This paper examines the political cycle in Australian stock returns from 1901 to 2005. We define the political cycle in terms of the party in power, ministerial tenure and election information effects. The market variables are returns, excess returns over inflation and excess returns over interest rates. Descriptive analysis suggests differences in the variance of returns under Labor and non-Labor ministries, but no significant differences in mean returns. Using GARCH-M, returns are found to be only higher for non-Labor ministries before 1949 and there is no difference in excess returns over inflation or interest throughout the full sample.