Arbeitspapier
Real-time forecasting and political stock market anomalies: evidence for the U.S.
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Discussion Paper Series 1 ; No. 2006,22
- Klassifikation
-
Wirtschaft
Information and Market Efficiency; Event Studies; Insider Trading
Portfolio Choice; Investment Decisions
- Thema
-
Political stock market anomalies
predictability of stock returns
efficient markets hypothesis
real-time forecasting
Börsenkurs
Kapitalertrag
Prognose
Politische Partei
Effizienzmarktthese
USA
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Bohl, Martin T.
Döpke, Jörg
Pierdzioch, Christian
- Ereignis
-
Veröffentlichung
- (wer)
-
Deutsche Bundesbank
- (wo)
-
Frankfurt a. M.
- (wann)
-
2006
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Bohl, Martin T.
- Döpke, Jörg
- Pierdzioch, Christian
- Deutsche Bundesbank
Entstanden
- 2006
Ähnliche Objekte (12)
Real-time data and business cycle analysis in Germany
Forecasting stock market volatility with macroeconomic variables in real time
The within-distribution business cycle dynamics of German firms
Real-time macroeconomic data and ex ante predictability of stock returns
Does trade openness increase firm-level volatility?
Great moderation at the firm level? Unconditional versus conditional output volatility
European inflation expectations dynamics
The cross-sectional dynamics of German business cycles: a bird's eye view
Capital, labour and productivity: What role do they play in the potential GPD weakness of France, Germany and Italy?
The "Employment Intensity" of Growth in Europe
Haben Konjunkturprognosen in Deutschland einen politischen Bias?
Macroeconomic Forecasts and the Nature of Economic Shocks in Germany
Real-time data and business cycle analysis in Germany
Forecasting stock market volatility with macroeconomic variables in real time
The within-distribution business cycle dynamics of German firms
Real-time macroeconomic data and ex ante predictability of stock returns
Does trade openness increase firm-level volatility?
Great moderation at the firm level? Unconditional versus conditional output volatility
European inflation expectations dynamics
The cross-sectional dynamics of German business cycles: a bird's eye view
Capital, labour and productivity: What role do they play in the potential GPD weakness of France, Germany and Italy?
The "Employment Intensity" of Growth in Europe
Haben Konjunkturprognosen in Deutschland einen politischen Bias?
Macroeconomic Forecasts and the Nature of Economic Shocks in Germany
Real-time data and business cycle analysis in Germany
Forecasting stock market volatility with macroeconomic variables in real time
The within-distribution business cycle dynamics of German firms
Real-time macroeconomic data and ex ante predictability of stock returns
Does trade openness increase firm-level volatility?
Great moderation at the firm level? Unconditional versus conditional output volatility
European inflation expectations dynamics
The cross-sectional dynamics of German business cycles: a bird's eye view
Capital, labour and productivity: What role do they play in the potential GPD weakness of France, Germany and Italy?
The "Employment Intensity" of Growth in Europe
Haben Konjunkturprognosen in Deutschland einen politischen Bias?