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Journal Article

Macroeconomic Seasonality and the January Effect

Charles Kramer
The Journal of Finance
Vol. 49, No. 5 (Dec., 1994), pp. 1883-1891
Published by: Wiley for the American Finance Association
DOI: 10.2307/2329275
Stable URL: http://www.jstor.org/stable/2329275
Page Count: 9
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Macroeconomic Seasonality and the January Effect
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Abstract

Many financial markets researchers have sought an explanation for the role of January in stock returns. Any explanation of this phenomenon that is consistent with rational pricing must specify a source of seasonality in expected returns. The pervasive seasonality in the macroeconomy is an appealing possibility. A multifactor model that links macroeconomic risk to expected return is found to show substantial seasonality in expected returns. This model accounts for the seasonality in average returns, while the capital asset pricing model cannot.

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