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

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Citation 33

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 3,887 (2,523)

Citation 109

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 2,096 (7,155)

Citation 45

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 1,676 (10,401)

Citation 3

Abstract:

5.

Estimation Risk, Market Efficiency, and the Predictability of Returns

Downloads 1,446 ( 13,124)

Citation 2

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 1,367 (14,082)

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 79 (326,233)

Citation 1

Abstract:

6.

A Skeptical Appraisal of Asset Pricing Tests

Downloads 1,299 ( 15,564)

Citation 285

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 1,241 (16,317)

Citation 7

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 58 (386,508)

Citation 42

Abstract:

7.

The Conditional CAPM Does Not Explain Asset-Pricing Anomalies

Downloads 1,260 ( 16,263)

Citation 103

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 969 (23,665)

Citation 112

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 291 (109,459)

Citation 4

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 1,236 (16,747)

Citation 24

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 665 (40,616)

Citation 6

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 508 (57,559)

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 406 (75,662)

Citation 8

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 398 (77,388)

Citation 2

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 314 (101,353)

Citation 4

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 (418,463)

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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