Ritter, Jay R; Chopra, Navin - In: Journal of Finance 44 (1989) 1, pp. 149-66
This paper finds that, for the 1935-86 period, the market's risk-return relation does not have a January seasonal. The findings differ from those of other studies due to the use of value-weighted, rather than equally-weighted, portfolios. Inferences are sensitive to the weighting procedure...