Nov
7
Pre and Post Presidential Election, from Kim Zussman
November 7, 2012 |
Going back to 1984, checked SP500 returns for the two day interval including presidential election day, and the following 3 day interval returns:
One-Sample T: 2D prior, 3D after
Test of mu = 0 vs not = 0
Variable N Mean StDev SE Mean 95% CI T P
2D prior 7 0.0105 0.0145 0.0054 (-0.0029, 0.0239) 1.91 0.104
3D after 7 -0.0162 0.0372 0.0140 (-0.0507, 0.0181) -1.16 0.292
N.S. (low N), but a trend toward reversal. Here is the regression:
The regression equation is
3D after = - 0.0025 - 1.31 2D prior
Predictor Coef SE Coef T P
Constant -0.0025 0.0168 -0.15 0.889
2D prior -1.3125 0.9868 -1.33 0.241
S = 0.0350644 R-Sq = 26.1% R-Sq(adj) = 11.4%
>>Still N.S., but negatively correlated.
Buying rumors and selling news?
Date 2D prior 3D after
11/4/2008 0.038 -0.074
11/2/2004 0.000 0.031
11/7/2000 0.004 -0.046
11/5/1996 0.015 0.023
11/3/1992 0.003 -0.006
11/8/1988 -0.004 -0.026
11/6/1984 0.018 -0.016
Comments
1 Comment so far
Archives
- May 2013
- April 2013
- March 2013
- February 2013
- January 2013
- December 2012
- November 2012
- October 2012
- September 2012
- August 2012
- July 2012
- June 2012
- May 2012
- April 2012
- March 2012
- February 2012
- January 2012
- December 2011
- November 2011
- October 2011
- September 2011
- August 2011
- July 2011
- June 2011
- May 2011
- April 2011
- March 2011
- February 2011
- January 2011
- December 2010
- November 2010
- October 2010
- September 2010
- August 2010
- July 2010
- June 2010
- May 2010
- April 2010
- March 2010
- February 2010
- January 2010
- December 2009
- November 2009
- October 2009
- September 2009
- August 2009
- July 2009
- June 2009
- May 2009
- April 2009
- March 2009
- February 2009
- January 2009
- December 2008
- November 2008
- October 2008
- September 2008
- August 2008
- July 2008
- June 2008
- May 2008
- April 2008
- March 2008
- February 2008
- January 2008
- December 2007
- November 2007
- October 2007
- September 2007
- August 2007
- July 2007
- June 2007
- May 2007
- April 2007
- March 2007
- February 2007
- January 2007
- December 2006
- November 2006
- October 2006
- September 2006
- August 2006
- Older Archives
Resources & Links
- The Letters Prize
- Pre-2007 Victor Niederhoffer Posts
- Vic’s NYC Junto
- Reading List
- Programming in 60 Seconds
- The Objectivist Center
- Foundation for Economic Education
- Tigerchess
- Dick Sears' G.T. Index
- Pre-2007 Daily Speculations
- Laurel & Vics' Worldly Investor Articles
If “P” represents the p-value statistic, then you have horrible regressions. In econometric parlance, your regression models are mis-specified, the insignificant t-statistics notwithstanding.
Cheers.