 Do opinion polls move stock prices? Evidence from the US presidential election in 2016Michael Herold, Andreas Kanz and Matthias Muck The Quarterly Review of Economics and Finance, 2021, vol. 80, issue C, 665-690 Abstract: This paper analyzes stock returns before and during the 2016 US presidential election. This election stands out because both nominees Clinton and Trump were frequently characterized to have very different profiles and the outcome was considered as a major surprise. We explore the relationship between polling data and stock prices during the pre-election period. To measure the impact of polling data on stock prices, we develop the “Trump Head-to-Head Momentum” (THHM) reflecting increasing poll scores for Trump during election uncertainty. Implementing a GARCH-in-Mean model, we find that the measure is significantly related to industries representing about 30% of the market capitalization. Moreover, we find that THHM-based active trading strategies outperform passive strategies after the election. This also suggests that stock prices have been exposed to changes in the probability of the event “Trump wins the election” in the pre-election period. Keywords: Presidential election uncertainty; Pre-election information; Opinion polls; Industry returns; GARCH-M; Market efficiency (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:80:y:2021:i:c:p:665-690 DOI: 10.1016/j.qref.2021.03.013 Access Statistics for this article The Quarterly Review of Economics and Finance is currently edited by R. J. Arnould and J. E. Finnerty More articles in The Quarterly Review of Economics and Finance from Elsevier |
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