate the implications of U.S. political stock market anomalies for forecasting excess stock returns in real-time. Our empirical findings show that political variables, chosen on the basis of widely used model-selection criteria, are often included in real-time forecasting models. However, political variables do not contribute systematically to improving the performance of simple trading rules. For this reason, political stock market anomalies are not necessarily an indication of market inefficiency.
Schlüsselwörter
political stock market anomalies; predictability of stock returns; efficient markets hypothesis; real-time forecasting
Zitieren als
Bohl, M., Döpke, J., & Pierdzioch, C. (2008). Real-Time Forecasting and Political Stock Market Anomalies: Evidence for the United States. The Financial Review, 43(3), 323–335.Details
Publikationstyp
Forschungsartikel (Zeitschrift)
Begutachtet
Ja
Publikationsstatus
Veröffentlicht
Jahr
2008
Fachzeitschrift
The Financial Review
Band
43
Ausgabe
3
Erste Seite
323
Letzte Seite
335
Sprache
Englisch
DOI