Stock Return Anomalies and the Tests of the APT
发现套利定价理论（APT）的实证检验对股票回报数据中的一月效应非常敏感，风险溢价估计存在强季节性模式；剔除一月数据后，预期回报与APT风险度量之间不再有显著关系。
ABSTRACT This paper shows that the empirical tests of the Arbitrage Pricing Theory (APT) model are very sensitive to the anomalies observed in January in the stock returns data. There is a strong seasonal pattern in the estimates of the risk premia from the APT model. The most important implication of the findings in this paper is that the APT model can explain the risk‐return relation mostly for January. Once the January returns are excluded from the data, there is no significant relation between the expected stock returns and the risk measures predicted by the APT model.