Asset prices, midterm elections, and political uncertainty

• 成果类型: Article
• 署名作者: Chan, Kam Fong; Marsh, Terry
• 署名单位: University of Western Australia; University of California System; University of California Berkeley
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.03.007
• 发表日期: 2021
• 页码: 276-296
• 关键词: Political uncertainty; Midterm election; Capital asset pricing model

摘要

This study attests to the important role of US midterm elections in asset pricing, even more important than presidential elections. In months following the midterms, equity premiums, mutual fund flows, and real investment growth rates are significantly higher and Treasury premiums are lower. This is consistent with theoretical models relating higher asset prices to lower future discount rates when post-election political uncertainty decreases. The results are robust to different measures of uncertainty. Also, market betas relate positively to the cross section of average returns in post-midterm months, but the relation is flat in other months. (c) 2021 Elsevier B.V. All rights reserved.