Joshua Livnat

New York University

Professor, Accounting

44 West 4th Street, Suite 10-76

Stern School of Business

New York, NY 10012-1118

United States

Prudential Financial - Quantitative Management Associates

2 Gateway Center

6th Fl.

Newark, NJ 07102

United States

  • New York University

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    • Tel: 212-998-0022
    • Fax: 212-995-4004

  • Prudential Financial - Quantitative Management Associates

SCHOLARLY PAPERS

41

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15,397

SSRN CITATIONS
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Top 5,580

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63

CROSSREF CITATIONS

129

Scholarly Papers (41)

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1.

Investor Sentiment, Post-Earnings Announcement Drift, and Accruals

AAA 2009 Financial Accounting and Reporting Section (FARS) Paper
Number of pages: 40 Posted: 03 Sep 2008 Last Revised: 24 Jun 2009
Joshua Livnat and Christine Petrovits
New York University and College of William and Mary - Mason School of Business
Downloads 1,717 (9,705)
Citation 24

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investor sentiment, post-earnings announcement drift, accruals, anomalies

2.

Option Prices Leading Equity Prices: Do Option Traders Have an Information Advantage?

Downloads 1,358 ( 14,149)
Citation 6

Option Prices Leading Equity Prices: Do Option Traders Have an Information Advantage?

Columbia Business School Research Paper No. 12-4
Number of pages: 48 Posted: 10 Jan 2011 Last Revised: 13 Jan 2012
Wen Jin, Joshua Livnat and Yuan Zhang
Quantitative Management Associates, New York University and University of Texas at Dallas
Downloads 939 (24,133)
Citation 6

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Option Prices Leading Equity Prices: Do Option Traders Have an Information Advantage?

Journal of Accounting Research, Forthcoming
Number of pages: 48 Posted: 10 Jan 2012
Wen Jin, Joshua Livnat and Yuan Zhang
Quantitative Management Associates, New York University and University of Texas at Dallas
Downloads 419 (70,625)
Citation 1

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Volatility Skew, Volatility Spread, Information Advantage

3.

Post-Earnings-Announcement Drift: The Role of Revenue Surprises and Earnings Persistence

Downloads 1,262 ( 15,847)
Citation 2

Post-Earnings-Announcement Drift: The Role of Revenue Surprises and Earnings Persistence

Number of pages: 39 Posted: 14 Jul 2003
Joshua Livnat
New York University
Downloads 1,068 (19,952)
Citation 2

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revenue forecasts, revenue surprises, post-earnings announcement drift, persistence

Post-Earnings-Announcement Drift: The Role of Revenue Surprises and Earnings Persistence

NYU Working Paper No. 2451/27572
Number of pages: 39 Posted: 08 Oct 2008
Joshua Livnat
New York University
Downloads 194 (161,194)

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4.

Accounting Restatements: Are They Always Bad News for Investors?

Journal of Investing, Forthcoming
Number of pages: 27 Posted: 10 Nov 2005
Jeffrey L. Callen, Joshua Livnat and Dan Segal
University of Toronto - Rotman School of Management, New York University and Interdisciplinary Center (IDC) Herzliyah
Downloads 1,222 (16,612)

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restatements, accounting errors, accounting principles

5.

Optimal Holdings of Active, Passive and Smart Beta Strategies

Number of pages: 29 Posted: 19 Jun 2017 Last Revised: 22 Jan 2018
Edmund Bellord, Joshua Livnat, Dan Porter and Martin Tarlie
Quantitative Management Associates (QMA) LLC, New York University, Quantitative Management Associates, LLC and GMO
Downloads 1,009 (22,142)

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Portfolio Management, Smart Beta, Factor Investing, Passive Index, Enhanced Index, Factor Allocation, Asset Allocation, Modern Portfolio Theory, Mean Variance, Tracking Error, Shortfall, Optimization

6.

Labor Costs and Investments in Human Capital

Downloads 842 ( 28,720)

Labor Costs and Investments in Human Capital

Number of pages: 35 Posted: 09 May 2000
Marta Ballester, Joshua Livnat and Nishi Sinha
Universidad de Malaga, New York University and Analysis Group
Downloads 842 (28,265)

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Labor Costs and Investments in Human Capital

Journal of Accounting, Auditing and Finance, Vol. 17, No. 4, 2002
Posted: 04 Mar 2008
Marta Ballester, Joshua Livnat and Nishi Sinha
Universidad de Malaga, New York University and Analysis Group

Abstract:

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7.

The Incremental Information Content of Tone Change in Management Discussion and Analysis

Downloads 574 ( 31,488)
Citation 13

The Incremental Information Content of Tone Change in Management Discussion and Analysis

Number of pages: 51 Posted: 30 Apr 2008
Ronen Feldman, Suresh Govindaraj, Joshua Livnat and Benjamin Segal
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Rutgers University - Rutgers Business School - Newark and New Brunswick, New York University and Fordham University
Downloads 574 (47,608)
Citation 17

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Tone, SEC filings, MD&A, Earnings surprises, Accruals

8.

Management's Tone Change, Post Earnings Announcement Drift and Accruals

Number of pages: 65 Posted: 20 Oct 2008 Last Revised: 16 Jul 2009
Ronen Feldman, Suresh Govindaraj, Joshua Livnat and Benjamin Segal
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Rutgers University - Rutgers Business School - Newark and New Brunswick, New York University and Fordham University
Downloads 751 (33,607)
Citation 43

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Textual analysis, earnings drift, accruals, earnings surprises, management tone change, MD&A

9.

The High-Volume Return Premium and Post-Earnings Announcement Drift

Number of pages: 43 Posted: 18 Apr 2008
Alina Lerman, Joshua Livnat and Richard R. Mendenhall
University of Connecticut - Department of Accounting, New York University and University of Notre Dame - Department of Finance
Downloads 736 (34,578)
Citation 19

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Market efficiency, Trading volume, High-volume return premium, Post-earnings announcement drift

10.

Differential Persistence of Extremely Negative and Positive Earnings Surprises: Implications for the Post-Earnings-Announcement Drift

Number of pages: 37 Posted: 17 Aug 2003
Joshua Livnat
New York University
Downloads 686 (38,008)
Citation 4

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Post-earnings-announcement-drift, fourth quarter, persistence

11.

Earnings Guidance after Regulation Fd

Downloads 648 ( 41,037)
Citation 1

Earnings Guidance after Regulation Fd

Journal of Investing, Winter 2003
Number of pages: 30 Posted: 26 Aug 2003
Ronen Feldman, Ron Lazer and Joshua Livnat
Bar-Ilan University - Department of Computer Science, New York University (NYU) - Department of Accounting and New York University
Downloads 593 (45,584)

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management forecast, earnings guidance, text mining, regulation FD

Earnings Guidance after Regulation Fd

NYU Working Paper No. 2451/27574
Number of pages: 30 Posted: 08 Oct 2008
Ronen Feldman, Ron Lazer and Joshua Livnat
Bar-Ilan University - Department of Computer Science, New York University (NYU) - Department of Accounting and New York University
Downloads 55 (389,801)

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12.

Are Extended Hours Prices Predictive of Subsequent Stock Returns?

Number of pages: 38 Posted: 15 Jul 2016 Last Revised: 01 Dec 2016
Shai Levi, Joshua Livnat, Li Zhang and Xiao-Jun Zhang
Tel Aviv University, New York University, Rutgers, The State University of New Jersey - Accounting and University of California, Berkeley
Downloads 645 (41,270)

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Extended hours trading, earnings announcements, stock recommendation changes, SEC filings, under-reaction

13.

The Impact of Earnings on the Pricing of Credit Default Swaps

Downloads 593 ( 46,226)
Citation 1

The Impact of Earnings on the Pricing of Credit Default Swaps

Number of pages: 37 Posted: 07 Dec 2006
Jeffrey L. Callen, Joshua Livnat and Dan Segal
University of Toronto - Rotman School of Management, New York University and Interdisciplinary Center (IDC) Herzliyah
Downloads 593 (45,584)
Citation 1

Abstract:

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Credit Default Swaps, credit risk, earnings

The Impact of Earnings on the Pricing of Credit Default Swaps

Accounting Review, Forthcoming
Posted: 03 Dec 2008
Jeffrey L. Callen, Joshua Livnat and Dan Segal
University of Toronto - Rotman School of Management, New York University and Interdisciplinary Center (IDC) Herzliyah

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Credit Default Swaps, Earnings, Default Risk, Cash Flows, Accruals

14.

The Post Earnings Announcement Drift and Option Traders

Number of pages: 43 Posted: 14 Sep 2012 Last Revised: 16 Jan 2013
Suresh Govindaraj, Sangsang Liu and Joshua Livnat
Rutgers University - Rutgers Business School - Newark and New Brunswick, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and New York University
Downloads 480 (60,406)

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Post-Earnings Announcement Drift Anomaly, Risk Premium Hypothesis, Under-Reaction Hypothesis, Implied (Option) Volatility

15.

Insider Trading and Analyst Forecast Revisions: Global Evidence

Number of pages: 40 Posted: 31 Jan 2013
Wen Jin, Joshua Livnat and Yuan Zhang
Quantitative Management Associates, New York University and University of Texas at Dallas
Downloads 407 (73,855)

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16.

Who, if Anyone, Reacts to Accrual Information?

Journal of Accounting and Economics, Vol. 53, No. 1-2, 2012
Number of pages: 49 Posted: 20 Mar 2007 Last Revised: 10 Apr 2017
Robert H. Battalio, Alina Lerman, Joshua Livnat and Richard R. Mendenhall
University of Notre Dame - Department of Finance, University of Connecticut - Department of Accounting, New York University and University of Notre Dame - Department of Finance
Downloads 401 (75,124)
Citation 7

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Market efficiency, Anomalies, Accruals, Earnings

17.

The New Form 8-K Disclosures

Review of Accounting Studies, Vol. 15, No. 4, 2010
Number of pages: 39 Posted: 30 Apr 2008 Last Revised: 10 Apr 2017
Alina Lerman and Joshua Livnat
University of Connecticut - Department of Accounting and New York University
Downloads 373 (81,639)
Citation 10

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18.

Information Interpretation or Information Discovery: Which Role of Analysts Do Investors Value More?

Downloads 307 (101,582)
Citation 4

Information Interpretation or Information Discovery: Which Role of Analysts Do Investors Value More?

Number of pages: 48 Posted: 23 Aug 2009 Last Revised: 06 Sep 2011
Joshua Livnat and Yuan Zhang
New York University and University of Texas at Dallas
Downloads 307 (101,028)
Citation 4

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Information Interpretation or Information Discovery: Which Role of Analysts Do Investors Value More?

Review of Accounting Studies, Forthcoming
Posted: 08 Feb 2012
Joshua Livnat and Yuan Zhang
New York University and University of Texas at Dallas

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19.

Using Option Implied Volatilities to Predict Absolute Stock Returns - Evidence from Earnings Announcements and Annual Shareholders’ Meetings

Number of pages: 36 Posted: 27 Sep 2014
Suresh Govindaraj, Wen Jin, Joshua Livnat and Chen Zhao
Rutgers University - Rutgers Business School - Newark and New Brunswick, Quantitative Management Associates (QMA) LLC, New York University and Rutgers Business School - Newark and New Brunswick
Downloads 278 (113,115)
Citation 3

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Earnings Announcement, Annual Meeting of Shareholders, Option Implied Volatility, Absolute Stock Return

20.

Accounting Restatements: Are They Always Bad News for Investors?

NYU Working Paper No. 2451/27575
Number of pages: 27 Posted: 08 Oct 2008
Jeffrey L. Callen, Joshua Livnat and Dan Segal
University of Toronto - Rotman School of Management, New York University and Interdisciplinary Center (IDC) Herzliyah
Downloads 278 (113,115)

Abstract:

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21.

Modified IR As a Predictor of Fund Performance

Number of pages: 40 Posted: 22 Nov 2015
Joshua Livnat, Gavin Smith and Martin Tarlie
New York University, Prudential Financial - Quantitative Management Associates and GMO
Downloads 173 (178,795)

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Modified Information Ratio, Fund selection, Predicting Fund Performance

22.

Market Reaction to Quantitative and Qualitative Order Backlog Disclosures

Number of pages: 53 Posted: 08 Dec 2014 Last Revised: 18 Apr 2018
Ronen Feldman, Suresh Govindaraj, Joshua Livnat and Kate Suslava
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Rutgers University - Rutgers Business School - Newark and New Brunswick, New York University and Bucknell University Freeman College of Management
Downloads 161 (190,099)
Citation 2

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earnings surprise, future sales growth, order backlog, qualitative disclosures, stock returns

23.

The Impact of Earnings on the Pricing of Credit Default Swaps

NYU Working Paper No. 2451/27576
Number of pages: 37 Posted: 08 Oct 2008
Jeffrey L. Callen, Joshua Livnat and Dan Segal
University of Toronto - Rotman School of Management, New York University and Interdisciplinary Center (IDC) Herzliyah
Downloads 149 (202,935)

Abstract:

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24.

Labor Costs and Investments in Human Capital

NYU Working Paper No. 2451/27573
Number of pages: 35 Posted: 09 Oct 2008
Marta Ballester, Joshua Livnat and Nishi Sinha
affiliation not provided to SSRN, New York University and Analysis Group
Downloads 125 (233,392)

Abstract:

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25.

Earnings Revisions in SEC Filings from Prior Preliminary Announcements

Journal of Accounting, Auditing and Finance, Forthcoming
Number of pages: 50 Posted: 21 Jan 2011
Dana Hollie, Joshua Livnat and Benjamin Segal
The University of Toledo, New York University and Fordham University
Downloads 118 (243,632)

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market efficiency, asset pricing, earnings announcement, SEC filings, earnings revisions

26.

Eternal Sunshine: Are U.S. Analysts More Optimistic than Foreign Analysts?

Number of pages: 30 Posted: 11 Sep 2014 Last Revised: 10 Dec 2014
Joshua Livnat and Li Zhang
New York University and Rutgers, The State University of New Jersey - Accounting
Downloads 87 (299,041)

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U.S. analysts, Foreign analysts, Optimistic bias

27.

Reevaluation of Revaluations: A Cross-Country Examination of the Motives and Effects on Future Performance

Journal of Business Finance & Accounting, Vol. 34, No. 7-8, pp. 1025-1050, September/October 2007
Number of pages: 26 Posted: 15 Oct 2007
Benzion Barlev, Dov Fried, Joshua Rene Haddad and Joshua Livnat
Hebrew University of Jerusalem - Jerusalem School of Business Administration, affiliation not provided to SSRN, affiliation not provided to SSRN and New York University
Downloads 17 (556,694)
Citation 1
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28.

Analysts’ Earnings Forecast, Recommendation and Target Price Revisions

https://doi.org/10.3905/jpm.2012.38.3.120
Posted: 21 May 2019
Ronen Feldman, Joshua Livnat and Yuan Zhang
Hebrew University of Jerusalem - Jerusalem School of Business Administration, New York University and University of Texas at Dallas

Abstract:

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29.

Is There News in the Timing of Earnings Announcements?

Journal of Investing, Forthcoming
Posted: 17 Sep 2014 Last Revised: 02 Nov 2015
Joshua Livnat and Li Zhang
New York University and Rutgers, The State University of New Jersey - Accounting

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Timing, Earnings announcements, Trading strategy

30.

Large Price Changes and Subsequent Returns

Downloads 0 (688,095)

Large Price Changes and Subsequent Returns

Journal of Investment Management, 2013
Posted: 13 Sep 2014
Suresh Govindaraj, Joshua Livnat, Pavel G. Savor and Chen Zhao
Rutgers University - Rutgers Business School - Newark and New Brunswick, New York University, DePaul University - Kellstadt Graduate School of Business and Rutgers Business School - Newark and New Brunswick

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Analyst price target revisions, Analyst earnings forecast revisions, Large price changes, Trading strategy

Large Price Changes and Subsequent Returns

Journal of Investment Management (JOIM), Third Quarter 2014
Posted: 16 Nov 2014
Suresh Govindaraj, Joshua Livnat, Pavel G. Savor and Zhao Chen
Rutgers University - Rutgers Business School - Newark and New Brunswick, New York University, DePaul University - Kellstadt Graduate School of Business and Independent

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Large price changes, analyst revisions, earnings forecasts, target price, abnormal returns, momentum, reversals

31.

Conditional Versus Unconditional Persistence of RNOA Components: Implications for Valuation

Review of Accounting Studies, Forthcoming
Posted: 20 Dec 2009 Last Revised: 11 Aug 2010
Eli Amir, Itay Kama and Joshua Livnat
Tel Aviv University, University of Michigan, Stephen M. Ross School of Business and New York University

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Persistence, DuPont Decomposition, Market Reaction, Financial Analysis, Ratios

32.

Quarterly Accruals or Cash Flows in Portfolio Construction?

Financial Analysts Journal, Vol. 64, No. 3, 2008
Posted: 11 Sep 2008
Joshua Livnat and Germán López-Espinosa
New York University and University of Navarra

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Portfolio Management: Equity Strategies, Equity Investments, Fundamental Analysis and Valuation Models, Industry Analysis, Financial Statement Analysis, Financial and Ratio Analysis

33.

First Come First Disserved

Journal of Investment Management, Vol. 6, No. 2, Second Quarter 2008
Posted: 15 May 2008
Joseph A. Cerniglia and Joshua Livnat
New York University (NYU) - Courant Institute of Mathematical Sciences and New York University

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Standardized unexpected earnings, drift, abnormal returns, timelines of earnings, industry information transfer

34.

Double Surprise into Higher Future Returns

Financial Analysts Journal, Vol. 63, No. 4, pp. 63-71, July/August 2007
Posted: 26 Jul 2007
Alina Lerman, Joshua Livnat and Richard R. Mendenhall
University of Connecticut - Department of Accounting, New York University and University of Notre Dame - Department of Finance

Abstract:

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Equity Investments, Research Sources, Fundamental Analysis and Valuation Models, Portfolio Management: Equity Strategies

35.

Post-Earnings-Announcement Drift: The Role of Revenue Surprises

Financial Analysts Journal, Vol. 62, No. 2, pp. 22-34, April 2006
Posted: 22 May 2006
Narasimhan Jegadeesh and Joshua Livnat
Emory University - Department of Finance and New York University

Abstract:

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Equity Investments, Fundamental Analysis and Valuation Models, Portfolio Management, Equity Strategies

36.

The Information Content of Sec Filings and Information Environment: A Variance Decomposition Analysis

Accounting Review, Forthcoming
Posted: 26 Mar 2006
Jeffrey L. Callen, Joshua Livnat and Dan Segal
University of Toronto - Rotman School of Management, New York University and Interdisciplinary Center (IDC) Herzliyah

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SEC Filings, Value Relevance, Variance Decomposition

37.

The Economic Value of the R&D Intangible Asset

European Accounting Review, Vol. 12, No. 4, 2003
Posted: 04 Nov 2003
Marta Ballester, Manuel Garcia-Ayuso and Joshua Livnat
Universidad de Malaga, University of Seville and New York University

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R&D, Valuation Models, Intangibles, Fundamental Analysis

38.

Internet Traffic and Portfolio Returns

Financial Analysts Journal, Vol. 57, No. 3, May/June 2001
Posted: 31 Jul 2001
Baruch Lev, Ron Lazer and Joshua Livnat
New York University - Stern School of Business, New York University (NYU) - Department of Accounting and New York University

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39.

A Free Cash Flow Investment Anomaly

As published in Journal of Accounting, Auditing & Finance, Vol 15, No 1 (New Series, Winter 2000
Posted: 17 Sep 2000
Kenneth S. Hackel, Joshua Livnat and Atul Rai
Free Cash Flow, Inc., New York University and Wichita State University

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40.

Capital Expenditures: Value-Relevance and Fourth-Quarter Effects

JOURNAL OF FINANCIAL STATEMENT ANALYSIS, Vol 1, No 3, Spring 1996
Posted: 05 Jul 1998
Jeffrey L. Callen, Joshua Livnat and Stephen G. Ryan
University of Toronto - Rotman School of Management, New York University and New York University (NYU) - Leonard N. Stern School of Business

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41.

Modeling Dividends, Earnings, and Book Value Equity: An Empirical Investigation of the Ohlson Valuation Dynamics

REVIEW OF ACCOUNTING STUDIES, Vol 1, No. 3, 1997
Posted: 20 Dec 1996
Sasson Bar-Yosef, Jeffrey L. Callen and Joshua Livnat
Hebrew University, University of Toronto - Rotman School of Management and New York University

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