| This dissertation presents an empirical investigation where the purpose is to show that risk can be positively priced in Non-January months. The nonparametric method of Hansen and Jagannathan (1991) and multivariate mean spread tests are employed in the analysis. The results of the simulation study show that previous tests of Tinic and West (1984), Chang and Pinegar (1990), and other similar studies have low power to reject the hypothesis of risk neutral pricing. The empirical analysis shows that, in fact, risk can be priced in Non-January months, if the full sample (1926:1991) data is used and/or conditioning on lagged Value-Weighted market returns is employed. |
