Equity · United States · stocks · Monthly · United States Free

Presidential Fiscal News and Cross-section of Stock Returns

Academic paper

AuthorsMy T. Nguyen

Institute

Washington University in St. Louis
?Washington University in St Louis, John M. Olin Business School

Paper linkhttps://papers.ssrn.com/sol3/papers.cfm?abstract_id=4311379

Strategy in a nutshell

This monthly strategy trades U.S. stocks (NYSE, AMEX, Nasdaq) using a Fiscal News Index (FNI) derived from presidential speeches. Stocks are sorted by sensitivity to FNI, forming high-minus-low portfolios—long the most sensitive, short the least sensitive—rebalanced monthly.

Economic rationale

Stocks highly sensitive to presidential fiscal news carry higher perceived risk. By targeting these exposures, the strategy captures excess returns linked to political policy expectations, leveraging speech-driven sentiment as a priced risk factor.

Backtest performance

Annualised return6.17%

Volatility15.05%

Sharpe ratio0.41