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In an era marked by concerns about declining levels of democratic legitimacy and political alienation, the topic of political efficacy merits renewed research. While cross-national research has investigated the predictors of political participation extensively in recent years, the predictors of political efficacy have received less attention. This study analyzes the Comparative Study of Election Studies (CSES) between 1996 and 2016 to investigate the predictors of two types of political efficacy: the perception that who people vote for, and who is in power, can make a difference. We extend prior literature by analyzing comprehensive cross-national data to test a series of expectations related to individual-level predictors identified in the literature of socio-economic status, gender, and party identification. The results support established findings that socio-economic status measures (education and income) and party identification are important predictors of efficacy. The findings contradict expectations based on prior findings related to gender: in contrast to earlier studies that found either gender parity, or that men were more efficacious than women, the findings of the current study identify a consistent gender efficacy boost whereby women are more politically efficacious than men. A final unexpected finding is that the positive association between party identification and efficacy becomes systematically stronger for both types of efficacy between 1996 and 2016. Thus, despite the literature’s recent focus on declining party identification, the findings of the current study identify the continued and even increased importance of this identification for different types of political efficacy. At a time when the phrase “elections have consequences” has become a slogan for motivating disaffected voters, the current study provides a comprehensive analysis of the predictors of citizens’ sense of whether who people vote for and who is in power can make a difference.