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Real-Time Forecasting and Political Stock Market Anomalies: Evidence for the United States
Ist Teil von
The Financial review (Buffalo, N.Y.), 2008-08, Vol.43 (3), p.323-335
Ort / Verlag
Malden, USA: Blackwell Publishing Inc
Erscheinungsjahr
2008
Quelle
Wiley Online Library
Beschreibungen/Notizen
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.