The Role of Partisan Conflict in Forecasting the U.S. Equity Premium: A Nonparametric Approach

Rangan Gupta, John Weirstrass Muteba Mwamba and Mark Wohar ()

No 201686, Working Papers from University of Pretoria, Department of Economics

Abstract: Information on partisan conflict is shown to matter in forecasting the U.S. equity premium, especially when accounting for omitted nonlinearities in their relationship, via a nonparametric predictive regression approach over the monthly period 1981:1-2016:6. Unlike as suggested by a linear predictive model, the nonparametric functional coefficient regression that includes the partisan conflict index, enhances significantly the out-of-sample excess stock returns predictability.

Keywords: : Equity Premium; Partisan Conflict Index; Linear and Nonparametric Predictive Regressions (search for similar items in EconPapers)
JEL-codes: C14 C22 C53 G1 G18 (search for similar items in EconPapers)
Pages: 11 pages
Date: 2016-12
New Economics Papers: this item is included in nep-for and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: The role of partisan conflict in forecasting the U.S. equity premium: A nonparametric approach (2018)
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:pre:wpaper:201686

Access Statistics for this paper

More papers in Working Papers from University of Pretoria, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Rangan Gupta ().