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

  • Tulane University - A.B. Freeman School of Business

    • Email
    • Tel: 504-865-5665
    • Fax: 504-865-6751
SCHOLARLY PAPERS

12

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8,341

SSRN CITATIONS
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Top 4,337

in Total Papers Citations

332

CROSSREF CITATIONS

27

Scholarly Papers (12)

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1.

Corporate Yield Spreads and Bond Liquidity

Number of pages: 42 Posted: 07 Feb 2004
David A. Lesmond, Long Chen, Long Chen and Jason Zhanshun Wei
Tulane University - A.B. Freeman School of Business, Cheung Kong Graduate School of BusinessLuohan Academy and University of Toronto - Rotman School of Management
Downloads 2,545 (8,827)
Citation 191

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2.

The Illusory Nature of Momentum Profits

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 2,173 (11,413)
Citation 50

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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 Waikato - Management School and University of Maryland - Robert H. Smith School of Business
Downloads 1,106 (31,911)
Citation 17

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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 737 (55,866)
Citation 78

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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
University of North Carolina (UNC) at Charlotte - Finance, Wuhan University - School of Economics and Management and Tulane University - A.B. Freeman School of Business
Downloads 486 (94,699)
Citation 39

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

6.

Idiosyncratic Volatility and Liquidity Costs

Downloads 348 (139,141)

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 University of North Carolina (UNC) at Charlotte - Finance
Downloads 245 (199,299)

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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 103 (413,832)

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7.

Closed-End Funds

Number of pages: 60 Posted: 25 Nov 2015 Last Revised: 14 Dec 2020
David A. Lesmond and George Nishiotis
Tulane University - A.B. Freeman School of Business and University of Cyprus-Faculty of Economics and Management-Department of Accounting and Finance
Downloads 243 (201,601)
Citation 1

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

8.

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

Downloads 234 (209,141)

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

Paris December 2017 Finance Meeting EUROFIDAI - AFFI
Number of pages: 61 Posted: 06 Jun 2017 Last Revised: 03 Jul 2017
David A. Lesmond, Xuhui (Nick) Pan and Yihua Zhao
Tulane University - A.B. Freeman School of Business, University of Oklahoma and Tulane University - A.B. Freeman School of Business
Downloads 128 (352,772)

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

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

Number of pages: 55 Posted: 27 Jun 2016 Last Revised: 13 May 2018
David A. Lesmond, Xuhui (Nick) Pan, Roberto Stein and Yihua Zhao
Tulane University - A.B. Freeman School of Business, University of Oklahoma, University of Nebraska at Lincoln - Department of Finance and Tulane University - A.B. Freeman School of Business
Downloads 106 (405,415)

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

9.

Liquidity Biases and the Pricing of Cross-Sectional Idiosyncratic Volatility

Number of pages: 50 Posted: 18 Mar 2010
Yufeng Han and David A. Lesmond
University of North Carolina (UNC) at Charlotte - Finance and Tulane University - A.B. Freeman School of Business
Downloads 220 (221,881)
Citation 2

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

10.

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 138 (333,907)
Citation 2

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

11.

Strategic Timing in Closed-End Fund Portfolio Holdings Disclosure

Number of pages: 51 Posted: 17 Jun 2020
Theodosis L. Kallenos, David A. Lesmond and George Nishiotis
University of Cyprus-School of Economics and Management- Department of Accounting and Finance, Tulane University - A.B. Freeman School of Business and University of Cyprus-Faculty of Economics and Management-Department of Accounting and Finance
Downloads 111 (390,074)
Citation 1

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Closed-End Funds, Portfolio Holdings Disclosure, Arbitrage, Valuation Effects, Front Running, Copycatting

12.

A New Estimate of Transaction Costs

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

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Other Papers (1)

Total Downloads: 114
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1.

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

Number of pages: 39 Posted: 08 Oct 2013 Last Revised: 20 Mar 2020
Suman Banerjee, Lili Dai, David A. Lesmond and Thomas H. Noe
Stevens Institute of Technology, University of New South Wales (UNSW), Tulane University - A.B. Freeman School of Business and University of Oxford - Said Business School
Downloads 114 (302,852)

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Microstructure, Liquidity Cost, Return Kurtosis