Real-Time Forecasting and Political Stock Market Anomalies: Evidence for the United States
Abstract
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.
Keywords
political stock market anomalies; predictability of stock returns; efficient markets hypothesis; real-time forecasting
Cite as
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
Publication type
Research article (journal)
Peer reviewed
Yes
Publication status
Published
Year
2008
Journal
The Financial Review
Volume
43
Issue
3
Start page
323
End page
335
Language
English
DOI