REVIEW OF FINANCIAL STUDIES·(2016)29(12):3471-3518.doi:10.1093/rfs/hhw066·First published online: August 9, 2016

政治情绪和可预测回报

作者：Jawad M. Addoum (Cornell University), Alok Kumar (University of Miami)

摘要：本研究表明政治气候的变化会影响股票价格。随着权力的变化，投资者投资组合中行业的构成存在系统性的变化，这削弱了套利能力并产生了一种可预测的行业回报模式。利用基于需求的回报可预测性构建的交易策略，在1939至2011年期间产生了6%的年度风险调整回报。这种可预测性的证据占市场的17%-27%，并且在政治过渡时期更强。我们基于需求的可预测性模式与最近文献中确定的基于现金流量的可预测性并不相同。

Political Sentiment and Predictable Returns

Jawad M. Addoum (Cornell University), Alok Kumar (University of Miami)

ABSTRACT

This study shows that shifts in political climate influence stock prices. As the party in power changes, there are systematic changes in the industry-level composition of investor portfolios, which weaken arbitrage forces and generate predictable patterns in industry returns. A trading strategy that attempts to exploit demand-based return predictability generates an annualized risk-adjusted performance of 6% during the 1939 to 2011 period. This evidence of predictability spans 17%??27% of the market and is stronger during periods of political transition. Our demand-based predictability pattern is distinct from cash flow-based predictability identified in the recent literature.

原文链接：http://rfs.oxfordjournals.org/content/29/12/3471.abstract?sid=bd12a106-610c-4ff5-97d2-9532e849d36b

翻译：何杉