RISK, SEASONALITY AND THE ASYMMETRIC BEHAVIOUR OF STOCK RETURNS
发现系统性风险与股票收益的关系在一年中仅在一月和四月显著，且大公司的风险溢价高于小公司，解释了股票收益的季节性谜题。
For some time there has been a puzzle surrounding the seasonal behaviour of stock returns. This paper demonstrates that there is an asymmetric relationship between systematic risk and return across the different months of the year for both large and small firms. In the case of both large and small firms systematic risk appears to be priced in only two months of the year, January and April. During the other months no persistent relationship between systematic risk and return appears to exist. The paper also shows that when systematic risk is priced, the size of the systematic risk premium is higher for large firms than for small firms and varies significantly across the months of the year.