Rational speculative bubbles in the US stock market and political cycles

被引：6
作者：
Wang, Miao [1 ]
Wong, M. C. Sunny [2 ]
机构：
[1] Marquette Univ, Milwaukee, WI 53233 USA
[2] Univ San Francisco, San Francisco, CA 94117 USA
来源：
FINANCE RESEARCH LETTERS | 2015年 / 13卷
关键词：
Rational speculative bubbles; Duration dependence; Abnormal returns; Presidential terms; DURATION DEPENDENCE; PRICES;
D O I：
10.1016/j.frl.2015.03.009
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper tests the existence of rational speculative bubbles during Democratic and Republican presidential terms, which has not been systematically researched in existing studies. With monthly real returns on equally-weighted and value-weighted portfolios in the U.S. from January 1927 to December 2012, we find that there are rational speculative bubbles under Republican Presidents but not under Democratic Presidents. Our results are robust to different specifications. (C) 2015 Elsevier Inc. All rights reserved.
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页码：1 / 9
页数：9
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