Seasonality in the Risk-Return Relationship: Some International Evidence.

The authors report evidence of monthly seasonality in the estimate of the CAPM-based equity risk premium on the NYSE and the London, Paris, and Brussels exchanges. In Belgium and France, the risk premium is positive in January and negative the rest of the year. In the United Kingdom, it is positive in April and negative the rest of the year. In the United States, the pattern of risk-premium seasonality coincides with the pattern of stock-return seasonality. Both are positive and significant only in January. This is not the case in the European markets. An interpretation of this phenomenon is suggested. Copyright 1987 by American Finance Association.