Mattozzi, Andrea (2004) Can We Insure Against Political Uncertainty? Evidence from the U.S. Stock Market. Social Science Working Paper, 1207. California Institute of Technology , Pasadena, CA. (Unpublished) https://resolver.caltech.edu/CaltechAUTHORS:20190426-135654556
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PDF (SSWP 1207 - Oct. 2004)
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Abstract
We show that existing stocks that are currently traded in the U.S. stock market can be used to hedge political uncertainty. Focusing on the 2000 U.S. Presidential election, we construct two "presidential portfolios" composed of selected stocks anticipated to fare differently under a Bush versus a Gore presidency. To construct these portfolios we use data on campaign contributions by publicly traded corporations and identify the major contributors on each side. Using daily observations for the six months before the election took place, we show that the excess returns of these portfolios with respect to overall market movements are significantly related to changes in electoral polls.
Item Type: | Report or Paper (Working Paper) |
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Additional Information: | I am grateful to Bob Inman, Andrew Postlewaite, Frank Schorfheide, and in particular to Antonio Merlo for their comments and encouragement. I also benefitted from discussions with Celso Brunetti, Marco Cozzi, Jan Eeckhout, Daniela Iorio, Dirk Krueger and Nicola Persico. All usual disclaimers apply. |
Group: | Social Science Working Papers |
Subject Keywords: | Political Uncertainty, Financial Markets |
Series Name: | Social Science Working Paper |
Issue or Number: | 1207 |
Classification Code: | JEL: D7, G10 |
Record Number: | CaltechAUTHORS:20190426-135654556 |
Persistent URL: | https://resolver.caltech.edu/CaltechAUTHORS:20190426-135654556 |
Usage Policy: | No commercial reproduction, distribution, display or performance rights in this work are provided. |
ID Code: | 95033 |
Collection: | CaltechAUTHORS |
Deposited By: | Katherine Johnson |
Deposited On: | 26 Apr 2019 21:02 |
Last Modified: | 03 Oct 2019 21:09 |
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