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Real-time forecasting and political stock market anomalies: evidence for the U.S

Author

Listed:
  • Bohl, Martin T.
  • Döpke, Jörg
  • Pierdzioch, Christian

Abstract

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.

Suggested Citation

  • Bohl, Martin T. & Döpke, Jörg & Pierdzioch, Christian, 2006. "Real-time forecasting and political stock market anomalies: evidence for the U.S," Discussion Paper Series 1: Economic Studies 2006,22, Deutsche Bundesbank.
    • Handle: RePEc:zbw:bubdp1:4723
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    References listed on IDEAS

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    More about this item

    Keywords

    Political stock market anomalies; predictability of stock returns; efficient markets hypothesis; real-time forecasting;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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