Misspecification of capital asset pricing: Empirical anomalies based on earnings' yields and market values

MR Reinganum - Journal of financial Economics, 1981 - Elsevier
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 …

The anomalous stock market behavior of small firms in January: Empirical tests for tax-loss selling effects

MR Reinganum - Journal of financial economics, 1983 - Elsevier
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 …

The effect of executive succession on stockholder wealth

MR Reinganum - Administrative Science Quarterly, 1985 - JSTOR
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 …

A new empirical perspective on the CAPM

MR Reinganum - Journal of financial and quantitative analysis, 1981 - cambridge.org
The adequacy of the capital asset pricing models (CAPM) of Sharpe [27], Lintner [17], and
Black [4] as empirical representations of capital market equilibrium is now seriously …

The seasonal behavior of the liquidity premium in asset pricing

VR Eleswarapu, MR Reinganum - Journal of Financial Economics, 1993 - Elsevier
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 …

A direct test of Roll's conjecture on the firm size effect

MR Reinganum - The Journal of Finance, 1982 - Wiley Online Library
Empirical research indicates that small firms earn higher average rates of return than large
firms, even after accounting for beta risk. Roll conjectured that the small firm effect might be …

The arbitrage pricing theory: Some empirical results

MR Reinganum - The journal of finance, 1981 - Wiley Online Library
… 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 …

Forward and futures prices: Evidence from the foreign exchange markets

B Cornell, MR Reinganum - The Journal of Finance, 1981 - Wiley Online Library
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 …

Taxes and stock return seasonality: Evidence from the London Stock Exchange

MR Reinganum, AC Shapiro - Journal of Business, 1987 - JSTOR
Prior to the introduction of capital gains taxes, seasonality is not detected in the returns of
firms that traded on the London Stock Exchange. However, after the imposition of a capital …

Market microstructure and asset pricing: An empirical investigation of NYSE and NASDAQ securities

MR Reinganum - Journal of Financial Economics, 1990 - Elsevier
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 …