Seasonality, Stock Returns and the Macroeconomy

9 Pages Posted: 28 Jan 2012

Date Written: November 1997

Abstract

This paper examines the relationship between seasonality, stock returns and the macroeconomy using a multifactor model of stocks returns. Observed seasonal patterns in excess returns are found to be a result of seasonality in excess expected returns. By utilising 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.

Suggested Citation

Priestley, Richard, Seasonality, Stock Returns and the Macroeconomy (November 1997). The Economic Journal, Vol. 107, Issue 445, pp. 1742-1750, 1997, Available at SSRN: https://ssrn.com/abstract=1994226 or http://dx.doi.org/10.1111/j.1468-0297.1997.tb00078.x

Richard Priestley (Contact Author)

Norwegian Business School ( email )

Nydalsveien
37
N-0442 Oslo, 0283
Norway
47 46410515 (Phone)

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