The Journal of Finance publishes leading research across all the major fields of finance. It is one of the most widely cited journals in academic finance, and in all of economics. Each of the six issues per year reaches over 8,000 academics, finance professionals, libraries, and government and financial institutions around the world. The journal is the official publication of The American Finance Association, the premier academic organization devoted to the study and promotion of knowledge about financial economics.
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A Direct Test of Roll's Conjecture on the Firm Size Effect
Published: 03/01/1982 | DOI: 10.1111/j.1540-6261.1982.tb01093.x
MARC R. REINGANUM
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 attributed to improper estimation of security betas. The evidence shows that while the direction of the bias in beta estimation is consistent with Roll's conjecture, the magnitude of the bias appears to be too small to explain the firm size effect.
DISCUSSION: WHAT THE ANOMALIES MEAN
Published: 07/01/1984 | DOI: 10.1111/j.1540-6261.1984.tb03677.x
MARC R. REINGANUM
Forward and Futures Prices: Evidence from the Foreign Exchange Markets
Published: 12/01/1981 | DOI: 10.1111/j.1540-6261.1981.tb01074.x
BRADFORD CORNELL, MARC R. REINGANUM
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, transaction costs, and the settling up procedure employed in the futures market. This paper examines the forward and futures prices in foreign exchange in an attempt to distinguish between the competing explanations.