This paper reports the results of tests of the major implications of the two-parameter capital asset pricing model. The findings indicate that the relationship between stock returns and systematic risk contains important nonlinearities during 1935-82. These nonlinearities cannot be ascribed to previously documented anomalies related to firm size or January seasonality. Moreover, the test results appear to be sensitive to the choice of the proxy for the market portfolio.

Seha M. Tinic, Richard R. West, Competition and the Pricing of Dealer Service in the Over-the-Counter Stock Market, The Journal of Financial and Quantitative Analysis, Vol. 7, No. 3 (Jun., 1972), pp. 1707-1727

This paper examines the seasonality in the basic relationship between expected return and risk during 1935–82. The results reveal that the positive relationship between return and risk is unique to January. The risk premiums during the remaining eleven months are not significantly different from zero.

Seha M. Tinic, Giovanni Barone-Adesi, Richard R. West, Seasonality in Canadian Stock Prices: A Test of the "Tax-Loss-Selling" Hypothesis, The Journal of Financial and Quantitative Analysis, Vol. 22, No. 1 (Mar., 1987), pp. 51-63