Does the quality of political signals matter for financial markets? Evidence from return predictability

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dc.contributor.authorWei X
dc.contributor.authorBialkowski, Jedrzej
dc.date.accessioned2022-10-28T03:43:15Z
dc.date.available2022-10-28T03:43:15Z
dc.date.issued2022en
dc.date.updated2022-08-02T21:09:34Z
dc.description.abstractInvestor sentiment and the variance risk premium are well-established learning-based predictors of aggregate stock market returns. This study investigates whether the return predictability of investor sentiment and the variance risk premium is impacted by the quality of political signals. Our analysis shows that low-quality political signals substantially weaken return predictability via a prolonged mispricing correction associated with lower market participation. The explanatory power of predictive regression models is significantly improved when a proxy for the quality of political signals is included. Overall, our robust findings provide evidence that low-quality political signals have a negative impact on the functioning of financial markets.en
dc.identifier.citationBialkowski J, Wei X (2022). Does the quality of political signals matter for financial markets? Evidence from return predictability. , 12/11/2022.en
dc.identifier.urihttps://hdl.handle.net/10092/104646
dc.language.isoenen
dc.rightsAll rights reserved unless otherwise stateden
dc.rights.urihttp://hdl.handle.net/10092/17651en
dc.subjectInvestor sentimenten
dc.subjectVariance risk premiumen
dc.subjectReturn predictabilityen
dc.subjectInformation qualityen
dc.subjectQuality of political signalsen
dc.subjectQindexen
dc.subjectInvestors’ learningen
dc.subject.anzsrcFields of Research::35 - Commerce, management, tourism and services::3502 - Banking, finance and investmenten
dc.titleDoes the quality of political signals matter for financial markets? Evidence from return predictabilityen
dc.typeOral Presentationen
uc.collegeUC Business School
uc.departmentDepartment of Economics and Finance
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