Predicting anomaly performance with politics, the weather, global warming, sunspots, and the stars

Robert Novy-Marx

Journal of Financial Economics, 2014, vol. 112, issue 2, 137-146

Abstract: Predictive regressions find that the party of the US president, the weather in Manhattan, global warming, the El Niño phenomenon, sunspots, and the conjunctions of the planets all have significant power predicting the performance of popular anomalies. The interpretation of these results has important implications for the asset pricing literature.

Keywords: Predictive regressions; Anomaly performance (search for similar items in EconPapers)
JEL-codes: C18 G12 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (56)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jfinec:v:112:y:2014:i:2:p:137-146

DOI: 10.1016/j.jfineco.2014.02.002

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