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Seasonality in the Risk-Return Relationship: Some International Evidence

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Author Info
 Corhay, Albert
Hawawini, Gabriel
Michel, Pierre

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Abstract

The authors report evidence of monthly seasonality in the estimate of the CAPM-based equity risk premium on the NYSE and the London, Paris, and Brussels exchanges. In Belgium and France, the risk premium is positive in January and negative the rest of the year. In the United Kingdom, it is positive in April and negative the rest of the year. In the United States, the pattern of risk-premium seasonality coincides with the pattern of stock-return seasonality. Both are positive and significant only in January. This is not the case in the European markets. An interpretation of this phenomenon is suggested. Copyright 1987 by American Finance Association.

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Publisher Info
Article provided by American Finance Association in its journal Journal of Finance.

Volume (Year): 42 (1987)
Issue (Month): 1 (March)
Pages: 49-68
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Handle: RePEc:bla:jfinan:v:42:y:1987:i:1:p:49-68

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  1. Magnus Dahlquist, Peter Sellin, 1996. "Stochastic dominance, tax-loss selling and seasonalities in Sweden," European Journal of Finance, Taylor and Francis Journals, vol. 2(1), pages 1-19, March. [Downloadable!] (restricted)
  2. Greg Filbeck, Sue Visscher, 1997. "Dividend yield strategies in the British stock market," European Journal of Finance, Taylor and Francis Journals, vol. 3(4), pages 277-289, December. [Downloadable!] (restricted)
  3. Gordon Tang, 1998. "Monthly Pattern and Portfolio Effect on Higher Moments of Stock Returns: Empirical Evidence from Hong Kong," Asia-Pacific Financial Markets, Springer, vol. 5(3), pages 275-307, November. [Downloadable!] (restricted)
  4. Patricia L. Chelley-Steeley & James M. Steeley, 2005. "The leverage effect in the UK stock market," Applied Financial Economics, Taylor and Francis Journals, vol. 15(6), pages 409-423, March. [Downloadable!] (restricted)
  5. Brian M. Lucey & Shane Whelan, 2004. "Monthly and semi-annual seasonality in the Irish equity market 1934-2000," Applied Financial Economics, Taylor and Francis Journals, vol. 14(3), pages 203-208, February. [Downloadable!] (restricted)
  6. Graflund, Andreas, 2001. "Some Time Serial Properties of the Swedish Real Estate Stock Market, 1939-1998," Working Papers 2001:8, Lund University, Department of Economics. [Downloadable!]
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