IDEAS home Printed from https://ideas.repec.org/a/cup/jfinqa/v25y1990i04p517-533_00.html
   My bibliography  Save this article

Stock Market Seasonals and Prespecified Multifactor Pricing Relations

Author

Listed:
  • Chang, Eric C.
  • Pinegar, J. Michael

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.

Suggested Citation

  • Chang, Eric C. & Pinegar, J. Michael, 1990. "Stock Market Seasonals and Prespecified Multifactor Pricing Relations," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(4), pages 517-533, December.
    • Handle: RePEc:cup:jfinqa:v:25:y:1990:i:04:p:517-533_00
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S0022109000007365/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Arbab Khalid Cheema & Wenjie Ding & Qingwei Wang, 2023. "The cross-section of January effect," Journal of Asset Management, Palgrave Macmillan, vol. 24(6), pages 513-530, October.
    2. Wagner, Moritz & Lee, John Byong-Tek & Margaritis, Dimitris, 2022. "Mutual fund flows and seasonalities in stock returns," Journal of Banking & Finance, Elsevier, vol. 144(C).
    3. Gu, Anthony Yanxiang, 2003. "The declining January effect: evidences from the U.S. equity markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 43(2), pages 395-404.
    4. Plastun, Alex & Sibande, Xolani & Gupta, Rangan & Wohar, Mark E., 2020. "Historical evolution of monthly anomalies in international stock markets," Research in International Business and Finance, Elsevier, vol. 52(C).
    5. Erdinc Altay, 2003. "The Effect of Macroeconomic Factors on Asset Returns: A Comparative Analysis of the German and the Turkish Stock Markets in an APT Framework," Finance 0307006, University Library of Munich, Germany.
    6. Kenneth Beller & John R. Nofsinger, 1998. "On Stock Return Seasonality And Conditional Heteroskedasticity," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 21(2), pages 229-246, June.
    7. Alan Alford & Daryl M. Guffey, 1996. "A re‐examination of international seasonalities," Review of Financial Economics, John Wiley & Sons, vol. 5(1), pages 1-17, December.
    8. Partha Gangopadhyay, 1994. "Risk-Return Seasonality And Macroeconomic Variables," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 17(3), pages 347-361, September.
    9. Qiwei Chen, 2013. "Risk and seasonal effects: international evidence," Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, vol. 11(4), pages 299-311, November.
    10. Arshad Hasan & M. Tariq Javed, 2009. "An Empirical Investigation of the Causal Relationship among Monetary Variables and Equity Market Returns," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 14(1), pages 115-137, Jan-Jun.
    11. Brian Lucey & Shane Whelan, 2004. "Monthly and semi-annual seasonality in the Irish equity market 1934-2000," Applied Financial Economics, Taylor & Francis Journals, vol. 14(3), pages 203-208.
    12. Marc†Gregor Czaja & Hendrik Scholz & Marco Wilkens, 2010. "Interest Rate Risk Rewards in Stock Returns of Financial Corporations: Evidence from Germany," European Financial Management, European Financial Management Association, vol. 16(1), pages 124-154, January.
    13. Alford, Alan & Guffey, Daryl M., 1996. "A re-examination of international seasonalities," Review of Financial Economics, Elsevier, vol. 5(1), pages 1-17.
    14. Anthony Yanxiang Gu, 2015. "The June Phenomenon and the Changing Month of the Year Effect," Accounting and Finance Research, Sciedu Press, vol. 4(3), pages 1-1, August.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:jfinqa:v:25:y:1990:i:04:p:517-533_00. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/jfq .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.