Jonathan Lewellen

Dartmouth College - Tuck School of Business

Hanover, NH 03755

United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

18

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Rank 2,046

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Top 2,046

in Total Papers Downloads

25,878

SSRN CITATIONS
Rank 819

SSRN RANKINGS

Top 819

in Total Papers Citations

1,095

CROSSREF CITATIONS

548

Scholarly Papers (18)

1.

Stock Returns, Aggregate Earnings Surprises, and Behavioral Finance

MIT Sloan Working Paper No. 4284-03
Number of pages: 42 Posted: 10 Jan 2005 Last Revised: 24 Feb 2009
Jonathan Lewellen, S.P. Kothari and Jerold B. Warner
Dartmouth College - Tuck School of Business, Massachusetts Institute of Technology (MIT) - Sloan School of Management and University of Rochester – Simon Business School
Downloads 6,585 (1,904)
Citation 60

Abstract:

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2.

Predicting Returns with Financial Ratios

Number of pages: 35 Posted: 02 Oct 2002
Jonathan Lewellen
Dartmouth College - Tuck School of Business
Downloads 4,150 (4,180)
Citation 146

Abstract:

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Predictive Regressions, Expected Returns, Small-sample Bias

3.

The Cross Section of Expected Stock Returns

Forthcoming in Critical Finance Review, Tuck School of Business Working Paper No. 2511246
Number of pages: 41 Posted: 18 Oct 2014
Jonathan Lewellen
Dartmouth College - Tuck School of Business
Downloads 4,039 (4,359)
Citation 134

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Expected stock returns, predictability, out-of-sample

4.

Market Efficiency, Rational Expectations, and Estimation Risk

Number of pages: 47 Posted: 16 Aug 1998
Jonathan Lewellen and Jay A. Shanken
Dartmouth College - Tuck School of Business and Emory University - Goizueta Business School
Downloads 1,723 (17,200)
Citation 3

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5.

The Behavior of Aggregate Corporate Investment

Simon Business School Working Paper No. FR 14-18, Tuck School of Business Working Paper No. 2511268, MIT Sloan Research Paper No. 5112-14
Number of pages: 43 Posted: 19 Oct 2014 Last Revised: 07 Jan 2015
S.P. Kothari, Jonathan Lewellen and Jerold B. Warner
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Dartmouth College - Tuck School of Business and University of Rochester – Simon Business School
Downloads 1,558 (20,021)
Citation 26

Abstract:

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Investment, stock returns, profits, interest rates, uncertainty

Estimation Risk, Market Efficiency, and the Predictability of Returns

Number of pages: 49 Posted: 19 Dec 2000
Jay A. Shanken and Jonathan Lewellen
Emory University - Goizueta Business School and Dartmouth College - Tuck School of Business
Downloads 1,399 (23,165)

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Estimation Risk, Market Efficiency, and the Predictability of Returns

NBER Working Paper No. w7699
Number of pages: 53 Posted: 17 May 2000 Last Revised: 17 Jul 2022
Jonathan Lewellen and Jay A. Shanken
Dartmouth College - Tuck School of Business and Emory University - Goizueta Business School
Downloads 106 (421,232)
Citation 1

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7.
Downloads 1,410 (23,300)
Citation 427

A Skeptical Appraisal of Asset Pricing Tests

AFA 2007 Chicago Meetings Paper, EFA 2006 Zurich Meetings Paper
Number of pages: 44 Posted: 17 Mar 2006 Last Revised: 24 Feb 2009
Jonathan Lewellen, Stefan Nagel and Jay A. Shanken
Dartmouth College - Tuck School of Business, University of Chicago - Booth School of Business and Emory University - Goizueta Business School
Downloads 1,323 (25,192)
Citation 9

Abstract:

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asset pricing tests, stock returns, cross section

A Skeptical Appraisal of Asset-Pricing Tests

NBER Working Paper No. w12360
Number of pages: 44 Posted: 20 Jul 2006 Last Revised: 02 Jan 2023
Jonathan Lewellen, Stefan Nagel and Jay A. Shanken
Dartmouth College - Tuck School of Business, University of Chicago - Booth School of Business and Emory University - Goizueta Business School
Downloads 87 (481,266)
Citation 67

Abstract:

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The Conditional CAPM Does Not Explain Asset-Pricing Anomalies

Number of pages: 42 Posted: 15 Sep 2003
Jonathan Lewellen and Stefan Nagel
Dartmouth College - Tuck School of Business and University of Chicago - Booth School of Business
Downloads 1,038 (35,820)
Citation 203

Abstract:

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Time-varying betas, conditional CAPM, asset-pricing anomalies, book-to-market, momentum

The Conditional CAPM Does Not Explain Asset-Pricing Anomalies

Number of pages: 42 Posted: 28 Jun 2004
Jonathan Lewellen and Stefan Nagel
Dartmouth College - Tuck School of Business and University of Chicago - Booth School of Business
Downloads 339 (147,668)
Citation 5

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9.

Institutional Investors and Corporate Governance: The Incentive to Be Engaged

Journal of Finance, Forthcoming
Number of pages: 58 Posted: 04 Nov 2018 Last Revised: 10 Mar 2021
Jonathan Lewellen and Katharina Lewellen
Dartmouth College - Tuck School of Business and Dartmouth College - Tuck School of Business
Downloads 1,012 (37,681)
Citation 44

Abstract:

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Institutional Investors, Governance, Passive Investors, Common Ownership

10.

Temporary Movements in Stock Prices

Number of pages: 32 Posted: 13 Apr 2002
Jonathan Lewellen
Dartmouth College - Tuck School of Business
Downloads 699 (62,505)
Citation 6

Abstract:

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11.

Taxes and Financing Decisions

Number of pages: 33 Posted: 12 Jan 2005
Jonathan Lewellen and Katharina Lewellen
Dartmouth College - Tuck School of Business and Dartmouth College - Tuck School of Business
Downloads 574 (80,172)
Citation 7

Abstract:

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12.

Investment and Cash Flow: New Evidence

Tuck School of Business Working Paper No. 2010-77
Number of pages: 40 Posted: 16 Mar 2010 Last Revised: 18 Oct 2014
Jonathan Lewellen and Katharina Lewellen
Dartmouth College - Tuck School of Business and Dartmouth College - Tuck School of Business
Downloads 447 (108,698)
Citation 14

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Investment, cash flow, q-theory

13.

The Predictive Power of Investment and Accruals

Tuck School of Business Working Paper No. 2012-99
Number of pages: 33 Posted: 09 Apr 2012 Last Revised: 29 Sep 2014
Jonathan Lewellen and Robert J. Resutek
Dartmouth College - Tuck School of Business and University of Georgia - J.M. Tull School of Accounting
Downloads 445 (109,285)
Citation 4

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Earnings persistence, accruals, investment, stock returns, anomalies

14.

The Ownership Structure of U.S. Corporations

Number of pages: 62 Posted: 02 Aug 2022
Jonathan Lewellen and Katharina Lewellen
Dartmouth College - Tuck School of Business and Dartmouth College - Tuck School of Business
Downloads 288 (176,668)

Abstract:

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Ownership Structure, Corporate Governance, Institutional Investors

15.

The Conditional CAPM Does Not Explain Asset-Pricing Anamolies

NBER Working Paper No. w9974
Number of pages: 41 Posted: 26 Sep 2003
Jonathan Lewellen and Stefan Nagel
Dartmouth College - Tuck School of Business and University of Chicago - Booth School of Business
Downloads 66 (558,008)

Abstract:

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16.

Why Do Accruals Predict Earnings?

Journal of Accounting & Economics (JAE), Vol. 67, No. 1, 2019
Posted: 11 Jan 2019
Jonathan Lewellen and Robert J. Resutek
Dartmouth College - Tuck School of Business and University of Georgia - J.M. Tull School of Accounting

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Accruals, Earnings Persistence, Measurement Error, Reversals

17.

Learning, Asset-Pricing Tests, and Market Efficiency

Posted: 03 Jan 2004
Jonathan Lewellen and Jay A. Shanken
Dartmouth College - Tuck School of Business and Emory University - Goizueta Business School

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18.

Discussion of 'the Internet Downturn: Finding Valuation Factors in Spring 2000'

Posted: 05 Feb 2003
Jonathan Lewellen
Dartmouth College - Tuck School of Business

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Internet Stock, Valuation, Market Efficiency, Cross-sectional Regression