Do opinion polls on government preference influence stock returns?

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.