Political Sentiment and Predictable Returns
研究发现执政党更替会系统性地改变投资者行业组合，削弱套利力量，使行业收益出现可预测模式。利用这一需求驱动的可预测性进行交易，在1939-2011年间可获得年化6%的风险调整收益。
This study shows that shifts in political climate influence stock prices. As the party in power changes, there are systematic changes in the industry-level composition of investor portfolios, which weaken arbitrage forces and generate predictable patterns in industry returns. A trading strategy that attempts to exploit demand-based return predictability generates an annualized risk-adjusted performance of 6% during the 1939 to 2011 period. This evidence of predictability spans 17%<f>$-$</f>27% of the market and is stronger during periods of political transition. Our demand-based predictability pattern is distinct from cash flow-based predictability identified in the recent literature. Received November 15, 2013; accepted April 5, 2016 by Editor Andrew Karolyi.