The 283 Days of Stock Returns after the 2016 Election
Working Paper with Anthony M. Diercks and Daniel Soques
- Proceedings:
- - 2021 National Tax Association Annual Conference
- - 2021 European Economics Association Annual Congress
- Press Coverage:
- -"The Deplatforming of President Trump" by Andrew Ross Sorkin, Jason Karaian, Michael J. de la Merced, Lauren Hirsch and Ephrat Livni, The New York Times (8 January 2021)
View: Abstract
The stock market rose by 25% between the 2016 election and the day TCJA was signed into law. To determine how much the prospect of tax cuts contributed to this increase, we construct a human-based attribution by examining non-public Market Intelligence from FRBNY for each of the 283 days during this period. We find that the prospect of tax cuts had a net impact of less than 1%. Corroborating evidence is provided by a machine textual approach, cross-sectional regressions including a newly constructed optimally-weighted measure of tax exposure, market-based probability measures, and a Gordon growth model.
Last Updated: 2 November 2021