Journal of Financial Economics Vol. 13 No. 4 1984
Risk and return
Abstract
This paper examines the seasonality in the basic relationship between expected return and risk during 1935–82. The results reveal that the positive relationship between return and risk is unique to January. The risk premiums during the remaining eleven months are not significantly different from zero.
- DOI
- 10.1016/0304-405x(84)90016-3
- Volume
- 13
- Issue
- 4
- Pages
- 561-574
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref