Working paper
Divided government and stock returns
- Abstract:
-
We document that unified US governments are associated with higher annual excess and real stock return than divided US governments. For the value-weighted portfolio the difference is 9.95% and for the equal-weighted 18.37%. These results are statistically and economically significant and robust in subsamples. Interestingly, corresponding differences in volatility fail to give a justification for the difference in returns compensation for risk as they go in the opposite direction. Similar resu...
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- Publication status:
- Published
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Bibliographic Details
- Publication date:
- 2021-02-08
Item Description
- Language:
- English
- Keywords:
- Pubs id:
-
1162126
- Local pid:
- pubs:1162126
- Deposit date:
- 2021-02-18
Terms of use
- Copyright holder:
- Papamichalis and Wilson
- Copyright date:
- 2021
- Rights statement:
- © The Author(s) 2021.
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