RISK-RETURN SEASONALITY AND MICROECONOMIC VARIABLES

In this paper I examine seasonality in the pricing of the Chen, Roll, and Ross (1986) macroeconomic variables. January seasonality is observ ed in the risk premia from 1932 to 1990. Examination of the 1932-57 pe riod indicates nonstationary seasonals in the risk premia. The results cannot be attributed to the previously documented firm size effect. R esidual risk is priced, and a strong January seasonality is observed i n the residual risk premia. The market portfolio is not priced in the presence of the other variables. Trading volume is not priced in the i ndividual months, but appears significant when all months are consider ed together.