This service is more advanced with JavaScript available, learn more at http: Review of Quantitative Finance and Accounting. This article finds strong seasonal behavior in the innovations for three Canadian macroeconomic variables industrial production, unexpected inflation and GDP.

Market Spot Exchange Rate. Money Management | fesajina.web.fc2.com

An APT model is estimated as a restricted nonlinear multivariate regression system using seven macroeconomic variables, various residual market factor RMF proxies, and the returns on fifty size related portfolios of equities that traded on the Toronto Stock Exchange TSE. As in Chen, Roll and Ross , five macrofactors lagged industrial production, lagged GDP, term structure, unexpected inflation, and risk premium have significantly priced risk premia.

The risk premia are insignificant for RMF based on two value weighted indices, and marginally significant 0. The significance of the RMF risk premium appears not to be robust to whether portfolios or individual securities are used in the estimations.

The significance of the estimated risk premia for the macrofactors also appear not to be robust to the number of portfolios equations used in the estimations.

Unlike the risk premia estimates for the RMF, those for the other macrofactors are generally unaffected by the inclusion of a January dummy. This implies that the January seasonal remains a market phenomenon that requires further study.

Economic forces and seasonality in secirity returns | SpringerLink

Part of Springer Nature. Not logged in Not affiliated Economic forces and seasonality in secirity returns. Cite this article as: Rev Quant Finan Acc 2: John Wiley and Sons, The turn of year effect and return premium of small firms.

Cambridge University Press, Faculty of Commerce Concordia University Montreal Canada 2. School of Commerce and Administration Laurentian University Sudbury Canada.

Money Market Hedge. Money Management | fesajina.web.fc2.com

Publisher Name Kluwer Academic Publishers Print ISSN X Online ISSN About this journal Reprints and Permissions. Source Sans Pro, Helvetica, Arial, sans-serif; font-size: Unlimited access to the full article Instant download Include local sales tax if applicable. Get Access to Review of Quantitative Finance and Accounting.

Learn about institutional subscriptions. RIS Papers Reference Manager RefWorks Zotero.

BIB BibTeX JabRef Mendeley. Share article Email Facebook Twitter LinkedIn. Cookies We use cookies to improve your experience with our site. Over 10 million scientific documents at your fingertips Switch Edition Academic Edition Corporate Edition.