Resolving the presidential puzzle

Oumar Sy, Ashraf Al Zaman

Résultat de recherche: Articleexamen par les pairs

33 Citations (Scopus)

Résumé

Many financial economists are puzzled by the fact that stock returns are higher under Democratic than Republican presidencies. In this paper, we test whether this return differential is explained by risk using a conditional version of the model that allows risk to vary across political cycles. We find that the presidential puzzle can be explained when risk is properly taken into account. Much of the return differential can be attributed to the fact that Democratic presidencies are associated with higher market and default risk premiums than their Republican counterparts.

Langue d'origineEnglish
Pages (de-à)331-355
Nombre de pages25
JournalFinancial Management
Volume40
Numéro de publication2
DOI
Statut de publicationPublished - juin 2011

ASJC Scopus Subject Areas

  • Accounting
  • Finance
  • Economics and Econometrics

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