Finance Papers

Document Type

Journal Article

Date of this Version

1986

Publication Source

Journal of Financial Economics

Volume

17

Issue

2

Start Page

357

Last Page

390

DOI

10.1016/0304-405X(86)90070-X

Abstract

Several predetermined variables that reflect levels of bond and stock prices appear to predict returns on common stocks of firms of various sizes, long-term bonds of various default risks, and default-free bonds of various maturities. The returns on small-firm stocks and low-grade bonds are more highly correlated in January than in the rest of the year with previous levels of asset prices, especially prices of small-firm stocks. Seasonality is found in several conditional risk measures, but such seasonality is unlikely to explain, and in some cases is opposite to, the seasonal found in mean returns.

Copyright/Permission Statement

© 1986. This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/.

Comments

At the time of publication, author Robert F. Stambaugh was affiliated with the University of Chicago. Currently, he is a faculty member at the Wharton School at the University of Pennsylvania.

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Date Posted: 27 November 2017

This document has been peer reviewed.