Under-Reaction to Political Information and Price Momentum
“Further, our political sensitivity based factor (POL) explains 23-27% (42-43%) of monthly stock (industry) momentum alphas, and generates large increases in time-series R-squared for the momentum factor.”
AssetEquities
StrategyMomentum
FrequencyMonthly
Sample window1939–2016
Also stated: Alpha, Profit, Long-short
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodMomentum and trend following by year
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