Hostname: page-component-78c5997874-j824f Total loading time: 0 Render date: 2024-11-07T22:55:39.577Z Has data issue: false hasContentIssue false
  • English
  • Français

Stock Market Seasonals and Prespecified Multifactor Pricing Relations

Published online by Cambridge University Press:  06 April 2009

Eric C. Chang  and
J. Michael Pinegar
Get access Rights & Permissions [Opens in a new window]

Abstract

Despite nonstationarities in the factor betas and factor prices of the Chen, Roll, Ross (1986) multifactor model, investors are rewarded for bearing risks associated with the change in expected inflation and industrial production in non-January months; however, variations in these factors have opposite influences on stock prices. These findings may partially explain why several recent studies fail to detect a significant non-January risk premium in the stock market, but this evidence is only suggestive since theoretical and statistical difficulties prevent precise interpretations of specific pricing relations in the Chen, Roll, Ross model.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 25 , Issue 4 , December 1990 , pp. 517 - 533
Copyright
Copyright © School of Business Administration, University of Washington 1990

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

Banz, R. W. “The Relationship between Return and Market Value of Common Stocks.” Journal of Financial Economics, 9 (03 1981), 3–18.CrossRefGoogle Scholar
Berry, M. A.; Burmeister, E.; and McElroy, M. B.. “Sorting Out Risks Using Known APT Factors.” Financial Analysts Journal, (03/04 1988), 29–42.Google Scholar
Campbell, J. Y. “Stock Returns and Term Structure.” Journal of Financial Economics, 18 (06 1987), 373–399.CrossRefGoogle Scholar
Carroll, C., and Wei, K. C. J.. “Risk, Return, and Equilibrium: An Extension.” Journal of Business, 61 (10 1988), 485–499.CrossRefGoogle Scholar
Chan, K. C; Chen, N. F.; and Hsieh, D. A.. “An Exploratory Investigation of the Firm Size Effect.” Journal of Financial Economics, 14 (09 1985), 451–471.Google Scholar
Chang, E. C., and Pinegar, J. M.. “Return Seasonality and Tax-loss Selling in the Market for Longterm Government and Corporate Bonds.” Journal of Financial Economics, 17 (12 1986), 391–415.Google Scholar
Chang, E. C., and Pinegar, J. M.. “A Fundamental Study of the Seasonal Risk-Return Relationship: A Note.” Journal of Finance, 43 (09 1988), 1035–1039.Google Scholar
Chang, E. C., and Pinegar, J. M.. “Seasonal Fluctuations in Industrial Production and the Stock Market Seasonal.” Journal of Financial and Quantitative Analysis, 24 (03 1989), 59–74.Google Scholar
Chen, N. F.; Roll, R.; and Ross, S. A.. “Economic Forces and the Stock Market.” Journal of Business, 59 (07 1986), 383–403.CrossRefGoogle Scholar
Conrad, J., and Kaul, G.. “Time Variations in Expected Returns.” Journal of Business, 61 (10 1988), 409–425.CrossRefGoogle Scholar
Fama, E. F., and Gibbons, M. R.. “A Comparison of Inflation Forecasts.” Journal of Monetary Economics, 13 (05 1984), 327–348.Google Scholar
Fama, E. F., and Schwert, G. W.. “Asset Returns and Inflation.” Journal of Financial Economics, 5 (11 1977), 115–146.Google Scholar
Geske, R., and Roll, R.. “The Fiscal and Monetary Linkage between Stock Returns and Inflation.” Journal of Finance, 38 (03 1983), 1–33.Google Scholar
Gultekin, M., and Gultekin, B.. “Stock Return Anomalies and Tests of the APT.” Journal of Finance, 42 (12 1987), 1213–1224.Google Scholar
Hsieh, D. A. “A Heteroscedasticity-Consistent Covariance Matrix Estimator for Time Series Regressions.” Journal of Econometrics, 22 (08 1983), 281–290.Google Scholar
Johnston, J.Econometric Methods, 2nd ed.New York, NY: McGraw-Hill (1972).Google Scholar
Keim, D. B. “Size Related Anomalies and Stock Return Seasonality: Further Empirical Evidence.” Journal of Financial Economics, 12 (12 1983), 29–51.Google Scholar
Keim, D. B., and Stambaugh, R. F.. “Predicting Returns in the Stock and Bond Markets.” Journal of Financial Economics, 17 (12 1986), 357–390.CrossRefGoogle Scholar
Reinganum, M. R. “Misspecification of Capital Asset Pricing: Empirical Anomalies Based on Earnings Yields and Market Values.” Journal of Financial Economics, 9 (03 1981), 19–46.Google Scholar
Ritter, J. R., and Chopra, N.. “Risk, Return, and January.” Working Paper, Univ. of Michigan (07 1988).Google Scholar
Rogalski, R. J., and Tinic, S. M.. “The January Size Effect: Anomaly or Risk Mismeasurement?” Financial Analysts Journal, 42 (11/12 1986), 63–70.Google Scholar
Roll, R. “Ambiguity when Performance is Measured by the Securities Market Line.” Journal of Finance, 33 (09 1978), 1051–1069.Google Scholar
Roll, R., and Ross, S. A.. “The Arbitrage Pricing Theory Approach to Strategic Portfolio Planning.” Financial Analysts Journal, (05/06 1984), 14–26.CrossRefGoogle Scholar
Rozeff, M. S., and Kinney, W. R. Jr, “Capital Market Seasonality: the Case of Stock Returns.” Journal of Financial Economics, 3 (10 1976), 379–402.CrossRefGoogle Scholar
Tinic, S. M., and West, R. R.. “Risk and Return: January vs. the Rest of the Year.” Journal of Financial Economics, 13 (12 1984), 561–574.Google Scholar
White, H. “A Heteroscedasticity-Consistent Covariance Estimator and a Direct Test for Heteroscedasticity.” Econometrica, 48 (05 1980), 817–838.Google Scholar