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Macroeconomic Seasonality and the January Effect
The Journal of Finance
Vol. 49, No. 5 (Dec., 1994), pp. 1883-1891
Stable URL: http://www.jstor.org/stable/2329275
Page Count: 9
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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.
The Journal of Finance © 1994 American Finance Association