Lecture title：Presidential Economic Approval Rating and the Cross-Section of Stock Returns

Time: 14:30-16:00, November 16 (Wednesday)

Venue: Tencent Conference 501-724-643

Reporter: Chen Zilin, associate professor of Southwestern University of Finance and Economics

Introduction to the keynote speaker:

Chen Zilin is an associate professor at the School of Finance, Southwest University of Finance and Economics. His main research fields are empirical asset pricing, behavioral finance and machine learning. The paper was published or received in international journals such as Journal of Financial Economics, Journal of Banking and Finance, Journal of Economic Dynamics and Control.

Introduction to the report:

We construct a monthly presidential economic approval rating (PEAR) index from 1981 to 2019, by averaging ratings on the president's handling of the economy across various national polls. In the cross-section, stocks with high betas to changes in the PEAR index significantly underperform those with low betas by 1.00% per month in the future, on a risk-adjusted basis. The low PEAR beta premium persists up to one year, and is present in various sub-samples and even in other G7 countries. PEAR beta dynamically reveals a firm's perceived alignment to the incumbent president's economic policies and investors seem to misprice such an alignment.

(Undertaken by: Accounting Department, Scientific Research and Academic Exchange Center)