Midterm elections and stock returns

Warwick Anderson, Jędrzej Białkowski and Moritz Wagner ()

Finance Research Letters, 2023, vol. 55, issue PA

Abstract: The midterm election effect is one of the most persistent regularities related to US politics reported in empirical finance, but it has also been one of the least examined. We explore practical implications for investors, analysing monthly excess and risk-adjusted returns on 49 industry portfolios for the period 1926–2022. Contrary to much commentary in the professional media and prior literature, higher returns around midterm elections all but disappear after returns are adjusted for risk. We also find that midterm elections are predominantly associated with the market factor, and thus, higher returns appear to merely compensate investors for bearing risk.

Keywords: Midterm election; Political cycle; Political uncertainty; Industry returns; Benchmark returns (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 P48 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612323001988
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:55:y:2023:i:pa:s1544612323001988

DOI: 10.1016/j.frl.2023.103825

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().