Seasonalities in NYSE Bid-Ask Spreads and Stock Returns in January
研究了1982-1987年间540只纽交所股票月末买卖价差的季节性模式，发现价差在12月底到1月底下降，但未发现价差变化与一月股票收益显著相关。
Using end-of-month bid-ask spreads for 540 NYSE stocks over the period 1982–1987, we document a seasonal pattern in which both relative and absolute spreads decline from the end of December to the end of the following January. Cross-sectional regressions do not, however, provide evidence of a significant correlation between changes in spreads at the turn of the year and January stock returns. Either there is no cause and effect relation between the coincidental seasonals in bid-ask spreads and January returns for NYSE stocks or the data are too “noisy” to reveal any relation.