Calendar effects and the pricing of risk: the UK evidence

Patricia L. Chelley-Steeley

Research output: Contribution to journalArticlepeer-review


For some time there has been a puzzle surrounding the seasonal behaviour of stock returns. This paper demonstrates that there is an asymmetric relationship between risk and return across the different months of the year. The paper finds that systematic risk is only priced during the months of January, April and July. Variance risk and firm size are priced during several months of the year including January. An analysis of the relative behaviour of size based securities reveals that firm capitalization makes a valuable contribution to the magnitude of risk premiums.
Original languageEnglish
Pages (from-to)237-255
Number of pages19
JournalEuropean Journal of Finance
Issue number3
Publication statusPublished - 1995


  • risk pricing
  • stock returns
  • calendar effect


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