Risk, seasonality and the asymmetric behaviour of stock returns

Patricia L. Chelley-Steeley

Research output: Contribution to journalArticle

Abstract

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 systematic risk and return across the different months of the year for both large and small firms. In the case of both large and small firms systematic risk appears to be priced in only two months of the year, January and April. During the other months no persistent relationship between systematic risk and return appears to exist. The paper also shows that when systematic risk is priced, the size of the systematic risk premium is higher for large firms than for small firms and varies significantly across the months of the year.
Original languageEnglish
Pages (from-to)145-154
Number of pages10
JournalJournal of Business Fnance and Accounting
Volume23
Issue number1
DOIs
Publication statusPublished - Jan 1996

Keywords

  • size
  • seasonality
  • risk premium

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