Seasonality, Stock Returns and the Macroeconomy

Richard Priestley ()

Economic Journal, 1997, vol. 107, issue 445, 1742-50

Abstract: This paper examines the relationship between seasonality, stock returns, and the macroeconomy using a multifactor model of stock returns. Observed seasonal patterns in excess returns are found to be a result of seasonality in excess expected returns. By utilizing a multifactor model of stock returns, these higher returns are found to be a compensation for risk associated with a number of macroeconomic factors at certain times of the year. Copyright 1997 by Royal Economic Society.

Date: 1997
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