This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

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

by Reinganum, Marc R.

For a complete description of this item, click here.
Cited by (explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.):
  1. Edward J. Kane & Haluk Unal & Asli Demirguc-Kunt, 1991. "Capital Positions of Japanese Banks," NBER Working Papers 3401, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  2. Mark Grinblatt, 1989. "A Comparison of Measures of Abnormal Performance on a Sample of Monthly Mutual Fund Returns, formerly titled; The Evaluation of Mutual Fund Performance: An Analysis of Monthly Returns," University of California at Los Angeles, Anderson Graduate School of Management 1189, Anderson Graduate School of Management, UCLA. [Downloadable!]
  3. Armando Gomes & Gary Gorton & Leonardo Madureira, 2004. "SEC Regulation Fair Disclosure, Information, and the Cost of Capital," NBER Working Papers 10567, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  4. Maroney, Neal C. & Protopapadakis, Aris A., 1999. "The book-to-market and size effects in a general asset pricing model: evidence from seven national markets," Working Papers 1999-15, University of New Orleans, Department of Economics and Finance. [Downloadable!]
  5. Gabriel Hawawini & Donald B. Keim, . "The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings," Rodney L. White Center for Financial Research Working Papers 08-99, Wharton School Rodney L. White Center for Financial Research. [Downloadable!]
    Other versions:
  6. Robert Rutledge & Zhaohui Zhang & Khondkar Karim, 2008. "Is There a Size Effect in the Pricing of Stocks in the Chinese Stock Markets?: The Case of Bull Versus Bear Markets," Asia-Pacific Financial Markets, Springer, vol. 15(2), pages 117-133, June. [Downloadable!] (restricted)
  7. Robert J. Shiller & John Pound, 1986. "Survey Evidence on Diffusion of Interest Among Institutional Investors," Cowles Foundation Discussion Papers 794, Cowles Foundation, Yale University. [Downloadable!]
  8. Borgsen, Sina & Glaser, Markus, 2005. "Diversifikationseffekte durch Small und Mid Caps?," Sonderforschungsbereich 504 Publications 05-10, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim. [Downloadable!]
  9. G. William Schwert, 2002. "Anomalies and Market Efficiency," NBER Working Papers 9277, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  10. Ravi Jagannathan & Zhenyu Wang, 1996. "The conditional CAPM and the cross-section of expected returns," Staff Report 208, Federal Reserve Bank of Minneapolis. [Downloadable!]
    Other versions:
  11. Nai-fu Chen & Thomas Copeland & David Mayers, 1987. "A Comparison of Single and Multifactor Portfolio Performance Methodologies (formerly WP #13-83)," University of California at Los Angeles, Anderson Graduate School of Management 1196, Anderson Graduate School of Management, UCLA. [Downloadable!]
  12. Mark Griffiths & Drew Winters, 1997. "On a Preferred Habitat for Liquidity at the Turn-of-the-Year: Evidence from the Term-Repo Market," Journal of Financial Services Research, Springer, vol. 12(1), pages 21-38, August. [Downloadable!] (restricted)
  13. Pandey I M, 2001. "The Expected Stock Returns of Malaysian Firms: A Panel Data Analysis," IIMA Working Papers 2001-09-01, Indian Institute of Management Ahmedabad, Research and Publication Department. [Downloadable!]
  14. Massimo Guidolin & Giovanna Nicodano, 2007. "Small caps in international equity portfolios: the effects of variance risk," Working Papers 2005-075, Federal Reserve Bank of St. Louis. [Downloadable!]
    Other versions:
  15. Joel L. Horowitz & Tim Loughran & N. E. Savin, 1996. "A Spline Analysis of the Small Firm Effect: Does Size Really Matter?," Econometrics 9608001, EconWPA. [Downloadable!]
  16. Dennis R. Capozza & Sohan Lee, 1995. "Property Type, Size, and REIT Value," Journal of Real Estate Research, American Real Estate Society, vol. 10(4), pages 363-380. [Downloadable!]
  17. John Pound & Robert J. Shiller, 1986. "Speculative Behavior of Institutional Investors," NBER Working Papers 1964, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  18. George M. Constantinides, 1984. "Optimal Stock Trading with Personal Taxes: Implications for Prices and the Abnormal January Returns," NBER Working Papers 1176, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  19. Jorge H. del Castillo-Spíndola, 2006. "A Non-Parametric Test of the Conditional CAPM for the Mexican Economy," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 21(2), pages 275-297. [Downloadable!]
  20. Su-Jane Chen & Chengho Hsieh & Timothy W. Vines & Shur-Nuaan Chiou, 1998. "Macroeconomic Variables, Firm-Specific Variables and Returns to REITs," Journal of Real Estate Research, American Real Estate Society, vol. 16(3), pages 269-278. [Downloadable!]
  21. Bjorn Wahlroos & Tom Berglund, 1984. "Anomalies and Equilibrium Returns in a Small Stock Market," Discussion Papers 589, Northwestern University, Center for Mathematical Studies in Economics and Management Science. [Downloadable!]
  22. Michael Brennan & Yihong Xia, 1999. "Assessing Assets Pricing Anomalies," University of California at Los Angeles, Anderson Graduate School of Management 1098, Anderson Graduate School of Management, UCLA. [Downloadable!]
  23. Carolin Häussler, 2004. "Does Partnering Pay Off? - Stock Market Reactions to Inter-Firm Collaboration Announcements in Germany," Discussion Papers 14, SFB/TR 15 Governance and the Efficiency of Economic Systems, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich. [Downloadable!]
  24. Bjorn Wahlroos & Tom Berglund, 1983. "The January Effect on a Small Stock Market: Lumpy Information and Tax-Loss Selling," Discussion Papers 579, Northwestern University, Center for Mathematical Studies in Economics and Management Science. [Downloadable!]
  25. Fernandez, Pablo, 2004. "Are calculated betas good for anything?," IESE Research Papers D/555, IESE Business School. [Downloadable!]
  26. Attiya Y. Javid & Eatzaz Ahmad, 2008. "The Conditional Capital Asset Pricing Model: Evidence from Karachi Stock Exchange," PIDE-Working Papers 2008:48, Pakistan Institute of Development Economics. [Downloadable!]
  27. Robert Fernholz & Ioannis Karatzas, 2006. "The implied liquidity premium for equities," Annals of Finance, Springer, vol. 2(1), pages 87-99, January. [Downloadable!] (restricted)
Did you know? There is a FAQ (frequently asked questions).

This page was last updated on 2009-12-30.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.