Author Page for Juhani T. Linnainmaa

Reports of Value’s Death May Be Greatly Exaggerated

Number of pages: 38 Posted: 02 Dec 2019 Last Revised: 04 Feb 2021

Robert D. Arnott, Campbell R. Harvey, Vitali Kalesnik and Juhani T. Linnainmaa

Research Affiliates, LLC, Duke University - Fuqua School of Business, Research Affiliates Global Advisors and Dartmouth College - Tuck School of Business

Downloads 9,674 (1,258)

Citation 11

Abstract:

2.

Alice’s Adventures in Factorland: Three Blunders That Plague Factor Investing

Number of pages: 35 Posted: 17 Feb 2019 Last Revised: 11 Apr 2019

Robert D. Arnott, Campbell R. Harvey, Vitali Kalesnik and Juhani T. Linnainmaa

Research Affiliates, LLC, Duke University - Fuqua School of Business, Research Affiliates Global Advisors and Dartmouth College - Tuck School of Business

Downloads 9,094 (1,394)

Citation 16

Abstract:

3.

Factor Momentum

Number of pages: 48 Posted: 12 Nov 2020 Last Revised: 22 Mar 2021

Robert D. Arnott, Mark Clements, Vitali Kalesnik and Juhani T. Linnainmaa

Research Affiliates, LLC, Los Angeles Capital Management, Research Affiliates Global Advisors and Dartmouth College - Tuck School of Business

Downloads 7,938 (1,767)

Citation 48

Abstract:

4.

Factor Momentum and the Momentum Factor

Downloads 6,893 ( 2,232)

Citation 9

2

Factor Momentum and the Momentum Factor

Journal of Finance, Forthcoming

Number of pages: 84 Posted: 07 Aug 2017 Last Revised: 20 Mar 2021

Sina Ehsani and Juhani T. Linnainmaa

Northern Illinois University - Department of Finance and Dartmouth College - Tuck School of Business

Downloads 6,584 (2,378)

Citation 6

Abstract:

Factor Momentum and the Momentum Factor

NBER Working Paper No. w25551

Number of pages: 54 Posted: 19 Feb 2019 Last Revised: 26 Apr 2023

Sina Ehsani and Juhani T. Linnainmaa

Northern Illinois University - Department of Finance and Dartmouth College - Tuck School of Business

Downloads 309 (204,677)

Citation 3

Abstract:

5.

Return Seasonalities

Journal of Finance, Forthcoming, Fama-Miller Working Paper, Chicago Booth Research Paper No. 13-15

Number of pages: 49 Posted: 25 Feb 2013 Last Revised: 12 Dec 2015

Matti Keloharju, Juhani T. Linnainmaa and Peter M. Nyberg

Aalto University - School of Business, Dartmouth College - Tuck School of Business and Aalto University

Downloads 4,775 (4,266)

Citation 39

Abstract:

6.

Accruals, Cash Flows, and Operating Profitability in the Cross Section of Stock Returns

Journal of Financial Economics (JFE), Forthcoming, Fama-Miller Working Paper, Chicago Booth Research Paper No. 15-12

Number of pages: 47 Posted: 01 Apr 2015 Last Revised: 21 Sep 2015

Ray Ball, Joseph Gerakos, Juhani T. Linnainmaa and Valeri V. Nikolaev

University of Chicago - Booth School of Business, Tuck School of Business at Dartmouth College, Dartmouth College - Tuck School of Business and University of Chicago Booth School of Business

Downloads 4,297 (5,059)

Citation 138

Abstract:

7.

The Misguided Beliefs of Financial Advisors

Journal of Finance, Forthcoming, Kelley School of Business Research Paper No. 18-9

Number of pages: 66 Posted: 20 Jan 2018 Last Revised: 22 Mar 2021

Juhani T. Linnainmaa, Brian Melzer and Alessandro Previtero

Dartmouth College - Tuck School of Business, Dartmouth College - Tuck School of Business and Indiana University - Kelley School of Business - Department of Finance

Downloads 4,167 (5,304)

Citation 32

Abstract:

8.

IQ and Stock Market Participation

AEA 2010 Atlanta Meetings Paper, CRSP Working Paper, Western Finance Association 2010 Meetings Paper, Journal of Finance, Forthcoming, Chicago Booth Research Paper No. 09-27

Number of pages: 56 Posted: 02 Aug 2009 Last Revised: 23 Jan 2011

Mark Grinblatt, Matti Keloharju and Juhani T. Linnainmaa

University of California, Los Angeles (UCLA) - Finance Area, Aalto University - School of Business and Dartmouth College - Tuck School of Business

Downloads 3,968 (5,741)

Citation 86

Abstract:

9.

Deflating Profitability

Journal of Financial Economics (JFE), Volume 117, Issue 2, pp. 225-248, Fama-Miller Working Paper, Chicago Booth Research Paper No. 14-10

Number of pages: 55 Posted: 27 Mar 2014 Last Revised: 12 Dec 2015

Ray Ball, Joseph Gerakos, Juhani T. Linnainmaa and Valeri V. Nikolaev

University of Chicago - Booth School of Business, Tuck School of Business at Dartmouth College, Dartmouth College - Tuck School of Business and University of Chicago Booth School of Business

Downloads 3,086 (8,647)

Citation 78

Abstract:

10.

Decomposing value

Fama-Miller Working Paper, Chicago Booth Research Paper No. 12-18, Review of Financial Studies 31, no. 5 (2018): 1825-1854.

Number of pages: 44 Posted: 13 Jun 2012 Last Revised: 22 Mar 2021

Joseph Gerakos and Juhani T. Linnainmaa

Tuck School of Business at Dartmouth College and Dartmouth College - Tuck School of Business

Downloads 2,714 (10,605)

Citation 17

Abstract:

11.

Earnings, Retained Earnings, and Book-to-Market in the Cross Section of Expected Returns

Journal of Financial Economics (JFE), Forthcoming

Number of pages: 66 Posted: 01 Mar 2017 Last Revised: 20 Jan 2019

Ray Ball, Joseph Gerakos, Juhani T. Linnainmaa and Valeri V. Nikolaev

University of Chicago - Booth School of Business, Tuck School of Business at Dartmouth College, Dartmouth College - Tuck School of Business and University of Chicago Booth School of Business

Downloads 2,542 (11,724)

Citation 38

Abstract:

12.

IQ, Trading Behavior, and Performance

Journal of Financial Economics, Forthcoming, CRSP Working Paper, AFA 2010 Atlanta Meetings Paper, EFA 2010 Frankfurt Meetings Paper, Chicago Booth Research Paper No. 09-33

Number of pages: 65 Posted: 20 Mar 2009 Last Revised: 17 Nov 2011

Mark Grinblatt, Matti Keloharju and Juhani T. Linnainmaa

University of California, Los Angeles (UCLA) - Finance Area, Aalto University - School of Business and Dartmouth College - Tuck School of Business

Downloads 2,511 (11,979)

Citation 43

Abstract:

13.

Asset Managers: Institutional Performance and Factor Exposures

Downloads 1,799 (20,401)

Citation 20

2

Asset Managers: Institutional Performance and Factor Exposures

Number of pages: 71 Posted: 17 Feb 2016 Last Revised: 12 Nov 2019

Joseph Gerakos, Juhani T. Linnainmaa and Adair Morse

Tuck School of Business at Dartmouth College, Dartmouth College - Tuck School of Business and University of California, Berkeley - Haas School of Business

Downloads 1,633 (23,226)

Citation 20

Abstract:

Asset Managers: Institutional Performance and Smart Betas

NBER Working Paper No. w22982

Number of pages: 64 Posted: 27 Dec 2016 Last Revised: 19 Apr 2023

Joseph Gerakos, Juhani T. Linnainmaa and Adair Morse

Tuck School of Business at Dartmouth College, Dartmouth College - Tuck School of Business and University of California, Berkeley - Haas School of Business

Downloads 166 (375,160)

Abstract:

14.

The History of the Cross Section of Stock Returns

Downloads 1,731 (21,681)

Citation 100

2

The History of the Cross Section of Stock Returns

Marshall School of Business Working Paper No. 17-17

Number of pages: 73 Posted: 12 Jan 2017

Juhani T. Linnainmaa and Michael R. Roberts

Dartmouth College - Tuck School of Business and The Wharton School - University of Pennsylvania; National Bureau of Economic Research (NBER)

Downloads 1,549 (25,167)

Citation 2

Abstract:

The History of the Cross Section of Stock Returns

NBER Working Paper No. w22894

Number of pages: 74 Posted: 05 Dec 2016 Last Revised: 23 Jul 2023

Juhani T. Linnainmaa and Michael R. Roberts

Dartmouth College - Tuck School of Business and The Wharton School - University of Pennsylvania; National Bureau of Economic Research (NBER)

Downloads 182 (345,700)

Citation 98

Abstract:

15.

The Anatomy of Day Traders

Number of pages: 33 Posted: 08 Dec 2003

Juhani T. Linnainmaa

Dartmouth College - Tuck School of Business

Downloads 1,626 (23,822)

Citation 18

Abstract:

16.

Earnings-Announcement Timing Factors

Number of pages: 50 Posted: 08 Jun 2018 Last Revised: 15 Sep 2024

Juhani T. Linnainmaa and Yingguang Zhang

Dartmouth College - Tuck School of Business and Peking University - Department of Finance, Guanghua School of Management

Downloads 1,498 (26,928)

Citation 4

Abstract:

17.

Are Return Seasonalities Due to Risk or Mispricing? Evidence from Seasonal Reversals

Journal of Financial Economics (JFE), Forthcoming

Number of pages: 72 Posted: 15 Nov 2018 Last Revised: 01 Dec 2019

Matti Keloharju, Juhani T. Linnainmaa and Peter M. Nyberg

Aalto University School of Business, Dartmouth College - Tuck School of Business and Aalto University

Downloads 1,389 (30,137)

Citation 5

Abstract:

18.

Time-Series Efficient Factors

Tuck School of Business Working Paper No. 3555473

Number of pages: 64 Posted: 01 Apr 2020 Last Revised: 20 Feb 2025

Sina Ehsani and Juhani T. Linnainmaa

Northern Illinois University - Department of Finance and Dartmouth College - Tuck School of Business

Downloads 1,310 (32,837)

Citation 5

Abstract:

19.

Man versus Machine Learning Revisited

Tuck School of Business Working Paper Forthcoming

Number of pages: 53 Posted: 24 Jul 2024 Last Revised: 27 Nov 2024

Yingguang Zhang, Yandi Zhu and Juhani T. Linnainmaa

Peking University - Department of Finance, Guanghua School of Management, Peking University - School of Economics and Dartmouth College - Tuck School of Business

Downloads 1,114 (41,681)

Abstract:

20.

Smart Rebalancing

Arnott, Robert D. and Li, Feifei and Linnainmaa, Juhani T., Smart Rebalancing (15 April 2024). Financial Analysts Journal, 2024, 80(2): 26-51. DOI: 10.1080/0015198X.2024.2317323

Number of pages: 26 Posted: 11 Mar 2023 Last Revised: 19 Apr 2024

Robert D. Arnott, Feifei Li and Juhani T. Linnainmaa

Research Affiliates, LLC, Research Affiliates, LLC and Dartmouth College - Tuck School of Business

Downloads 1,023 (46,933)

Abstract:

21.

Do Investors Buy What They Know? Product Market Choices and Investment Decisions

Chicago Booth Research Paper No. 10-24, AFA 2012 Chicago Meetings Paper, Fama-Miller Working Paper

Number of pages: 59 Posted: 03 Sep 2010 Last Revised: 03 Jun 2014

Matti Keloharju, Samuli Knüpfer and Juhani T. Linnainmaa

Aalto University - School of Business, Aalto University School of Business and Dartmouth College - Tuck School of Business

Downloads 884 (57,423)

Citation 6

Abstract:

22.

Long-Term Discount Rates Do Not Vary Across Firms

Downloads 872 (58,506)

Citation 11

2

Long-Term Discount Rates Do Not Vary Across Firms

Journal of Financial Economics (JFE), Forthcoming

Number of pages: 56 Posted: 27 Feb 2018 Last Revised: 22 Mar 2021

Matti Keloharju, Juhani T. Linnainmaa and Peter M. Nyberg

Aalto University School of Business, Dartmouth College - Tuck School of Business and Aalto University

Downloads 823 (62,341)

Abstract:

Long-Term Discount Rates Do Not Vary Across Firms

NBER Working Paper No. w25579

Number of pages: 51 Posted: 26 Feb 2019 Last Revised: 24 May 2023

Matti Keloharju, Juhani T. Linnainmaa and Peter Nyberg

Aalto University School of Business, Dartmouth College - Tuck School of Business and Aalto University - School of Business

Downloads 49 (837,619)

Citation 11

Abstract:

23.

Retail Financial Advice: Does One Size Fit All?

Journal of Finance, Vol. 72, No. 4, 2017, Fama-Miller Working Paper, Chicago Booth Research Paper No. 14-38

Number of pages: 55 Posted: 12 Nov 2014 Last Revised: 22 Mar 2021

Stephen R. Foerster, Juhani T. Linnainmaa, Brian Melzer and Alessandro Previtero

University of Western Ontario - Richard Ivey School of Business, Dartmouth College - Tuck School of Business, Dartmouth College - Tuck School of Business and Indiana University - Kelley School of Business - Department of Finance

Downloads 843 (61,341)

Citation 10

Abstract:

24.

Do Limit Orders Alter Inferences About Investor Performance and Behavior?

AFA 2004 San Diego Meetings, Journal of Finance, Forthcoming

Number of pages: 62 Posted: 08 Dec 2003 Last Revised: 08 Feb 2010

Juhani T. Linnainmaa

Dartmouth College - Tuck School of Business

Downloads 842 (61,436)

Citation 30

Abstract:

25.

Jensen's Inequality, Parameter Uncertainty, and Multi-Period Investment

Chicago Booth Research Paper No. 10-22, CRSP Working Paper

Number of pages: 48 Posted: 23 Jun 2010 Last Revised: 02 Nov 2010

Mark Grinblatt and Juhani T. Linnainmaa

University of California, Los Angeles (UCLA) - Finance Area and Dartmouth College - Tuck School of Business

Downloads 839 (61,740)

Citation 2

Abstract:

26.

Informed Traders, Long-Dated Options, and the Cross Section of Stock Returns

Number of pages: 55 Posted: 29 Sep 2017

Mark Clements, Vitali Kalesnik and Juhani T. Linnainmaa

Los Angeles Capital Management, Research Affiliates Global Advisors and Dartmouth College - Tuck School of Business

Downloads 696 (78,821)

Abstract:

27.

Reverse Survivorship Bias

Journal of Finance, Forthcoming, Western Finance Association 2010 Conference, CRSP Working Paper, Chicago Booth Research Paper No. 10-17

Number of pages: 49 Posted: 12 Apr 2010 Last Revised: 17 Nov 2011

Juhani T. Linnainmaa

Dartmouth College - Tuck School of Business

Downloads 631 (89,394)

Citation 4

Abstract:

28.

Reading the Tea Leaves: Model Uncertainty, Robust Forecasts, and the Autocorrelation of Analysts' Forecast Errors

Chicago Booth Research Paper No. 10-04, CRSP Working Paper

Number of pages: 58 Posted: 28 Jan 2010 Last Revised: 11 Aug 2015

Juhani T. Linnainmaa, Walter N. Torous and James Yae

Dartmouth College - Tuck School of Business, Massachusetts Institute of Technology and University of Houston - C. T. Bauer College of Business

Downloads 607 (93,923)

Citation 16

Abstract:

29.

Correcting Asset Pricing Models

Number of pages: 62 Posted: 28 May 2021 Last Revised: 17 Mar 2022

Sina Ehsani and Juhani T. Linnainmaa

Northern Illinois University - Department of Finance and Dartmouth College - Tuck School of Business

Downloads 568 (102,185)

Abstract:

30.

What Does Residual Momentum Tell Us About Firm-Specific Momentum?

Tuck School of Business Working Paper No. 4059632

Number of pages: 48 Posted: 13 Apr 2022

Sina Ehsani and Juhani T. Linnainmaa

Northern Illinois University - Department of Finance and Dartmouth College - Tuck School of Business

Downloads 533 (110,594)

Abstract:

31.

Market Reactions to Tangible and Intangible Information Revisited

Chicago Booth Research Paper No. 13-82, Fama-Miller Working Paper

Number of pages: 29 Posted: 24 Nov 2013 Last Revised: 30 Aug 2014

Joseph Gerakos and Juhani T. Linnainmaa

Tuck School of Business at Dartmouth College and Dartmouth College - Tuck School of Business

Downloads 528 (111,881)

Citation 2

Abstract:

32.

Weather and Time Series Determinants of Liquidity in a Limit Order Market

AFA 2009 San Francisco Meetings Paper

Number of pages: 37 Posted: 25 Mar 2008 Last Revised: 13 Mar 2013

Juhani T. Linnainmaa and Ioanid Rosu

Dartmouth College - Tuck School of Business and HEC Paris - Finance Department

Downloads 507 (117,569)

Citation 13

Abstract:

33.

Lack of Anonymity and the Inference from Order Flow

CRSP Working Paper, Johnson School Research Paper Series No. 02-2010, Chicago Booth Research Paper No. 10-03, EFA 2011 Stockholm Meetings Paper

Number of pages: 59 Posted: 28 Jan 2010 Last Revised: 17 Oct 2011

Juhani T. Linnainmaa and Gideon Saar

Dartmouth College - Tuck School of Business and Cornell University - Samuel Curtis Johnson Graduate School of Management

Downloads 500 (119,573)

Citation 10

Abstract:

34.

Why Do (Some) Households Trade So Much?

Review of Financial Studies, Forthcoming, AFA 2008 New Orleans Meetings Paper

Number of pages: 57 Posted: 20 Mar 2007 Last Revised: 18 Dec 2010

Juhani T. Linnainmaa

Dartmouth College - Tuck School of Business

Downloads 492 (121,828)

Citation 27

Abstract:

35.

Do You Really Know Your Cost of Capital?

Tuck School of Business Working Paper No. 3971821

Number of pages: 21 Posted: 01 Dec 2021

Matti Keloharju, Juhani T. Linnainmaa and Peter M. Nyberg

Aalto University School of Business, Dartmouth College - Tuck School of Business and Aalto University

Downloads 425 (145,033)

Abstract:

36.

Which Expectation?

Number of pages: 75 Posted: 30 Jan 2022 Last Revised: 02 Jan 2024

Juhani T. Linnainmaa, Yingguang Zhang and Guofu Zhou

Dartmouth College - Tuck School of Business, Peking University - Department of Finance, Guanghua School of Management and Washington University in St. Louis - John M. Olin Business School

Downloads 379 (165,233)

Abstract:

37.

Does it Matter Who Trades? Broker Identities and the Information Content of Stock Trades

AFA 2008 New Orleans Meetings Paper

Number of pages: 33 Posted: 20 Mar 2007 Last Revised: 22 Sep 2008

Juhani T. Linnainmaa

Dartmouth College - Tuck School of Business

Downloads 324 (195,947)

Citation 4

Abstract:

38.

Learning and Stock Market Participation

Number of pages: 43 Posted: 25 Mar 2008

Juhani T. Linnainmaa

Dartmouth College - Tuck School of Business

Downloads 205 (310,498)

Citation 1

Abstract:

39.

Common Factors in Return Seasonalities

NBER Working Paper No. w20815

Number of pages: 57 Posted: 05 Jan 2015 Last Revised: 18 May 2023

Matti Keloharju, Juhani T. Linnainmaa and Peter Nyberg

Aalto University School of Business, Dartmouth College - Tuck School of Business and Aalto University - School of Business

Downloads 120 (488,135)

Abstract:

40.

Retail Financial Advice: Does One Size Fit All?

NBER Working Paper No. w20712

Number of pages: 52 Posted: 01 Dec 2014 Last Revised: 04 Feb 2023

Stephen R. Foerster, Juhani T. Linnainmaa, Brian Melzer and Alessandro Previtero

University of Western Ontario - Richard Ivey School of Business, Dartmouth College - Tuck School of Business, Dartmouth College - Tuck School of Business and Indiana University - Kelley School of Business - Department of Finance

Downloads 98 (565,673)

Citation 59

Abstract:

41.

Persistence in Alphas without Persistence in Skill

Number of pages: 48 Posted: 08 Jan 2025

Sina Ehsani and Juhani T. Linnainmaa

Northern Illinois University - Department of Finance and Dartmouth College - Tuck School of Business

Downloads 68 (704,538)

Abstract:

42.

Why Are High Exposures to Factor Betas Unlikely to Deliver Anticipated Returns?

Chris Brightman, Forrest Henslee, Vitali Kalesnik, Feifei Li and Juhani Linnainmaa The Journal of Portfolio Management QES Special Issue 2022, jpm.2021.1.310; DOI: https://doi.org/10.3905/jpm.2021.1.310

Posted: 19 Mar 2021 Last Revised: 12 Jan 2022

Chris Brightman, Forrest G. Henslee, Vitali Kalesnik, Feifei Li and Juhani T. Linnainmaa

Research Affiliates, LLC, Research Affiliates, LLC, Research Affiliates Global Advisors, Research Affiliates, LLC and Dartmouth College - Tuck School of Business

Juhani T. Linnainmaa

Dartmouth College - Tuck School of Business

National Bureau of Economic Research (NBER)

Research Associate (AP)

Kepos Capital

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Scholarly Papers (42)

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