Do opinion polls on government preference influence stock returns?

Paresh Kumar Narayan and Seema Narayan ()

Journal of Behavioral and Experimental Finance, 2021, vol. 30, issue C

Abstract: We investigate the role of opinion polls on intention to vote in influencing Australian stock returns. We unravel robust evidence suggesting that stock returns react more to a preference to vote for the Australian Labor Party (ALP) than the Liberal-National Party (LNP). A one standard deviation increase in preference for ALP increases excess returns by 28.08% of its sample mean while the corresponding effect of LNP preference is only 15.48%. Economically, therefore, the effect of ALP preferences on excess returns is almost twice that of LNP. Results are robust to different portfolio formation, measures of returns, and controls for returns.

Keywords: Opinion polls; Political party; Stock returns; Risk factors; Business cycle (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:beexfi:v:30:y:2021:i:c:s221463502100037x

DOI: 10.1016/j.jbef.2021.100493

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