Johnathan Loudis

University of Notre Dame - Mendoza College of Business

Notre Dame, IN 46556-5646

United States

  • University of Notre Dame - Mendoza College of Business

SCHOLARLY PAPERS

8

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5,342

TOTAL CITATIONS
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SSRN RANKINGS

Top 28,628

in Total Papers Citations

18

Ideas:
“  I am an Assistant Professor of Finance at the University of Notre Dame. My research interests lie broadly in empirical asset pricing, asset pricing theory, and macro-finance. I have previously worked at GE Global Research, SustainX (an alternative energy startup), and Oliver Wyman Financial Services.  ”

  • University of Notre Dame - Mendoza College of Business

Scholarly Papers (8)

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1.

The Subjective Risk and Return Expectations of Institutional Investors

Fisher College of Business Working Paper No. 2023-03-014, Proceedings of the EUROFIDAI-ESSEC Paris December Finance Meeting 2023, Charles A. Dice Center Working Paper No. 2023-14
Number of pages: 109 Posted: 25 May 2023 Last Revised: 10 Dec 2024
Spencer J. Couts, Andrei S. Gonçalves and Johnathan Loudis
University of Southern California - Sol Price School of Public Policy, Ohio State University (OSU) - Fisher College of Business and University of Notre Dame - Mendoza College of Business
Downloads 1,383 (30,312)
Citation 3

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Institutional Investors, Subjective Beliefs, Subjective Expected Returns, Subjective Risk, Subjective Risk Premia

2.

The Conditional Expected Market Return

Chabi-Yo, F., Loudis, J., 2020. The conditional expected market return. Journal of Financial Economics 137 (3), 752-786.
Number of pages: 108 Posted: 11 Sep 2017 Last Revised: 13 Oct 2020
Fousseni Chabi-Yo and Johnathan Loudis
University of Massachusetts Amherst - Isenberg School of Management and University of Notre Dame - Mendoza College of Business
Downloads 921 (54,314)
Citation 11

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Equity Risk Premium, Risk Neutral Moments, Preferences

3.

Stock Price Reactions to the Information and Bias in Analyst-Expected Returns

Johnathan A. Loudis; Stock Price Reactions to the Information and Bias in Analyst-Expected Returns. The Accounting Review 2024; https://doi.org/10.2308/TAR-2022-0309
Number of pages: 59 Posted: 23 Mar 2019 Last Revised: 17 Apr 2024
Johnathan Loudis
University of Notre Dame - Mendoza College of Business
Downloads 767 (69,607)
Citation 1

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Expected returns, Cross section, Analysts, Price targets, Market efficiency, Price drift, Return reversal

4.

A Decomposition of Conditional Risk Premia and Implications for Representative Agent Models

Fousseni Chabi-Yo and Johnathan A. Loudis (2023). A Decomposition of Conditional Risk Premia and Implications for Representative Agent Models. Management Science. Published online on November 22, 2023.
Number of pages: 209 Posted: 01 Dec 2020 Last Revised: 09 Feb 2024
Fousseni Chabi-Yo and Johnathan Loudis
University of Massachusetts Amherst - Isenberg School of Management and University of Notre Dame - Mendoza College of Business
Downloads 679 (81,274)
Citation 2

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Market risk premium; Variance risk premium; Crash risk; Risk-neutral moments; Preferences; Stochastic Discount Factor

5.

An Intertemporal Risk Factor Model

Number of pages: 171 Posted: 01 Sep 2020 Last Revised: 02 May 2024
Fousseni Chabi-Yo, Andrei S. Gonçalves and Johnathan Loudis
University of Massachusetts Amherst - Isenberg School of Management, Ohio State University (OSU) - Fisher College of Business and University of Notre Dame - Mendoza College of Business
Downloads 613 (92,643)
Citation 1

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ICAPM, Intertemporal Risk, Long-term Investors, Factor Models

6.

The Idiosyncratic Financial Factor: An Explanation for the Role of Size Factors and the Weak Intertemporal Risk-Return Relation

Number of pages: 108 Posted: 30 Apr 2019 Last Revised: 03 Dec 2024
Sung Je Byun, Johnathan Loudis and Lawrence Schmidt
Federal Reserve Bank of Dallas - Banking Supervision, University of Notre Dame - Mendoza College of Business and MIT Sloan School of Management
Downloads 467 (129,634)

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Idiosyncratic risk, Market factor, Size effect, Size factors, Intertemporal risk-return relation

7.

Out-of-Sample Alphas Post-Publication

Fisher College of Business Working Paper No. 2025-03-002, Charles A. Dice Working Paper No. 2025-02
Number of pages: 55 Posted: 12 Feb 2025 Last Revised: 25 Feb 2025
Andrei S. Gonçalves, Johnathan Loudis and Richard Ogden
Ohio State University (OSU) - Fisher College of Business, University of Notre Dame - Mendoza College of Business and Rowan University - Accounting & Finance
Downloads 264 (242,590)

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Anomalies, CAPM Alphas, Out-of-Sample Alphas

8.

Institutional Investors' Subjective Risk Premia: Time Variation and Disagreement

Fisher College of Business WP No. 2024-03-017 and Charles A. Dice Center WP No. 2024-17
Number of pages: 77 Posted: 22 Aug 2024
Spencer J. Couts, Andrei S. Gonçalves, Yicheng Liu and Johnathan Loudis
University of Southern California - Sol Price School of Public Policy, Ohio State University (OSU) - Fisher College of Business, Ohio State University (OSU) and University of Notre Dame - Mendoza College of Business
Downloads 248 (258,418)

Abstract:

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Institutional Investors, Subjective Beliefs, Subjective Risk Premia