Bohl, Martin T.; Döpke, Jörg; Pierdzioch, Christian - In: The Financial Review 43 (2008) 3, pp. 323-335
Using monthly data from 1953 to 2003, we apply a real-time modeling approach to investigate the implications of U.S. political stock market anomalies for forecasting excess stock returns in real-time. Our empirical findings show that political variables, chosen on the basis of widely used...