Corhay, Albert; Hawawini, Gabriel; Michel, Pierre - In: Journal of Finance 42 (1987) 1, pp. 49-68
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...