Precarious politics and return volatility

Review of Financial Studies

Volumn 25, Issue 4, 2012, Pages 1111-1154

  Boutchkova, Maria ^a   Doshi, Hitesh ^b   Durnev, Art ^c   Molchanov, Alexander ^d  

^a UNIVERSITY OF LEICESTER   (United Kingdom)

^b UNIVERSITY OF HOUSTON   (United States)

^c UNIVERSITY OF IOWA   (United States)

^d MASSEY UNIVERSITY   (New Zealand)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84858687598     PISSN: 08939454     EISSN: 14657368     Source Type: Journal    
DOI: 10.1093/rfs/hhr100     Document Type: Review

References (66)

1. Acemoglu, D., and S. Johnson. 2005. Unbundling Institutions. Journal of Political Economy 113:949-95.
2. Alesina, A., and D. Rodrik. 1994. Distributive Politics and Economic Growth. Quarterly Journal of Economics 109:465-90.
3. Alesina, A., N. Roubini, and G. Cohen. 1993. Electoral Business Cycle in Industrial Democracies. European Journal of Political Economy 9:1-23.
4. Alessandria, G., J. Kaboski, and V. Midrigan. 2010. The Great Trade Collapse of 2008-09: An Inventory Adjustment? IMF Economic Review 58:254-94.
5. Alt, J., and K. Chrystal. 1983. Political Economics. Berkeley, CA: University of California Press.
6. Ang, A., R. Hodrick, Y. Xing, and X. Zhang. 2009. High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence. Journal of Financial Economics 91:1-23.
7. Atanassov, J., and E. H. Kim. 2009. Labor and Corporate Governance: International Evidence from Restructuring Decisions. Journal of Finance 64:341-74.
8. Bailey,W., and Y. Chung. 1995. Exchange Rate Fluctuations, Political Risk, and Stock Returns: Some Evidence from an Emerging Market. Journal of Financial and Quantitative Analysis 30:541-61.
9. Beaulieu, M.-C., J.-C. Cosset, and N. Essaddam. 2005. The Impact of Political Risk on the Volatility of Stock Returns: The Case of Canada. Journal of International Business Studies 36:701-18.
10. Beck, T., G. Clarke, A. Groff, P. Keefer, and P. Walsh. 2001. New Tools in Comparative Political Economy: The Database of Political Institutions. World Bank Economic Review 15:165-76.
11. Berkman, H., B. Jacobsen, and J. Lee. 2011. Time-varying Rare Disaster Risk and Stock Returns. Journal of Financial Economics 101:313-32.
12. Bernhard,W., and D. Leblang. 2006. Democratic Processes and Financial Markets: Pricing Politics. Cambridge, UK: Cambridge University Press.
13. Bialkowski, J., K. Gottschalk, and T. Wisniewski. 2008. Stock Market Volatility Around National Elections. Journal of Banking and Finance 32:1941-53.
14. Bittlingmayer, G. 1998. Output, Stock Volatility, and Political Uncertainty in a Natural Experiment: Germany, 1880-1940. Journal of Finance 53:2243-56.
15. Blanchard, O., and M. Kremer. 1997. Disorganization. Quarterly Journal of Economics 112:1091-126.
16. Blomberg, S., and G. Hess. 2001. Is the Political Business Cycle for Real? Journal of Public Economics 87:1091-121.
17. Bobbio, N. 1996. Left and Right: The Significance of a Political Distinction. Cambridge, UK: Polity Press.
18. Bollerslev, T., G. Tauchen, and H. Zhou. 2009. Expected Stock Returns and Variance Risk Premia. Review of Financial Studies 22:4463-92.
19. Botero, J., S. Djankov, R. La Porta, and F. Lopez-de-Silanes. 2004. The Regulation of Labor. Quarterly Journal of Economics 119:1339-82.
20. Carlin,W., and C. Mayer. 2003. Finance, Investment, and Growth. Journal of Financial Economics 69:191-226.
21. Carr, P., and L. Wu. 2009. Variance Risk Premiums. Review of Financial Studies 22:1311-41.
22. Chang, R. 2010 Elections, Capital Flows, and Politico-economic Equilibria. American Economic Review 100:1759-77.
23. Desai, M., C. Foley, and J. Hines, Jr. 2008. Capital Structure with Risky Foreign Investments. Journal of Financial Economics 88:534-53.
24. Döpke, J., and C. Pierdzioch. 2006. Politics and the Stock Market: Evidence from Germany. European Journal of Political Economy 22:925-43.
25. Engel, C., and J. Wang. 2011. International Trade in Durable Goods: Understanding Volatility, Cyclicality, and Elasticities. Journal of International Economics 83:37-52.
26. Escaith, H., N. Lindenberg, and S. Miroudot. 2010. International Supply Chains and Trade Elasticity in Times of Global Crisis. Working Paper, World Trade Organization.
27. Foerster, S., and J. Schmitz. 1997. The Transmission of U.S. Election Cycles to International Stock Returns. Journal of International Business Studies 28:1-13.
28. Fowler, J. 2006. Elections and Markets: The Effect of Partisanship, Policy Risk, and Electoral Margins on the Economy. Journal of Politics 68:89-103.
29. Fu, F. 2009. Idiosyncratic Risk and the Cross-section of Expected Stock Returns. Journal of Financial Economics 91:24-37.
30. Füss, R., and M. Bechtel. 2008. Partisan Politics and Stock Market Performance: The Effect of Expected Government Partisanship on Stock Returns in the 2002 German Federal Election. Public Choice 135:131-50.
31. Gray, A., and A. Wood. 2008. U.S. and Asia Stocks Plunge. Financial Times, p. B7, September 30.
32. Hart, O., and J. Moore. 1990. Property Rights and the Nature of the Firm. Journal of Political Economy 98: 1119-58.
33. Herron, M. 2000. Estimating the Economic Impact of Political Party Competition in the 1992 British Election. American Journal of Political Science 44:326-37.
34. Jin, L., and S. Myers. 2006. R-squared Around the World: New Theory and New Tests. Journal of Financial Economics 79:257-92.
35. Johnson, S., P. Boone, A. Breach, and E. Friedman. 2000. Corporate Governance and the Asian Financial Crisis. Journal of Financial Economics 58:141-86.
36. Jorgenson, D. 1990. Productivity and Economic Growth. In Ernst R. Berndt and Jack E. Triplett (eds.), Fifty Years of Economic Measurement: The Jubilee Conference on Research in Income and Wealth. Chicago, IL: University of Chicago Press.
37. Jorgenson, D., and K. Stiroh. 2000. Raising the Speed Limit: U.S. Economic Growth in the Information Age. Brookings Papers on Economic Activity 1:125-211.
38. Julio, B., and Y. Yook. Forthcoming. Political Uncertainty and Corporate Investment Cycles. Journal of Finance.
39. Knight, B. 2006. Are Policy Platforms Capitalized into Equity Prices? Evidence from the Bush/Gore 2000 Presidential Election. Journal of Public Economics 90:751-73.
40. La Porta, R., F. Lopez-de-Silanes, A. Shleifer, and R. Vishny. 1999. The Quality of Government. Journal of Law, Economics, and Organization 15:222-79.
41. Leblang, D., and B. Mukherjee. 2005. Government Partisanship, Elections, and the Stock Market: Examining American and British Stock Returns, 1930-2000. American Journal of Political Science 49:780-802.
42. Levchenko, A. 2007. Institutional Quality and International Trade. Review of Economic Studies 74:791-819.
43. Lewis-Beck, M., and M. Stegmaier. 2000. Economic Determinants of Electoral Outcomes. Annual Review of Political Science 3:183-219.
44. Manova, K. 2006. Credit Constraints, Heterogeneous Firms, and International Trade. Working Paper, Stanford University.
45. Marshall, M., and K. Jaggers. 2006. Polity IV Project: Political Regime Characteristics and Transitions, 1800- 2004 Dataset Users' Manual. CIDCM: University of Maryland.
46. McGillivray, F. 2003. Redistributive Policies and Stock Price Dispersion. British Journal of Political Science 33:367-96.
47. Mei, J., and L. Guo. 2004. Political Uncertainty, Financial Crisis, and Market Volatility. European Financial Management 10:639-57.
48. Merton, R. 1987. Presidential Address: A Simple Model of Capital Market Equilibrium with Incomplete Information. Journal of Finance 42:483-510.
49. Morck, R., B. Yeung, and W. Yu. 2000. The Information Content of Stock Markets: Why Do Emerging Markets Have Synchronous Stock Price Movements? Journal of Financial Economics 58:215-60.
50. Moskowitz, T., and M. Grinblatt. 1999. Do Industries Explain Momentum? Journal of Finance 54: 1249-90.
51. Nunn, N. 2007. Relationship-specificity, Incomplete Contracts, and the Pattern of Trade. Quarterly Journal of Economics 122:569-600.
52. OECD Productivity Manual. 2010. Measuring Productivity: Measurement of Aggregate and Industry-level Productivity Growth. New York: Organization of Economic Cooperation and Development.
53. Olters, J.-P. 2001. Modelling Politics with Economic Tools-A Critical Survey of the Literature.Working Paper, International Monetary Fund.
54. Oulton, N. 1996. Workforce Skills and Export Competitiveness. In A. Booth and D. Snower (eds.), Acquiring Skills: Market Failures, Their Symptoms, and Policy Responses. Cambridge, UK: Cambridge University Press.
55. Pagano, M., and P. Volpin. 2005. The Political Economy of Corporate Governance. American Economic Review 95:1005-30.
56. P'astor, L., and P. Veronesi. 2010. Uncertainty about Government Policy and Stock Prices. Working Paper, University of Chicago.
57. Persson, T. 1998. Economic Policy and Special Interest Politics. Economic Journal 108:310-27.
58. Rajan, R., and A. Subramanian. 2007. Does Aid Affect Governance? American Economic Review 97:322-27.
59. Rajan R., and L. Zingales. 1998. Financial Dependence and Growth. American Economic Review 88:559-86.
60. Rueda, D. 2005. Insider-outsider Politics in Industrialized Democracies: The Challenge to Social Democratic Parties. American Political Science Review 99:61-74.
61. Santa-Clara, P., and R. Valkanov. 2003. The Presidential Puzzle: Political Cycles and the Stock Market. Journal of Finance 58:1841-72.
62. Sill, K. 2000. Understanding Asset Values: Stock Prices, Exchange Rates, and the "Peso Problem." Philadelphia Federal Reserve Bank Business Review September/October: 3-13.
63. Snowberg, E., J.Wolfers, and E. Zitzewitz. 2007. Partisan Impacts on the Economy: Evidence from Markets and Close Elections. Quarterly Journal of Economics 122:807-29.
64. Tullock, G. 1987. Autocracy. Boston, MA: Kluwer Academic Publishers.
65. Voth, H.-J. 2002. Stock Price Volatility and Political Uncertainty: Evidence from Interwar Period. Working Paper, Universitat Pompeu Fabra.
66. Wolfers, J., and E. Zitzewitz. 2009. Using Markets to Inform Policy: The Case of the Iraq War. Economica 76:225-50.