Winter blues and time variation in the price of risk

Journal of Empirical Finance

Volumn 12, Issue 2, 2005, Pages 291-316

  Garrett, Ian ^a   Kamstra, Mark J ^b   Kramer, Lisa A ^c  

^a UNIVERSITY OF MANCHESTER   (United Kingdom)

^b YORK UNIVERSITY   (Canada)

^c UNIVERSITY OF TORONTO   (Canada)

Author keywords

Behavioral finance; Conditional CAPM; Seasonal affective disorder; Stock market seasonality; Time varying risk aversion

Indexed keywords

EID: 14644395602     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jempfin.2004.01.002     Document Type: Article

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