Stocks Dislike Obama More Than They Like McCain, from Kim Zussman
Intrade has data on betting odds for Obama and McCain: daily close-close change on betting price 1/08-present (eliminating weekends/holidays), used linear regression to compare change OB and change MC with (contemporaneous) change SPY:
Regression Analysis: chg SPY versus chg OB
The regression equation is
chg SPY = - 0.00151 - 0.0045 chg OB
Predictor Coef SE Coef T P
Constant -0.001512 0.00164 -0.92 0.358
chg OB -0.00449 0.01898 -0.24 0.813
S = 0.0236313 R-Sq = 0.0% R-Sq(adj) = 0.0%
Regression Analysis: chg SPY versus chg MC
The regression equation is
chg SPY = - 0.00160 + 0.0064 chg MC
Predictor Coef SE Coef T P
Constant -0.00159 0.00163 -0.98 0.329
chg MC 0.00639 0.02282 0.28 0.780
S = 0.0236300 R-Sq = 0.0% R-Sq(adj) = 0.0%
None of the coefficients approach significance, but (as we well know) as Obama's odds went up YTD, stocks went down.
Repeated the regressions "at lag 1" (ie, today's change in SPY vs yesterday's in OB and MC):
Regression Analysis: L0 SPY versus L1 OB
The regression equation is
L0 SPY = - 0.00131 - 0.0228 L1 OB
Predictor Coef SE Coef T P
Constant -0.00130 0.00164 -0.80 0.427
L1 OB -0.02282 0.01897 -1.20 0.230
S = 0.0236091 R-Sq = 0.7% R-Sq(adj) = 0.2%
Regression Analysis: L0 SPY versus L1 MC
The regression equation is L0 SPY = - 0.00161 + 0.0082 L1 MC
Predictor Coef SE Coef T P
Constant -0.00160 0.00163 -0.98 0.327
L1 MC 0.00822 0.02293 0.36 0.720
S = 0.0236837 R-Sq = 0.1% R-Sq(adj) = 0.0%
Again nothing significant, but the slope coefficient for SPY/OB is closer to significant (and negative) than SPY/MC (positive).
Conclusion? "Yes-we-can" sell because your once-preferential treatment of capital gains are going to the capital for at least 8 years…