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

17

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CITATIONS
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298

Scholarly Papers (17)

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 6,337 (974)
Citation 68

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2.

Predicting Returns with Financial Ratios

MIT Sloan Working Paper No. 4374-02
Number of pages: 35 Posted: 02 Oct 2002
Jonathan Lewellen
Dartmouth College - Tuck School of Business
Downloads 3,861 (2,314)
Citation 248

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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 1,953 (7,395)
Citation 75

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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 1,670 (9,573)
Citation 2

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Estimation Risk, Market Efficiency, and the Predictability of Returns

Simon School of Business Working Paper No. FR 00-16
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 1,366 (12,992)

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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 Oct 2010
Jonathan Lewellen and Jay A. Shanken
Dartmouth College - Tuck School of Business and Emory University - Goizueta Business School
Downloads 77 (311,189)
Citation 1

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6.
Downloads 1,280 ( 14,644)
Citation 92

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 1,232 (15,258)
Citation 1

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: 03 Sep 2010
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 48 (396,955)
Citation 272

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The Conditional CAPM Does Not Explain Asset-Pricing Anomalies

MIT Sloan Working Paper No. 4427-03
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 964 (22,080)
Citation 207

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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

EFA 2004 Maastricht Meetings Paper No. 1763
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 288 (103,449)
Citation 2

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8.

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 1,196 (16,298)
Citation 22

Abstract:

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Investment, stock returns, profits, interest rates, uncertainty

9.

Temporary Movements in Stock Prices

Texas Finance Festival
Number of pages: 32 Posted: 13 Apr 2002
Jonathan Lewellen
Dartmouth College - Tuck School of Business
Downloads 662 (37,948)
Citation 7

Abstract:

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10.

Taxes and Financing Decisions

AFA 2005 Philadelphia Meetings Paper
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 504 (54,057)
Citation 7

Abstract:

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11.

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 403 (71,187)
Citation 13

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Investment, cash flow, q-theory

12.

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 393 (73,270)
Citation 1

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Earnings persistence, accruals, investment, stock returns, anomalies

13.

Institutional Investors and Corporate Governance: The Incentive to Be Engaged

Tuck School of Business Working Paper No. 3265761
Number of pages: 49 Posted: 04 Nov 2018
Jonathan Lewellen and Katharina Lewellen
Dartmouth College - Tuck School of Business and Dartmouth College - Tuck School of Business
Downloads 185 (161,741)
Citation 1

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Institutional Investors, Governance, Passive Investors

14.

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 47 (393,390)
Citation 1

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15.

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

16.

Learning, Asset-Pricing Tests, and Market Efficiency

Journal of Finance, Vol. 57, pp. 1113-1145, 2002
Posted: 03 Jan 2004
Jonathan Lewellen and Jay A. Shanken
Dartmouth College - Tuck School of Business and Emory University - Goizueta Business School

Abstract:

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17.

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

Journal of Accounting and Economics, Vol. 34, No. 1-3, pp. 237-247, January 2003
Posted: 05 Feb 2003
Jonathan Lewellen
Dartmouth College - Tuck School of Business

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