116 Journal of Financial and Quantitative Analysis References Chang, E,, and M. Pinegar. "A Fune I Study of the Seasonal Risk-Return Relationship: A Note." Journal of finance, 46(1988), 1035-1039 Chen, N.;R. Roll; and S. Ross. "Economic Forces and the Stock Market. "Journal of Business, 59 (1986),383-404 Fama, E. " Efficient Capital Markets: Il. "Journal of Finance, 46(1991),1575-1617 Fama, E. an (1992),427-465 Fama, E, and J. MacBeth. "Risk, Return, and Equilibrium: Empirical Tests Journal of political omy8l(1973),607-63 Lakonishok, J, and A. Shapiro. ""Stock Retums, Beta, Variance and Size: An Empirical Analysis Financial Analysts Journal, 40(1984),- isk, Total Risk and Size as determinants of Stock market Re- Journal of Banking and Finance, 10(1986), 115-132. Reinganum, M. "A New Empirical Perspective on the CAPM. "Journal of Financial and Quantitative Analysis,16(1981),439462. Tests for Tax-Loss Selling Effects. Journal of Financial Economics, 12(1983),89-104 oll,R, and S. Ross. " On the Cross-Sectional Relation between Expected Returns and Betas. Journal Rozeff, M, and w. Kinney. "Capital Market Seasonality: The Case of Stock Returns "Journal of Financial Economics, 4(1976), 379-40 Schwert, G "Size and Stock Returns, and other Empirical Regularities."Journal of Financial Eco- norIcs,12(1983),3-12. Tinic, S, and R. West. "Risk and Return: January vS the Rest of the Year. "Journal of Financial Economics,13(1984),561-574 Wiggins, J. "Betas in Up and Down Markets. Financial Review 27(1992), 107-124