This study documents empirical anomalies which suggest that either the simple one-period
capital asset pricing model (CAPM) is misspecified or that capital markets are inefficient. In …

Small firms experience large returns in January and exceptionally large returns during the
first few trading days of January. The empirical tests indicate that the abnormally high returns …

… This procedure is virtually identical to those used in Roll [24] and Reinganum [21]. … [21]
Reinganum, Marc R. "A Direct Test of Roll's Conjecture on the Firm Size Effect." Unpublished …

This paper empirically investigates the seasonal behavior of the liquidity premium in asset
pricing. The evidence suggests a strong seasonal component. In the 1961–1990 period, the …

This research explores the effects of executive succession on the stock prices of firms that
traded on the New York and American stock exchanges during 1978 and 1979. The empirical …

… The data to test Roll's conjecture are the ten market value portfolios analyzed in Reinganum
6. In that paper, the securities selected for analysis were a subset of the stocks contained on …

… The details of this construction can be found in Reinganum (1980a). The basic idea of
the process is simple. Once one determines the factor loadings for k assets, then the factor …

Empirical studies of the Treasury Bill markets have revealed substantial differences between
the futures price and the implied forward price. These differences have been attributed to …

… The measure of potential tax-loss selling we use is similar to the one used by Reinganum
(1983). Each month the PTS measure is calculated by dividing the prior month's closing price …

This research investigates the influence of market microstructure on liquidity premiums.
Premiums of a competitive, multiple-dealership market (NASDAQ) are contrasted with those of a …