Gangopadhyay, Partha - In: Journal of Financial Research 17 (1994) 3, pp. 347-61
In this paper I examine seasonality in the pricing of the Chen, Roll, and Ross (1986) macroeconomic variables. January seasonality is observed in the risk premia from 1932 to 1990. Examination of the 1932-57 period indicates nonstationary seasonals in the risk premia. The results cannot be...