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Shifts in Political Environment and Industry Momentum: Evidence from Global Stock Markets

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dc.contributor.authorWang, Zhongyang
dc.contributor.chairAddoum, Jawad M.
dc.contributor.committeeMemberMurfin, Justin
dc.date.accessioned2022-09-15T15:49:21Z
dc.date.available2022-09-15T15:49:21Z
dc.date.issued2022-05
dc.description55 pages
dc.description.abstractThis paper aims to examine whether shifts in the political environment can explain industry momentum profits in global stock markets. In the U.S., Canada and Australia, I find that the politically consistent momentum strategy, which takes a long position in industries that are both winners and politically favored and a short position in industries that are both losers and politically unfavored, outperforms the standard momentum strategy. In contrast, the politically inconsistent momentum strategy, which has a long position in industries that are winners but politically unfavored and a short position in industries that are losers but politically favored does not generate significant profits. Further, I find that a political-sensitivity-based long-short portfolio explains approximately 20% to 40% of industry momentum profits in the three countries. This explanatory power is concentrated around presidential (prime minister) elections. Overall, the results support the theory that investor underreaction to political information generates momentum. In other countries in which the pattern cannot explain momentum returns, I attempt to provide a new conjecture.
dc.identifier.doihttps://doi.org/10.7298/87zh-4j54
dc.identifier.otherWang_cornell_0058O_11470
dc.identifier.otherhttp://dissertations.umi.com/cornell:11470
dc.identifier.urihttps://hdl.handle.net/1813/111657
dc.language.isoen
dc.subjectbehavioral finance
dc.subjectindustry momentum
dc.subjectmomentum profits
dc.subjectparty change
dc.subjectpolitical climate
dc.titleShifts in Political Environment and Industry Momentum: Evidence from Global Stock Markets
dc.typedissertation or thesis
dcterms.licensehttps://hdl.handle.net/1813/59810.2
thesis.degree.disciplineApplied Economics and Management
thesis.degree.grantorCornell University
thesis.degree.levelMaster of Science
thesis.degree.nameM.S., Applied Economics and Management

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