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Government Spending, Political Cycles and the Cross Section of Stock Returns
16 references·13 citing·32 second hop
Government Spending, Political Cycles and the Cross Section of Stock Returns (2010)Government Spending, Political Cycles and…Corporate Political Contributions and Stock Returns (2010)Corporate Political Contribut…Dissecting Anomalies (2007)Dissecting AnomaliesPolitical Connections and Corporate Bailouts (2006)Political Connections and Cor…Industry Concentration and Average Stock Returns (2003)Industry Concentration and Av…What Drives Firm‐Level Stock Returns? (2002)What Drives Firm‐Level Stock …An Empirical Characterization of the Dynamic Effects of Changes in Government Spending and Taxes on Output (2002)An Empirical Characterization…Political Economy in Macroeconomics (2000)Political Economy in Macroeco…Forecasting Profitability and Earnings (2000)Forecasting Profitability and…Political Cycles and the Macroeconomy (1997)Political Cycles and the Macr…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Partisan Politics, Divided Government, and the Economy (1995)Partisan Politics, Divided Go…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Efficient Capital Markets: II (1991)Efficient Capital Markets: IIMacroeconomic Policy in a Two-Party System as a Repeated Game (1987)Macroeconomic Policy in a Two…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…The budgets of wars: Analysis of the U.S. defense stocks in the Post-Cold War era (2022)The budgets of wars: Analysis…The Oligopoly Lucas Tree (2021)The Oligopoly Lucas TreeGovernment policy approval and exchange rates (2021)Government policy approval an…Does firm-level political risk influence corporate social responsibility (CSR)? Evidence from earnings conference calls (2021)Does firm-level political ris…How do corporate political connections influence financial reporting? A synthesis of the literature (2020)How do corporate political co…How Does Policy Uncertainty Affect Venture Capital? (2017)How Does Policy Uncertainty A…Local Political Uncertainty, Family Control and Investment Behavior (2016)Local Political Uncertainty, …The Bright Side of Political Uncertainty: The Case of R&D (2015)The Bright Side of Political …Policy Uncertainty and Analyst Performance (2014)Policy Uncertainty and Analys…Political Uncertainty and IPO Activity: Evidence from U.S. Gubernatorial Elections (2013)Political Uncertainty and IPO…Political Uncertainty and Public Financing Costs: Evidence from U.S. Municipal Bond Markets (2012)Political Uncertainty and Pub…Political Uncertainty and Risk Premia (2011)Political Uncertainty and Ris…How does the Bond Market Perceive Government Interventions? (2010)How does the Bond Market Perc…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)The Behavior of Stock-Market Prices (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Corporate financing and investment decisions when firms have information that investors do not have (1984)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Capital markets research in accounting (2001)Measuring Monetary Policy (1998)Measuring Business Cycles: Approximate Band-Pass Filters for Economic Time Series (1999)How Big (Small?) are Fiscal Multipliers? (2010)The Macroeconomic Effects of Tax Changes: Estimates Based on a New Measure of Fiscal Shocks (2010)The Dynamic Effects of Personal and Corporate Income Tax Changes in the United States (2013)The Quarterly Journal of Economics (2024)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)A Theory of Competition Among Pressure Groups for Political Influence (1983)The separation of ownership and control in East Asian Corporations (2000)Econometric Analysis of Cross Section and Panel Data (2001)Corporate Social Responsibility Reporting in China: Symbol or Substance? (2013)Firm-Level Political Risk: Measurement and Effects* (2019)Corporate Immunity to the COVID-19 Pandemic (2020)Democracy and dictatorship revisited (2009)Uncertainty about Government Policy and Stock Prices (2012)Political uncertainty and risk premia (2013)Inequality and happiness: are Europeans and Americans different? (2003)Politicians and banks: Political influences on government-owned banks in emerging markets (2005)Voting for autocracy: hegemonic party survival and its demise in Mexico (2007)Multifactor Explanations of Asset Pricing Anomalies (1996)Asset Growth and the Cross‐Section of Stock Returns (2008)Hedging Climate Change News (2019)Firm‐Level Climate Change Exposure (2023)
this work references cited by second hop

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1991Efficient Capital Markets: II5,346 cited
  • 2002An Empirical Characterization of the Dynamic Effects of Changes in Government Spending and Taxes on Output2,924 cited
  • 2006Political Connections and Corporate Bailouts2,576 cited
  • 2000Political Economy in Macroeconomics1,588 cited
  • 2007Dissecting Anomalies1,573 cited
  • 1997Political Cycles and the Macroeconomy1,520 cited
  • 1987Macroeconomic Policy in a Two-Party System as a Repeated Game1,324 cited
  • 1995Partisan Politics, Divided Government, and the Economy1,202 cited
  • 2002What Drives Firm‐Level Stock Returns?1,003 cited
  • 2003Industry Concentration and Average Stock Returns923 cited
  • 2010Corporate Political Contributions and Stock Returns870 cited
  • 2000Forecasting Profitability and Earnings857 cited

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  • 2013Political Uncertainty and IPO Activity: Evidence from U.S. Gubernatorial Elections58 cited
  • 2010How does the Bond Market Perceive Government Interventions?33 cited
  • 2021Government policy approval and exchange rates32 cited
  • 2022The budgets of wars: Analysis of the U.S. defense stocks in the Post-Cold War era31 cited
  • 2021The Oligopoly Lucas Tree30 cited
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  • 2014Policy Uncertainty and Analyst Performance27 cited
  • 2016Local Political Uncertainty, Family Control and Investment Behavior22 cited