Stock Market Seasonals and Prespecified Multifactor Pricing Relations
研究发现，在Chen-Roll-Ross多因子模型中，尽管因子贝塔和因子价格存在非平稳性，但投资者在非一月月份因承担预期通胀和工业生产变化风险而获得补偿，不过这些因子对股价影响相反。这或许解释了近期研究未发现非一月风险溢价的现象。
Despite nonstationarities in the factor betas and factor prices of the Chen, Roll, Ross (1986) multifactor model, investors are rewarded for bearing risks associated with the change in expected inflation and industrial production in non-January months; however, variations in these factors have opposite influences on stock prices. These findings may partially explain why several recent studies fail to detect a significant non-January risk premium in the stock market, but this evidence is only suggestive since theoretical and statistical difficulties prevent precise interpretations of specific pricing relations in the Chen, Roll, Ross model.