Previous research has documented robust links between seasonal variation in length of day, seasonal depression (known as seasonal affective disorder, or SAD), risk aversion, and stock market returns. The influence of SAD on market returns, known as the SAD effect, is large. The authors study the...

We clear up an ambiguity in Gibbons, Ross and Shanken (1989, GRS hereafter) by providing the correct formula of the GRS test statistic for the multiple factor case and proving its exact F distribution, issues unaddressed in GRS (1989). We theoretically and empirically illustrate the consequences...