Author Page for Jonathan Lewellen

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

Abstract:

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

Abstract:

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

Abstract:

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

Abstract:

5.

Estimation Risk, Market Efficiency, and the Predictability of Returns

Downloads 1,443 ( 12,128)

Citation 1

2

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)

Abstract:

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

Abstract:

6.

A Skeptical Appraisal of Asset Pricing Tests

Downloads 1,280 ( 14,644)

Citation 92

2

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:

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

Abstract:

7.

The Conditional CAPM Does Not Explain Asset-Pricing Anomalies

Downloads 1,252 ( 15,168)

Citation 183

2

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

Abstract:

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

Abstract:

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:

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:

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:

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

Abstract:

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

Abstract:

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

Abstract:

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

Abstract:

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

Abstract:

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:

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

Jonathan Lewellen

Dartmouth College - Tuck School of Business

National Bureau of Economic Research (NBER)

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Scholarly Papers (17)

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