Seasonal Fluctuations in Industrial Production and Stock Market Seasonals
发现工业生产指数增长率在2月和8月达到峰值，比股票市场峰值滞后一个月；小公司股票收益与工业生产增长率存在领先滞后关系，表明季节性实际增长部分解释了小公司股票的1月效应。
February and August peaks in the growth rates of the seasonally unadjusted Industrial Production Index follow the stock market peaks documented by Rozeff and Kinney (1976) by one month. Coefficients on one-month lead growth rates in industrial production for small firms are positive and significant in time-series regressions even in the presence of the market factor. Moreover, whereas returns on large firms' stocks unidirectionally Gran? ger cause (i.e., predict) future growth rates in industrial production at least six months in advance, returns on small firms' stocks reflect one-month lead as well as past growth rates in industrial production. For these reasons, we argue that seasonal real growth provides a partial explanation for the January stock seasonal among small firms.