메뉴 건너뛰기




Volumn 28, Issue 1, 1997, Pages 1-27

The transmission of U.S. Election cycles to international stock returns

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0031526125     PISSN: 00472506     EISSN: 14786990     Source Type: Journal    
DOI: 10.1057/palgrave.jibs.8490089     Document Type: Article
Times cited : (74)

References (44)
  • 1
    • 0002152484 scopus 로고
    • Stock market returns and the presidential election cycle
    • Allivine, Fred D. & Daniel D. O’Neill. 1980. Stock market returns and the presidential election cycle. Financial Analysts Journal, 36(5): 49-56.
    • (1980) Financial Analysts Journal , vol.36 , Issue.5 , pp. 49-56
    • Allivine, F.D.1    O’neill, D.D.2
  • 2
    • 0344839169 scopus 로고
    • Stock returns and the term structure
    • Campbell, John Y. 1987. Stock returns and the term structure. Journal of Financial Economics, 18: 373-99.
    • (1987) Journal of Financial Economics , vol.18 , pp. 373-399
    • Campbell, J.Y.1
  • 3
    • 84977709173 scopus 로고
    • Predictable stock returns in the United States and Japan: A study of long-term capital market integration
    • Campbell, John Y. & Yashusi Hamao. 1992. Predictable stock returns in the United States and Japan: A study of long-term capital market integration. Journal of Finance, 47: 43-69.
    • (1992) Journal of Finance , vol.47 , pp. 43-69
    • Campbell, J.Y.1    Hamao, Y.2
  • 4
    • 84977738382 scopus 로고
    • Financial investment opportunities and the macroeconomy
    • Chen, Nai-Fu. 1991. Financial investment opportunities and the macroeconomy. Journal of Finance, 46: 529-54.
    • (1991) Journal of Finance , vol.46 , pp. 529-554
    • Chen, N.-F.1
  • 5
    • 21844525260 scopus 로고
    • Political risk and the benefits of international portfolio diversification
    • Cosset, Jean-Claude & Jean-Marc Suret. 1995. Political risk and the benefits of international portfolio diversification. Journal of International Business Studies, 26: 301-18.
    • (1995) Journal of International Business Studies , vol.26 , pp. 301-318
    • Cosset, J.-C.1    Suret, J.-M.2
  • 6
    • 0000334217 scopus 로고
    • An intertemporal general equilibrium model of asset prices
    • Cox, John, Jonathan E. Ingersoll, Jr. & Stephen A. Ross. 1985. An intertemporal general equilibrium model of asset prices. Econometrica, 53: 363-84.
    • (1985) Econometrica , vol.53 , pp. 363-384
    • Cox, J.1    Ingersoll, J.E.2    Ross, S.A.3
  • 7
    • 0001783574 scopus 로고
    • Gains from portfolio diversification into less developed countries’ securities
    • Errunza, Vihang R. 1977. Gains from portfolio diversification into less developed countries’ securities. Journal of International Business Studies, 8: 83-99.
    • (1977) Journal of International Business Studies , vol.8 , pp. 83-99
    • Errunza, V.R.1
  • 9
    • 33749009107 scopus 로고
    • Stock returns, real activity, inflation, and money
    • Fama, Eugene F. 1981. Stock returns, real activity, inflation, and money. American Economic Review, 71: 545-65.
    • (1981) American Economic Review , vol.71 , pp. 545-565
    • Fama, E.F.1
  • 10
    • 84977707061 scopus 로고
    • Stock returns, expected returns, and real activity
    • Fama, Eugene F. 1990. Stock returns, expected returns, and real activity. Journal of Finance, 45:1089-1108.
    • (1990) Journal of Finance , vol.45 , pp. 1089-1108
    • Fama, E.F.1
  • 12
  • 13
    • 34250890715 scopus 로고
    • Business conditions and expected returns on stocks and bonds
    • Fama, Eugene F. & Kenneth R. French. 1989. Business conditions and expected returns on stocks and bonds. Journal of Financial Economics, 25: 23-49.
    • (1989) Journal of Financial Economics , vol.25 , pp. 23-49
    • Fama, E.F.1    French, K.R.2
  • 14
    • 84977709203 scopus 로고
    • Changes in expected security returns, risk, and the level of interest rates
    • Ferson, Wayne E. 1989. Changes in expected security returns, risk, and the level of interest rates. Journal of Finance, 44: 1191-1218.
    • (1989) Journal of Finance , vol.44 , pp. 1191-1218
    • Ferson, W.E.1
  • 15
  • 16
    • 21344486016 scopus 로고
    • The risk and predictability of international equity returns
    • Ferson, Wayne E. & Campbell R. Harvey. 1993. The risk and predictability of international equity returns. Review of Financial Studies, 6: 527-66.
    • (1993) Review of Financial Studies , vol.6 , pp. 527-566
    • Ferson, W.E.1    Harvey, C.R.2
  • 17
    • 84993911789 scopus 로고
    • General tests of latent variable models and mean-variance spanning
    • Ferson, Wayne E., Stephen R. Foerster & Donald B. Keim. 1993. General tests of latent variable models and mean-variance spanning. Journal of Finance, 48: 131-56.
    • (1993) Journal of Finance , vol.48 , pp. 131-156
    • Ferson, W.E.1    Foerster, S.R.2    Keim, D.B.3
  • 18
    • 0012321589 scopus 로고
    • Stock market performance and elections: Made-in-Canada effects?
    • Summer
    • Foerster, Stephen R. 1994. Stock market performance and elections: Made-in-Canada effects? Canadian Investment Review, Summer: 39-42.
    • (1994) Canadian Investment Review , pp. 39-42
    • Foerster, S.R.1
  • 19
    • 84944830931 scopus 로고
    • The fiscal and monetary linkage between stock returns and inflation
    • Geske, Robert & Richard Roll. 1983. The fiscal and monetary linkage between stock returns and inflation. Journal of Finance, 38: 1-33.
    • (1983) Journal of Finance , vol.38 , pp. 1-33
    • Geske, R.1    Roll, R.2
  • 20
    • 0000822996 scopus 로고
    • Internationally diversified portfolios: Welfare gains and capital flows
    • Grubel, Herbert G. 1968. Internationally diversified portfolios: Welfare gains and capital flows. American Economic Review, 58: 1299-1314.
    • (1968) American Economic Review , vol.58 , pp. 1299-1314
    • Grubel, H.G.1
  • 22
    • 84920650577 scopus 로고
    • Stock market returns and inflation: Evidence from other countries
    • Gultekin, N. Bulent. 1983. Stock market returns and inflation: Evidence from other countries. Journal of Finance, 38: 49-65.
    • (1983) Journal of Finance , vol.38 , pp. 49-65
    • Gultekin, N.B.1
  • 23
    • 84977722638 scopus 로고
    • The world price of covariance risk
    • Harvey, Campbell R. 1991. The world price of covariance risk. Journal of Finance, 46: 111-57.
    • (1991) Journal of Finance , vol.46 , pp. 111-157
    • Harvey, C.R.1
  • 24
    • 21844487168 scopus 로고
    • Predictable risk and return in emerging markets
    • Harvey, Campbell R. 1995. Predictable risk and return in emerging markets. Review of Financial Studies, 8: 773-816.
    • (1995) Review of Financial Studies , vol.8 , pp. 773-816
    • Harvey, C.R.1
  • 25
    • 0002839071 scopus 로고
    • Common stock returns and presidential elections
    • Huang, Roger D. 1985. Common stock returns and presidential elections. Financial Analysts Journal, 41(2): 58-61.
    • (1985) Financial Analysts Journal , vol.41 , Issue.2 , pp. 58-61
    • Huang, R.D.1
  • 26
    • 48749147730 scopus 로고
    • Size related anomalies and stock return regularities: Further empirical evidence
    • Keim, Donald B. 1983. Size related anomalies and stock return regularities: Further empirical evidence. Journal of Financial Economics, 12: 13-32.
    • (1983) Journal of Financial Economics , vol.12 , pp. 13-32
    • Keim, D.B.1
  • 27
    • 46149129689 scopus 로고
    • Predicting returns in the stock and bond markets
    • Keim, Donald B. & Robert F. Stambaugh. 1986. Predicting returns in the stock and bond markets. Journal of Financial Economics, 17: 357-90.
    • (1986) Journal of Financial Economics , vol.17 , pp. 357-390
    • Keim, D.B.1    Stambaugh, R.F.2
  • 28
    • 0000867768 scopus 로고
    • International diversification of investment portfolios
    • Levy, Haim & Marshall Sarnat. 1970. International diversification of investment portfolios. American Economic Review, 60: 668-75.
    • (1970) American Economic Review , vol.60 , pp. 668-675
    • Levy, H.1    Sarnat, M.2
  • 29
    • 0001738730 scopus 로고
    • An intertemporal capital asset pricing model
    • Merton, Robert C. 1973. An intertemporal capital asset pricing model. Econometrica, 41: 867-87.
    • (1973) Econometrica , vol.41 , pp. 867-887
    • Merton, R.C.1
  • 31
    • 0000058335 scopus 로고
    • The political business cycle
    • Nordhaus, William D. 1975. The political business cycle. Review of Economic Studies, 42: 169-90.
    • (1975) Review of Economic Studies , vol.42 , pp. 169-190
    • Nordhaus, W.D.1
  • 32
    • 0002158052 scopus 로고
    • Mean reversion in stock prices: Evidence and implications
    • Poterba, James M. & Lawrence H. Summers. 1988. Mean reversion in stock prices: Evidence and implications. Journal of Financial Economics, 22: 27-59.
    • (1988) Journal of Financial Economics , vol.22 , pp. 27-59
    • Poterba, J.M.1    Summers, L.H.2
  • 33
    • 48749146127 scopus 로고
    • The anomalous stock market behavior of small firms in January: Empirical tests for tax-loss selling effect
    • Reinganum, Marc R. 1983. The anomalous stock market behavior of small firms in January: Empirical tests for tax-loss selling effect. Journal of Financial Economics, 12: 89-104.
    • (1983) Journal of Financial Economics , vol.12 , pp. 89-104
    • Reinganum, M.R.1
  • 35
    • 33845632902 scopus 로고
    • Capital market seasonality: The case of stock returns
    • Rozeff, Michael S. & William R. Kinney. 1976. Capital market seasonality: The case of stock returns. Journal of Financial Economics, 3: 379-402.
    • (1976) Journal of Financial Economics , vol.3 , pp. 379-402
    • Rozeff, M.S.1    Kinney, W.R.2
  • 37
    • 0040520434 scopus 로고
    • Intertemporal asset pricing: An empirical investigation
    • Shanken, Jay. 1990. Intertemporal asset pricing: An empirical investigation. Journal of Econometrics, 45: 99-120.
    • (1990) Journal of Econometrics , vol.45 , pp. 99-120
    • Shanken, J.1
  • 38
    • 84944833518 scopus 로고
    • The relation between stock prices and inflationary expectations: The international evidence
    • Solnik, Bruno. 1983. The relation between stock prices and inflationary expectations: The international evidence. Journal of Finance, 38: 35-48.
    • (1983) Journal of Finance , vol.38 , pp. 35-48
    • Solnik, B.1
  • 39
    • 0002629437 scopus 로고
    • The performance of international asset allocation strategies using conditioning information
    • Solnik, Bruno. 1993. The performance of international asset allocation strategies using conditioning information. Journal of Empirical Finance, 1: 33-55.
    • (1993) Journal of Empirical Finance , vol.1 , pp. 33-55
    • Solnik, B.1
  • 42
    • 0001371984 scopus 로고
    • Rational choice and the framing of decisions
    • Tversky, Amos & Daniel Kahneman. 1986. Rational choice and the framing of decisions. Journal of Business, 59: 251-78.
    • (1986) Journal of Business , vol.59 , pp. 251-278
    • Tversky, A.1    Kahneman, D.2
  • 43
    • 0000095552 scopus 로고
    • A heteroscedasticity-consistent covariance matrix estimator and a direct test of heteroscedasticity
    • White, Halbert. 1980. A heteroscedasticity-consistent covariance matrix estimator and a direct test of heteroscedasticity. Econometrica, 48: 817-38.
    • (1980) Econometrica , vol.48 , pp. 817-838
    • White, H.1
  • 44
    • 84946357749 scopus 로고
    • An efficient method of estimating seemingly unrelated regressions and tests of aggregation bias
    • Zellner, Arnold. 1962. An efficient method of estimating seemingly unrelated regressions and tests of aggregation bias. Journal of the American Statistical Association, 57: 348-68.
    • (1962) Journal of the American Statistical Association , vol.57 , pp. 348-368
    • Zellner, A.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.