Mbanga, Cedric; Jones, Jeffrey Scott; Hoelscher, Seth A. - In: Managerial Finance 45 (2019) 5, pp. 654-670
Purpose: The purpose of this paper is to explore the overlooked relationship between politics and the performance of anomaly-based investment strategies. Design/methodology/approach: Monthly long-short portfolios are formed based on relative mispricing scores according to the Stambaugh et al....