The 2000 presidential election and the information cost of sensitive versus non-sensitive S&P 500 stocks
Author
Abstract
Suggested Citation
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Pantzalis, Christos & Stangeland, David A. & Turtle, Harry J., 2000. "Political elections and the resolution of uncertainty: The international evidence," Journal of Banking & Finance, Elsevier, vol. 24(10), pages 1575-1604, October.
- Knight*, Brian, 2007.
"Are policy platforms capitalized into equity prices? Evidence from the Bush/Gore 2000 Presidential Election,"
Journal of Public Economics, Elsevier, vol. 91(1-2), pages 389-409, February.
- Knight, Brian, 2006. "Are policy platforms capitalized into equity prices? Evidence from the Bush/Gore 2000 Presidential Election," Journal of Public Economics, Elsevier, vol. 90(4-5), pages 751-773, May.
- Brian Knight, 2004. "Are Policy Platforms Capitalized into Equity Prices? Evidence from the Bush/Gore 2000 Presidential Election," NBER Working Papers 10333, National Bureau of Economic Research, Inc.
- David Easley & Soeren Hvidkjaer & Maureen O'Hara, 2002. "Is Information Risk a Determinant of Asset Returns?," Journal of Finance, American Finance Association, vol. 57(5), pages 2185-2221, October.
- Christie, William G & Schultz, Paul H, 1994. "Why Do NASDAQ Market Makers Avoid Odd-Eighth Quotes?," Journal of Finance, American Finance Association, vol. 49(5), pages 1813-1840, December.
- H. Henry Cao & Martin D. D. Evans & Richard K. Lyons, 2017.
"Inventory Information,"
World Scientific Book Chapters, in: Studies in Foreign Exchange Economics, chapter 9, pages 363-413,
World Scientific Publishing Co. Pte. Ltd..
- H. Henry Cao & Martin D. Evans & Richard K. Lyons, 2006. "Inventory Information," The Journal of Business, University of Chicago Press, vol. 79(1), pages 325-364, January.
- H. Henry Cao & Richard K. Lyons & Martin D.D. Evans, 2003. "Inventory Information," NBER Working Papers 9893, National Bureau of Economic Research, Inc.
- Martin D.D. Evans, H. Henry Cao, Richard K. Lyons, 2003. "Inventory Information," Working Papers gueconwpa~03-03-33, Georgetown University, Department of Economics.
- Huang, Roger D. & Stoll, Hans R., 1996. "Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE," Journal of Financial Economics, Elsevier, vol. 41(3), pages 313-357, July.
- Madhavan, Ananth & Richardson, Matthew & Roomans, Mark, 1997.
"Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks,"
The Review of Financial Studies, Society for Financial Studies, vol. 10(4), pages 1035-1064.
- Ananth Madhavan & Matthew Richardson & Mark Roomans, "undated". "Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks," Rodney L. White Center for Financial Research Working Papers 20-94, Wharton School Rodney L. White Center for Financial Research.
- Ananth Madhavan & Matthew Richardson & Mark Roomans, 1996. "Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks," New York University, Leonard N. Stern School Finance Department Working Paper Seires 96-34, New York University, Leonard N. Stern School of Business-.
- Yan He & Chunchi Wu, 2005. "The Effects Of Decimalization On Return Volatility Components, Serial Correlation, And Trading Costs," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 28(1), pages 77-96, March.
- Pastor, Lubos & Stambaugh, Robert F., 2003.
"Liquidity Risk and Expected Stock Returns,"
Journal of Political Economy, University of Chicago Press, vol. 111(3), pages 642-685, June.
- Luboš Pástor & Robert F. Stambaugh, "undated". "Liquidity Risk and Expected Stock Returns," CRSP working papers 531, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Lubos Pastor & Robert F. Stambaugh, 2001. "Liquidity Risk and Expected Stock Returns," NBER Working Papers 8462, National Bureau of Economic Research, Inc.
- Stambaugh, Robert F. & Pástor, Luboš, 2002. "Liquidity Risk and Expected Stock Returns," CEPR Discussion Papers 3494, C.E.P.R. Discussion Papers.
- Ray C. Fair, 2006. "Interpreting the Predictive Uncertainty of Presidential Elections," Levine's Bibliography 321307000000000427, UCLA Department of Economics.
- Gebhardt, William R. & Hvidkjaer, Soeren & Swaminathan, Bhaskaran, 2005. "The cross-section of expected corporate bond returns: Betas or characteristics?," Journal of Financial Economics, Elsevier, vol. 75(1), pages 85-114, January.
- Glosten, Lawrence R. & Milgrom, Paul R., 1985.
"Bid, ask and transaction prices in a specialist market with heterogeneously informed traders,"
Journal of Financial Economics, Elsevier, vol. 14(1), pages 71-100, March.
- Lawrence R. Glosten & Paul R. Milgrom, 1983. "Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders," Discussion Papers 570, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Pedro Santa‐Clara & Rossen Valkanov, 2003. "The Presidential Puzzle: Political Cycles and the Stock Market," Journal of Finance, American Finance Association, vol. 58(5), pages 1841-1872, October.
- repec:bla:jfinan:v:59:y:2004:i:3:p:1201-1234 is not listed on IDEAS
- Srinivas Nippani & W. Medlin, 2002. "The 2000 Presidential Election and the stock market," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 26(2), pages 162-169, June.
- Litzenberger, Robert H. & Ramaswamy, Krishna, 1979. "The effect of personal taxes and dividends on capital asset prices : Theory and empirical evidence," Journal of Financial Economics, Elsevier, vol. 7(2), pages 163-195, June.
- Bessembinder, Hendrik & Kaufman, Herbert M., 1997. "A Comparison of Trade Execution Costs for NYSE and NASDAQ-Listed Stocks," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 32(3), pages 287-310, September.
- repec:bla:jfinan:v:53:y:1998:i:3:p:1111-1130 is not listed on IDEAS
- repec:bla:jfinan:v:59:y:2004:i:6:p:2623-2654 is not listed on IDEAS
- Daniel, Kent & Titman, Sheridan, 1997.
"Evidence on the Characteristics of Cross Sectional Variation in Stock Returns,"
Journal of Finance, American Finance Association, vol. 52(1), pages 1-33, March.
- Kent Daniel & Sheridan Titman, 1996. "Evidence on the Characteristics of Cross Sectional Variation in Stock Returns," NBER Working Papers 5604, National Bureau of Economic Research, Inc.
- Krinsky, Itzhak & Lee, Jason, 1996. "Earnings Announcements and the Components of the Bid-Ask Spread," Journal of Finance, American Finance Association, vol. 51(4), pages 1523-1535, September.
- Balduzzi, Pierluigi & Elton, Edwin J. & Green, T. Clifton, 2001. "Economic News and Bond Prices: Evidence from the U.S. Treasury Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 36(4), pages 523-543, December.
- Newey, Whitney & West, Kenneth, 2014.
"A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix,"
Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 33(1), pages 125-132.
- Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, vol. 55(3), pages 703-708, May.
- Whitney K. Newey & Kenneth D. West, 1986. "A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix," NBER Technical Working Papers 0055, National Bureau of Economic Research, Inc.
- repec:bla:jfinan:v:44:y:1989:i:1:p:115-34 is not listed on IDEAS
- Fama, Eugene F & MacBeth, James D, 1973. "Risk, Return, and Equilibrium: Empirical Tests," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 607-636, May-June.
- James P. Weston, 2000. "Competition on the Nasdaq and the Impact of Recent Market Reforms," Journal of Finance, American Finance Association, vol. 55(6), pages 2565-2598, December.
- I. Krinsky & J. Lee, 1996. "Earning Announcements and the Components of the Bid-Ask Aspread," Quantitative Studies in Economics and Population Research Reports 313, McMaster University.
- Pagan, Adrian, 1984. "Econometric Issues in the Analysis of Regressions with Generated Regressors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(1), pages 221-247, February.
- Bessembinder, Hendrik, 2003. "Trade Execution Costs and Market Quality after Decimalization," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 38(4), pages 747-777, December.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Refk Selmi & Jamal Bouoiyour, 2020.
"The financial costs of political uncertainty: Evidence from the 2016 US presidential elections,"
Scottish Journal of Political Economy, Scottish Economic Society, vol. 67(2), pages 166-185, May.
- Refk Selmi & Jamal Bouoiyour, 2019. "The financial costs of political uncertainty: Evidence from the 2016 US presidential elections," Post-Print hal-02408908, HAL.
- Vahabi, Mehrdad, 2006.
"Ordres contradictoires et coordination destructive: le malaise iranien [Contradictory orders and detructive coordination: the Iranian disease],"
MPRA Paper
13235, University Library of Munich, Germany, revised Sep 2008.
- Mehrdad Vahabi, 2010. "Ordres contradictoires et coordination destructive : Le malaise iranien," Post-Print hal-00629134, HAL.
- Pham, Huy Nguyen Anh & Ramiah, Vikash & Moosa, Nisreen & Huynh, Tam & Pham, Nhi, 2018. "The financial effects of Trumpism," Economic Modelling, Elsevier, vol. 74(C), pages 264-274.
- Jamal Bouoiyour & Refk Selmi, 2016.
"The Price of Political Uncertainty: Evidence from the 2016 U.S. Presidential Election and the U.S. Stock Markets,"
Papers
1612.06200, arXiv.org, revised Mar 2017.
- Jamal Bouoiyour & Refk Selmi, 2017. "The Price of Political Uncertainty: Evidence from the 2016 U.S. Presidential Election and the U.S. Stock Markets," Working Papers hal-01419295, HAL.
- Goodell, John W. & Vähämaa, Sami, 2013. "US presidential elections and implied volatility: The role of political uncertainty," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 1108-1117.
- Goodell, John W. & McGroarty, Frank & Urquhart, Andrew, 2015. "Political uncertainty and the 2012 US presidential election: A cointegration study of prediction markets, polls and a stand-out expert," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 162-171.
- Doriana Cucinelli & Paola Schwizer & Maria Gaia Soana, 2023. "Brexit and the Banking Sector: The Stock Market Reaction of UK and European Banks," International Journal of Business and Management, Canadian Center of Science and Education, vol. 16(4), pages 1-27, February.
- Chen, Rong & Geng, Heng (Griffin) & Lin, Hai & Nguyen, Phuong Thi Ly, 2021. "Liquidity, informed trading, and a market surveillance system: Evidence from the Vietnamese stock market," Pacific-Basin Finance Journal, Elsevier, vol. 67(C).
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Yan He & Hai Lin & Chunchi Wu & Uric B. Dufrene, 2013. "The 2000 presidential election and the information cost of sensitive versus," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
- repec:wyi:journl:002085 is not listed on IDEAS
- He, Yan & Wang, Junbo & Wu, Chunchi, 2013. "Domestic versus foreign equity shares: Which are more costly to trade in the Chinese market?," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 465-481.
- Jiang, Christine X. & Kim, Jang-Chul & Wood, Robert A., 2009. "Adverse selection costs for NASDAQ and NYSE after decimalization," International Review of Financial Analysis, Elsevier, vol. 18(4), pages 205-211, September.
- Craig W. Holden & Stacey Jacobsen & Avanidhar Subrahmanyam, 2014. "The Empirical Analysis of Liquidity," Foundations and Trends(R) in Finance, now publishers, vol. 8(4), pages 263-365, December.
- Amit Goyal, 2012. "Empirical cross-sectional asset pricing: a survey," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(1), pages 3-38, March.
- Fishe, Raymond P. H. & Robe, Michel A., 2004. "The impact of illegal insider trading in dealer and specialist markets: evidence from a natural experiment," Journal of Financial Economics, Elsevier, vol. 71(3), pages 461-488, March.
- Borisova, Ginka & Yadav, Pradeep K., 2015. "Government ownership, informed trading, and private information," Journal of Corporate Finance, Elsevier, vol. 33(C), pages 196-211.
- Bardong, Florian & Bartram, Söhnke M. & Yadav, Pradeep K., 2005.
"Informed Trading, Information Asymmetry and Pricing of Information Risk: Empirical Evidence from the NYSE,"
MPRA Paper
13586, University Library of Munich, Germany, revised 10 Oct 2008.
- Yadav, Pradeep K. & Bardong, Florian & Bartram, Söhnke M., 2009. "Informed trading, information asymmetry and pricing of information risk: Empirical evidence from the NYSE," CFR Working Papers 09-08, University of Cologne, Centre for Financial Research (CFR).
- Borisova, Ginka & Yadav, Pradeep K., 2015. "Government ownership, informed trading, and private information," CFR Working Papers 15-13, University of Cologne, Centre for Financial Research (CFR).
- Kathleen Fuller & Bonnie Ness & Robert Ness, 2010. "Is information risk priced for NASDAQ-listed stocks?," Review of Quantitative Finance and Accounting, Springer, vol. 34(3), pages 301-312, April.
- Levi, Shai & Zhang, Xiao-Jun, 2015. "Asymmetric decrease in liquidity trading before earnings announcements and the announcement return premium," Journal of Financial Economics, Elsevier, vol. 118(2), pages 383-398.
- repec:bla:jfinan:v:59:y:2004:i:3:p:1201-1234 is not listed on IDEAS
- Wu, Chunchi, 2004. "Information flow, volatility and spreads of infrequently traded Nasdaq stocks," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(1), pages 20-43, February.
- Shai Levi & Xiao-Jun Zhang, 2015. "Do Temporary Increases in Information Asymmetry Affect the Cost of Equity?," Management Science, INFORMS, vol. 61(2), pages 354-371, February.
- Gary McCormick & Dan W. French, 2016. "Effects of frequent information disclosure: the case of daily net asset value reporting for closed-end investment companies," Review of Quantitative Finance and Accounting, Springer, vol. 46(1), pages 107-122, January.
- Gregory Bauer & Clara Vega, 2004.
"The Monetary Origins of Asymmetric Information in International Equity Markets,"
Staff Working Papers
04-47, Bank of Canada.
- Gregory H. Bauer & Clara Vega, 2006. "The monetary origins of asymmetric information in international equity markets," International Finance Discussion Papers 872, Board of Governors of the Federal Reserve System (U.S.).
- Fabisik, Kornelia & Fahlenbrach, Rüdiger & Stulz, René M. & Taillard, Jérôme P., 2021.
"Why are firms with more managerial ownership worth less?,"
Journal of Financial Economics, Elsevier, vol. 140(3), pages 699-725.
- Fabisik, Kornelia & Fahlenbrach, Rudiger & Stulz, Rene M. & Taillard, Jerome P., 2018. "Why are Firms with More Managerial Ownership Worth Less?," Working Paper Series 2018-24, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Kornelia Fabisik & Rüdiger Fahlenbrach & René M. Stulz & Jérôme P. Taillard, 2018. "Why are Firms with More Managerial Ownership Worth Less?," NBER Working Papers 25352, National Bureau of Economic Research, Inc.
- Kornelia Fabisik & Rüdiger Fahlenbrach & René M. Stulz & Jérôme Taillard, 2018. "Why Are Firms With More Managerial Ownership Worth Less?," Swiss Finance Institute Research Paper Series 18-75, Swiss Finance Institute.
- Carrion, Allen, 2013. "Very fast money: High-frequency trading on the NASDAQ," Journal of Financial Markets, Elsevier, vol. 16(4), pages 680-711.
- Hans Degryse & Frank Jong & Jérémie Lefebvre, 2016.
"Legal Insider Trading and Stock Market Liquidity,"
De Economist, Springer, vol. 164(1), pages 83-104, March.
- Hans Degryse & Frank Jong & Jérémie Lefebvre, 2016. "Legal Insider Trading and Stock Market Liquidity," De Economist, Springer, vol. 164(1), pages 83-104, March.
- Hans Degryse & Frank De Jong & Jérémie Lefebvre, 2015. "Legal Insider Trading and Stock Market Liquidity," Post-Print hal-01563029, HAL.
- Degryse, Hans & de Jong, Frank & Lefebvre, J.J.G., 2016. "Legal insider trading and stock market liquidity," Other publications TiSEM 1f14bad3-7bb3-4fd2-bb4d-b, Tilburg University, School of Economics and Management.
- Shanken, Jay & Zhou, Guofu, 2007.
"Estimating and testing beta pricing models: Alternative methods and their performance in simulations,"
Journal of Financial Economics, Elsevier, vol. 84(1), pages 40-86, April.
- Jay Shanken & Guofu Zhou, 2006. "Estimating and Testing Beta Pricing Models: Alternative Methods and their Performance in Simulations," NBER Working Papers 12055, National Bureau of Economic Research, Inc.
- Jay Shanken & Guofu Zhou, 2007. "Estimating and testing beta pricing models: Alternative methods and their performance in simulations," CEMA Working Papers 275, China Economics and Management Academy, Central University of Finance and Economics.
- Chung, Kee H. & Zhang, Hao, 2014. "A simple approximation of intraday spreads using daily data," Journal of Financial Markets, Elsevier, vol. 17(C), pages 94-120.
More about this item
Keywords
Presidential election Information asymmetry Transaction costs Bid-ask spreads Adverse selection cost;Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:finmar:v:12:y:2009:i:1:p:54-86. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/finmar .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.