Kraussl, Roman; Lucas, Andre; Rijsbergen, David R.; … - Luxembourg School of Finance, Faculté de droit, … - 2013
We show that the annual excess return of the S&P 500 is almost 10 percent higher during the last two years of the presidential cycle than during the first two years. This pattern cannot be explained by business-cycle variables capturing timevarying risk premia, differences in risk levels, or by...