Santa-Clara and Valkanov (2003) document that excess returns on the stock market are puzzlingly higher under Democratic presidential administrations. We examine whether differences in economic fundamentals can account for this presidential puzzle. We find that the role for fundamentals crucially...

Recent research, including Santa-Clara and Valkanov (2003), has concluded that there is a stable, robust and significant relationship between Democratic presidential administrations and robust stock returns. These conclusions are largely based on OLS estimates of the difference in returns across...

The FOMC's announcements of Treasury purchase programs and the subsequent or contemporaneous statements by the New York Fed about the programs' operational details provide a sequence of natural experiments with the potential to shed light on the relative importance of the duration risk channel...