December 2005. The period selected includes fifty-nine Liberal-National (or their antecedents) and Labor ministries and forty-seven elections. The political cycle is defined in terms of the party or coalition in power, ministerial tenure and election information effects. The market variables are defined in terms of returns, excess returns over inflation and excess returns over interest rates. Descriptive analysis indicates that mean returns and excess returns over inflation are nearly 85 percent higher and excess returns over interest rates 193 percent higher under Liberal-National ministries. Put differently, the market premium for Liberal-National ministries averages between 3.2 and 5.2 percent over comparable Labor ministries. Returns under Labor ministries are also characterised by extremely volatile, negatively skewed values. But after time-variation in risk is taken into account with a GARCH-M specification, while returns and excess returns over inflation are higher under Liberal-National ministries, there is no significant variation in excess returns over interest rates between governments. This suggests most of the variation in political risk is reflected in interest rates.