FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W1484348097> ?p ?o ?g. }

• W1484348097 endingPage "41" @default.
• W1484348097 startingPage "1" @default.
• W1484348097 abstract "Since the early 1980&amp;#x27;s much research, including the most recent contribution of Santa-Clara and Valkanov (2003), has concluded that there is a stable, robust and significant relationship between Democratic presidential administrations and robust stock returns. Moreover, the difference in returns does not appear to be accompanied by any significant differences in risk across the presidential cycle. These conclusions are largely based on OLS estimates of the difference in returns across the presidential cycle. We re-examine this issue using more efficient estimators of the presidential premium. Specifically, we exploit the considerable and persistent heteroskedasticity in stock returns to construct more efficient weighted least squares (WLS) and generalized autoregressive conditional heteroskedasticity (GARCH) estimators of the difference in expected excess stock returns across the presidential cycle. Our findings provide considerable contrast to the findings of previous research. Across the different WLS and GARCH estimates we find that the point estimates are considerably smaller than the OLS estimates and fluctuate considerably across different sub samples. We show that the large difference between the WLS, GARCH and OLS estimates is driven by differing stock market performance during very volatile market environments. During periods of elevated market volatility, excess stock returns have been markedly higher under Democratic than Republican administrations. Accordingly, the WLS and GARCH estimators are less sensitive to these episodes than the OLS estimator. Ultimately, these results are consistent with the conclusion that neither risk nor return varies significantly across the presidential cycle." @default.
• W1484348097 created "2016-06-24" @default.
• W1484348097 creator A5025827756 @default.
• W1484348097 creator A5086726013 @default.
• W1484348097 date "2004-01-01" @default.
• W1484348097 modified "2023-10-16" @default.
• W1484348097 title "Alternative Estimates of the Presidential Premium" @default.
• W1484348097 cites W1576326745 @default.
• W1484348097 cites W1879215575 @default.
• W1484348097 cites W1966268097 @default.
• W1484348097 cites W1979575715 @default.
• W1484348097 cites W1999814123 @default.
• W1484348097 cites W1999996900 @default.
• W1484348097 cites W2038437581 @default.
• W1484348097 cites W2054477007 @default.
• W1484348097 cites W2062122835 @default.
• W1484348097 cites W2079157487 @default.
• W1484348097 cites W2117178635 @default.
• W1484348097 cites W2129220488 @default.
• W1484348097 cites W2140585983 @default.
• W1484348097 cites W2147220823 @default.
• W1484348097 cites W2147758913 @default.
• W1484348097 cites W2171472723 @default.
• W1484348097 cites W2172550800 @default.
• W1484348097 cites W2174004030 @default.
• W1484348097 cites W2189548066 @default.
• W1484348097 cites W3022041122 @default.
• W1484348097 cites W3124527974 @default.
• W1484348097 cites W3125500326 @default.
• W1484348097 cites W3125666236 @default.
• W1484348097 doi "https://doi.org/10.17016/feds.2004.69" @default.
• W1484348097 hasPublicationYear "2004" @default.
• W1484348097 type Work @default.
• W1484348097 sameAs 1484348097 @default.
• W1484348097 citedByCount "3" @default.
• W1484348097 countsByYear W14843480972015 @default.
• W1484348097 countsByYear W14843480972016 @default.
• W1484348097 countsByYear W14843480972017 @default.
• W1484348097 crossrefType "journal-article" @default.
• W1484348097 hasAuthorship W1484348097A5025827756 @default.
• W1484348097 hasAuthorship W1484348097A5086726013 @default.
• W1484348097 hasBestOaLocation W14843480971 @default.
• W1484348097 hasConcept C101104100 @default.
• W1484348097 hasConcept C105795698 @default.
• W1484348097 hasConcept C149782125 @default.
• W1484348097 hasConcept C151541453 @default.
• W1484348097 hasConcept C162324750 @default.
• W1484348097 hasConcept C166957645 @default.
• W1484348097 hasConcept C17744445 @default.
• W1484348097 hasConcept C185429906 @default.
• W1484348097 hasConcept C197487636 @default.
• W1484348097 hasConcept C199539241 @default.
• W1484348097 hasConcept C204036174 @default.
• W1484348097 hasConcept C205649164 @default.
• W1484348097 hasConcept C23922673 @default.
• W1484348097 hasConcept C2779343474 @default.
• W1484348097 hasConcept C2780299701 @default.
• W1484348097 hasConcept C33923547 @default.
• W1484348097 hasConcept C91602232 @default.
• W1484348097 hasConcept C94625758 @default.
• W1484348097 hasConcept C99656134 @default.
• W1484348097 hasConceptScore W1484348097C101104100 @default.
• W1484348097 hasConceptScore W1484348097C105795698 @default.
• W1484348097 hasConceptScore W1484348097C149782125 @default.
• W1484348097 hasConceptScore W1484348097C151541453 @default.
• W1484348097 hasConceptScore W1484348097C162324750 @default.
• W1484348097 hasConceptScore W1484348097C166957645 @default.
• W1484348097 hasConceptScore W1484348097C17744445 @default.
• W1484348097 hasConceptScore W1484348097C185429906 @default.
• W1484348097 hasConceptScore W1484348097C197487636 @default.
• W1484348097 hasConceptScore W1484348097C199539241 @default.
• W1484348097 hasConceptScore W1484348097C204036174 @default.
• W1484348097 hasConceptScore W1484348097C205649164 @default.
• W1484348097 hasConceptScore W1484348097C23922673 @default.
• W1484348097 hasConceptScore W1484348097C2779343474 @default.
• W1484348097 hasConceptScore W1484348097C2780299701 @default.
• W1484348097 hasConceptScore W1484348097C33923547 @default.
• W1484348097 hasConceptScore W1484348097C91602232 @default.
• W1484348097 hasConceptScore W1484348097C94625758 @default.
• W1484348097 hasConceptScore W1484348097C99656134 @default.
• W1484348097 hasIssue "69" @default.
• W1484348097 hasLocation W14843480971 @default.
• W1484348097 hasLocation W14843480972 @default.
• W1484348097 hasLocation W14843480973 @default.
• W1484348097 hasLocation W14843480974 @default.
• W1484348097 hasOpenAccess W1484348097 @default.
• W1484348097 hasPrimaryLocation W14843480971 @default.
• W1484348097 hasRelatedWork W1484348097 @default.
• W1484348097 hasRelatedWork W1993285738 @default.
• W1484348097 hasRelatedWork W2067976363 @default.
• W1484348097 hasRelatedWork W2100054505 @default.
• W1484348097 hasRelatedWork W2288952942 @default.
• W1484348097 hasRelatedWork W2528482669 @default.
• W1484348097 hasRelatedWork W3036839042 @default.
• W1484348097 hasRelatedWork W3121940689 @default.
• W1484348097 hasRelatedWork W3123867060 @default.
• W1484348097 hasRelatedWork W3125784162 @default.
• W1484348097 hasVolume "2004" @default.

• next