We find a strong link between Congressional activity and stock market returns that persists even after controlling for known daily return anomalies. Stock returns are lower and volatility is higher when Congress is in session. This quot;Congressional Effectquot; can be quite large - more than...

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...

Various seasonal patterns in stock markets have been shown that disappeared, or at least substantially weakened, since they were first documented in 1980s. To detect whether calendar anomalies are still alive or not, this paper investigates all types of seasonalities such as the day-of-the week,...

Dummy variable-based tests for event studies using multivariate regression are common in finance, especially for banking-related studies. These tests are not robust to nonnormality of the residual, even for arbitrarily large sample sizes. Such methods typically overstate the significance of the...

This paper investigates the effect of the Asian financial crisis of 1997-98 on the long-run relationship(s) between the stock prices of Far East countries. Further tests are conducted to check the change in the dominance of the Japanese and the US stock markets in the Far East Region. Empirical...

Market efficiency has an influence on the investment strategy of an investor because if market is efficient, trying to pickup winners will be a waste of time. In an efficient market there will be no undervalued securities offering higher than deserved expected returns, given their risk. On the...

This article examines the rationality of forecasts of 11 macroeconomic variables. Among the nonstationary series, only surveys of housing starts, the unemployment rate, and the trade balance are rational forecasts. Among the stationary series, survey forecasts for only consumer prices and...

We use the pattern recognition algorithm of Lo et al. (2000) with some modifications to determine whether quot;head-and-shouldersquot; price patterns have predictive power for future stock returns. The modifications include the use of filters based on typical price patterns identified by a...

We study three cases in which specialized arbitrageurs lost significant amounts of capital and, as a result, became liquidity demanders rather than providers. The effects on security markets were large and persistent: Prices dropped relative to fundamentals and the rebound took months. While...