The paper examines whether or not the convergence process of European economies towards Economic and Monetary Union has led to increased integration of European stock markets. We estimate a conditional asset pricing model, which allows for a time-varying degree of integration that measures the...

This paper examines the relationship between seasonality, stock returns, and the macroeconomy using a multifactor model of stock returns. Observed seasonal patterns in excess returns are found to be a result of seasonality in excess expected returns. By utilizing a multifactor model of stock...