United States Investment Returns during Democratic and Republican Administrations, 1928–1993

Hensel, Chris R.; Ziemba, William T.

doi:10.2469/faj.v51.n2.1882

Cited by 123 publications

(96 citation statements)

References 0 publications

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“…Interestingly, Santa-Clara and Valkanov (2003) argue that excess stock market returns in the US were significantly higher under Democratic rather than Republican presidencies. This return gap allows investors to design profitable trading strategies based on this anomaly (Hensel and Ziemba, 1995). While these results appear to be convincing in the US context, they are not easily generalizable to other nations (Cahan et al, 2005;Bohl and Gottschalk, 2006;Döpke and Pierdzioch, 2006;Bialkowski et al, 2007).…”

Section: 2the Impact Of Politicsmentioning

confidence: 88%

Does economic policy uncertainty drive CDS spreads?

Wisniewski

Lambe

2015

International Review of Financial Analysis

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This study analyzes the dynamic interactions between changes in economic policy uncertainty and the fluctuations in cost of credit protection. We find that the differenced iTraxx and CDX indices are Granger-caused by variations in the political environment. Within a Vector Autoregressive framework, impulse response functions show a significant reaction of the CDS spreads to shocks in the policy risk. Implied in these findings is the possibility that country-level risk can permeate to the corporations. Furthermore, financial institutions and traders should closely monitor political developments in order to better predict the CDS premia.JEL Codes: G12; G13; G22; P16

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Section: 2the Impact Of Politicsmentioning

confidence: 88%

Does economic policy uncertainty drive CDS spreads?

Wisniewski

Lambe

2015

International Review of Financial Analysis

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“…He also advised investors to stay out of the stock market during the first two years of Republican administrations. Hensel and Ziemba (1995), as well as Gärtner and Wellershoff (1995), note that the predictable political cycle was observed for small and large capitalization stocks alike and that it showed up during both Democratic and Republican rule.…”

Section: Political Business Cycle and Electionsmentioning

confidence: 92%

“…This very question was addressed in a paper by Hensel and Ziemba (1995). They discovered that, during their sample period running from 1929 to 1992, small capitalization stocks earned 20.54% per annum under Democratic administrations and a mere 1.94% under Republican administrations.…”

Section: Political Orientation Of the Leadership And Stock Markementioning

confidence: 99%

Is There a Link between Politics and Stock Returns? A Literature Survey

Wisniewski

2015

SSRN Journal

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This survey starts by reviewing the literature investigating whether political connectedness of companies creates wealth for their shareholders. It then moves on to examine whether there is an association between the orientation of the political executive or the phase of the electoral cycle with movements of the stock market index. The price impact of politically-relevant events, such as wars, terrorist attacks, revolutions, coups or issuance of communications by those in positions of power is also discussed. The review closes with an examination of the impact of political uncertainty on stock markets and with a reflection on the direction of causality.JEL codes: G12; G14; G18; F50

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“…However, some empirical studies conducted in different international stock markets have also reported that stock returns exhibit abnormal behavior on third trading day i.e Tuesday instead of the more common Monday effect (Guo and Wang, 2007) Numerous researchers have studied the relationship between political administrations and the macroeconomic variables. Accordingly, relationships of different natures have been identified by researchers such as Neiderhoffer, Gibbs, and Jim (1970), Allvine and O'Neill (1980), Riley and Luksetich (1980), Chappell and Keech (1986), Alesina and Sachs (1988), Hensel and Ziemba (1995) and Liano, Liano, and Manakyan (1999). Chappell and Keech (1986) have identified growth in the Gross National Product in the first half term of the Democratic Administration as compared to the second half term of the Republican Administration.…”

Section: Literature Reviewmentioning

confidence: 99%