Congress is Bad for Business

Or at least when it is in session:

Stock returns are lower and volatility is higher when Congress is in session. This "Congressional Effect" can be quite large - more than 90% of the capital gains over the life of the DJIA have come on days when Congress is out of session. The Effect varies systematically with the public's opinion of Congress: returns are lower and volatility higher when a relatively unpopular Congress is active.

It suggests that government activity increases regulatory uncertainty. Hat tip to Freakonomics.