Calendar Cycles, Infrequent Decisions, and the Cross Section of Stock Returns
研究发现，当投资者在不同时间点非频繁地审查消费和投资计划时，标准消费资本资产定价模型仅在所有投资者同时审查的时点成立，如日本和英国的纳税年度末，实证结果支持这一预期。
We show that when investors review their consumption and investment plans infrequently at different points in time with interim information flows, the standard consumption-based capital asset pricing model (CCAPM) will continue to hold only at those points in time when all investors review their plans. Stylized facts suggest that the end of the tax year is a candidate for one such points in time. Therefore, we should expect more support for the CCAPM during the period surrounding the end of the tax year, i.e., the fourth and first quarters in Japan where the tax year ends in December, and the first and second quarters in the United Kingdom where the tax year ends in April. Our empirical findings are consistent with these expectations. This paper was accepted by Wei Xiong, finance.