Macroeconomic Seasonality and the January Effect
提出宏观经济季节性可解释一月效应，发现多因子模型能捕捉预期收益的季节性，而资本资产定价模型不能。
Many financial markets researchers have sought an explanation for the role of January in stock returns. Any explanation of this phenomenon that is consistent with rational pricing must specify a source of seasonality in expected returns. The pervasive seasonality in the macroeconomy is an appealing possibility. A multifactor model that links macroeconomic risk to expected return is found to show substantial seasonality in expected returns. This model accounts for the seasonality in average returns, while the capital asset pricing model cannot. Copyright 1994 by American Finance Association.