Abstract
We investigate the role of opinion polls on intention to vote in influencing Australian stock returns. We unravel robust evidence suggesting that stock returns react more to a preference to vote for the Australian Labor Party (ALP) than the Liberal-National Party (LNP). A one standard deviation increase in preference for ALP increases excess returns by 28.08% of its sample mean while the corresponding effect of LNP preference is only 15.48%. Economically, therefore, the effect of ALP preferences on excess returns is almost twice that of LNP. Results are robust to different portfolio formation, measures of returns, and controls for returns.
Original language | English |
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Article number | 100493 |
Number of pages | 14 |
Journal | Journal of Behavioral and Experimental Finance |
Volume | 30 |
DOIs | |
Publication status | Published - Jun 2021 |
Keywords
- Business cycle
- Opinion polls
- Political party
- Risk factors
- Stock returns