David A. Lesmond

Tulane University - A.B. Freeman School of Business

Assistant Professor

7 McAlister Drive

511 Goldring-Woldenberg Hall

New Orleans, LA 70118

United States

SCHOLARLY PAPERS

13

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CITATIONS
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Top 1,860

in Total Papers Citations

301

Scholarly Papers (13)

1.

Corporate Yield Spreads and Bond Liquidity

Number of pages: 42 Posted: 07 Feb 2004
David A. Lesmond, Long Chen and Jason Zhanshun Wei
Tulane University - A.B. Freeman School of Business, Cheung Kong Graduate School of Business and University of Toronto - Rotman School of Management
Downloads 2,127 (4,429)
Citation 149

Abstract:

2.

The Illusory Nature of Momentum Profits

Journal of Financial Economics, Vol. 71, No. 2, pp. 349-380
Number of pages: 48 Posted: 29 May 2003
David A. Lesmond, Michael J. Schill and Chunsheng Zhou
Tulane University - A.B. Freeman School of Business, University of Virginia ­ Darden School of Business and Peking University - Guanghua School of Management - Finance
Downloads 1,650 (6,492)
Citation 120

Abstract:

Trading Strategies, Momentum, Transaction Costs

3.

Capital Structure and Equity Liquidity

Robert H. Smith School Research Paper No. RHS 06-067
Number of pages: 52 Posted: 19 Mar 2008 Last Revised: 03 Feb 2009
David A. Lesmond, Philip F. O'Connor and Lemma W. Senbet
Tulane University - A.B. Freeman School of Business, University of Auckland - Department of Accounting and Finance and University of Maryland - Robert H. Smith School of Business
Downloads 874 (20,550)
Citation 7

Abstract:

Liquidity Costs, Capital Structure

4.

Liquidity and Credit Risk in Emerging Debt Markets

Number of pages: 45 Posted: 25 Mar 2008
John Hund and David A. Lesmond
University of Georgia and Tulane University - A.B. Freeman School of Business
Downloads 530 (37,149)
Citation 7

Abstract:

liquidity, emerging markets, credit risk, sovereign debt

5.

Liquidity Biases and the Pricing of Cross-Sectional Idiosyncratic Volatility Around the World

AFA 2012 Chicago Meetings Paper
Number of pages: 46 Posted: 19 Mar 2011 Last Revised: 29 Aug 2014
Yufeng Han, Ting Hu and David A. Lesmond
UNCC, Wuhan University - School of Economics and Management and Tulane University - A.B. Freeman School of Business
Downloads 309 (62,509)
Citation 8

Abstract:

Cross-Sectional Return, International Markets, Idiosyncratic Volatility, Bid-Ask Spread

6.
Downloads 291 ( 84,036)
Citation 2

Idiosyncratic Volatility and Liquidity Costs

Number of pages: 45 Posted: 22 Mar 2009
David A. Lesmond and Yufeng Han
Tulane University - A.B. Freeman School of Business and UNCC
Downloads 205 (120,607)
Citation 2

Abstract:

Cross-Sectional Return, Idiosyncratic Volatility, Asset Pricing Model, Zero Returns, Bid-Ask Spread, Liquidity Costs

Idiosyncratic Volatility and Liquidity Costs

Number of pages: 46 Posted: 19 Feb 2009
David A. Lesmond
Tulane University - A.B. Freeman School of Business
Downloads 86 (243,009)
Citation 2

Abstract:

7.

Liquidity Biases and the Pricing of Cross-Sectional Idiosyncratic Volatility

Number of pages: 50 Posted: 18 Mar 2010
Yufeng Han and David A. Lesmond
UNCC and Tulane University - A.B. Freeman School of Business
Downloads 140 (161,099)
Citation 9

Abstract:

Cross-Sectional Return, Idiosyncratic Volatility, Zero Returns, Bid-Ask Spread

8.

Is Aggregate Idiosyncratic Risk Priced? Follow the Bid-Ask Bounce

Finance Down Under 2015 Building on the Best from the Cellars of Finance Paper
Number of pages: 61 Posted: 17 Aug 2014 Last Revised: 30 Oct 2015
David A. Lesmond and Yihua Zhao
Tulane University - A.B. Freeman School of Business and Tulane University - A.B. Freeman School of Business
Downloads 86 (241,026)
Citation 1

Abstract:

Asset Pricing, Market Returns, Aggregate Firm-Level Volatility, Risk, Bid-Ask Spread, Percentage of Zero Returns

9.

Slumping Shoulders and Fat Tail: Market Microstructure and Kurtosis of Stock Return

Number of pages: 39 Posted: 08 Oct 2013 Last Revised: 21 Mar 2014
Suman Banerjee, Lili Dai, David A. Lesmond and Thomas H. Noe
Stevens Institute of Technology, University of New South Wales (UNSW) - School of Accounting, Tulane University - A.B. Freeman School of Business and University of Oxford - Said Business School
Downloads 61 (268,090)

Abstract:

Microstructure, Liquidity Cost, Return Kurtosis

10.

What Drives the Trend and Behavior in Aggregate (Idiosyncratic) Variance? Follow the Bid-Ask Bounce

Number of pages: 63 Posted: 27 Jun 2016 Last Revised: 23 May 2017
David A. Lesmond, Xuhui (Nick) Pan and Yihua Zhao
Tulane University - A.B. Freeman School of Business, Tulane University and Tulane University - A.B. Freeman School of Business
Downloads 0 (373,992)

Abstract:

Aggregate Firm-Level Variance, Trend, Bid-Ask Spread, Decimalization, Odd-Eighth Quotes

11.

Closed-End Funds

Number of pages: 61 Posted: 25 Nov 2015 Last Revised: 28 Aug 2016
David A. Lesmond and George Nishiotis
Tulane University - A.B. Freeman School of Business and University of Cyprus - Department of Accounting and Finance
Downloads 0 (192,618)

Abstract:

Closed-end funds, Bid-Ask Spread, Investor Sentiment

12.

Imitation is the Sincerest Form of Flattery: Fund Manager Stock Picking Skill and the Skill of Copycat Managers to Pick Good Stock Pickers

Posted: 02 Nov 2013 Last Revised: 07 Apr 2015
David A. Lesmond and Roberto Andres Stein
Tulane University - A.B. Freeman School of Business and University of Nebraska at Lincoln - Department of Finance

Abstract:

copycat funds, holdings disclosure, investment strategies, mutual fund performance, fund manager skill

13.

A New Estimate of Transaction Costs

Review of Financial Studies, Vol. 12, Iss. 5
Posted: 16 Nov 1999
David A. Lesmond, Joseph P. Ogden and Charles Trzcinka
Tulane University - A.B. Freeman School of Business, State University of New York (SUNY) at Buffalo - School of Management and Indiana University - Kelley School of Business - Department of Finance

Abstract: