The Presidential Puzzle: Political Cycles and the Stock Market
研究发现美国民主党总统任期内股票市场超额回报高于共和党总统任期，价值加权组合高9%，等权组合高16%，且差异不能用商业周期变量或风险溢价解释，形成政治周期之谜。
Abstract The excess return in the stock market is higher under Democratic than Republican presidencies: 9 percent for the value‐weighted and 16 percent for the equal‐weighted portfolio. The difference comes from higher real stock returns and lower real interest rates, is statistically significant, and is robust in subsamples. The difference in returns is not explained by business‐cycle variables related to expected returns, and is not concentrated around election dates. There is no difference in the riskiness of the stock market across presidencies that could justify a risk premium. The difference in returns through the political cycle is therefore a puzzle.