Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/26705
Title: Calendar cycles, infrequent decisions, and the cross section of stock returns
Authors: Jagannathan, R
Marakani, S
Takehara, H
Wang, Y
Keywords: Calendar cycles
CCAPM
Cross section of stock returns
Deterministic cycles
Infrequent decisions
Japanese stock market
UK stock market
Issue Date: 2012
Publisher: Informs
Source: Management science, 2012, v. 58, no. 3, p. 507-522 How to cite?
Journal: Management Science 
Abstract: We show that when investors review their consumption and investment plans infrequently at different points in time with interim information flows, the standard consumption-based capital asset pricing model (CCAPM) will continue to hold only at those points in time when all investors review their plans. Stylized facts suggest that the end of the tax year is a candidate for one such points in time. Therefore, we should expect more support for the CCAPM during the period surrounding the end of the tax year, i.e., the fourth and first quarters in Japan where the tax year ends in December, and the first and second quarters in the United Kingdom where the tax year ends in April. Our empirical findings are consistent with these expectations.
URI: http://hdl.handle.net/10397/26705
DOI: 10.1287/mnsc.1110.1427
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