This chapter examines the presence of a political cycle in Australian daily stock returns over the 47 years from 6 January 1958 to 30 December 2005. The period selected includes 19 federal elections, 25 ministries and 5 terms of Liberal-National or Labor government. We define the political cycle in terms of the party in power, the time since the last election and election information effects. We define the market variables in terms of nominal and real returns and nominal and real return volatility. The results indicate returns are highest during the ministries of Holt-McEwen and Hawke and lowest during Whitlam and Fraser, while risk is highest during Whitlam and Hawke and lowest during Menzies and Holt-McEwen. However, regression analysis shows that Liberal-National and Labor governments more generally differ in the volatility of returns where political cycle-sourced return volatility increases at a decreasing rate with the time in power. Such risk differences potentially arise from the different parties' economic and social policies, uncertainty among investors about these policies, or doubt among voters concerning future election outcomes.