Juhani T. Linnainmaa

Dartmouth College - Tuck School of Business

Hanover, NH 03755

United States

http://www.tuck.dartmouth.edu/faculty/faculty-directory/juhani-linnainmaa

National Bureau of Economic Research (NBER)

Research Associate (AP)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

Kepos Capital

620 Eighth Avenue

New York, NY 10018

United States

  • Dartmouth College - Tuck School of Business

  • National Bureau of Economic Research (NBER)

  • Kepos Capital

SCHOLARLY PAPERS

39

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74,186

SSRN CITATIONS
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Top 1,170

in Total Papers Citations

1,040

CROSSREF CITATIONS

241

Scholarly Papers (39)

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1.

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 9,256 (1,093)
Citation 11

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Value investing, value factor, growth investing, value spread, revaluation, migration, profitability, HML, 3-factor model, iHML, intangibles, book value, intrinsic value, financial accounting, behavioral finance, crowding, data mining, structural change, drawdown

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 8,409 (1,295)
Citation 15

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Overfitting, Backtesting, Crowding, Data Mining, Multiple Testing, Downside Risk, Tail Behavior, Non-Normalities, Trading Costs, Bootstrapping, Resampling, Factor Zoo, Factor Investing, Value Investing, Momentum, Size, Accounting Factors, Investment, Low Beta, Accruals, Factor Portfolios, Behavioral

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 6,857 (1,846)
Citation 26

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Factor momentum, factor investing, industry momentum, principal component factors

4.

Factor Momentum and the Momentum Factor

Downloads 5,448 ( 2,736)
Citation 59

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 and Dartmouth College - Tuck School of Business
Downloads 5,210 (2,913)
Citation 6

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Anomalies; Autocorrelation; Factors; Momentum

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 and Dartmouth College - Tuck School of Business
Downloads 238 (220,000)
Citation 3

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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 4,385 (3,958)
Citation 34

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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 3,939 (4,734)
Citation 105

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Operating profitability, Accruals, Cash flows, Anomalies, Asset pricing

7.

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 3,798 (5,046)
Citation 86

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Intelligence, household finance, stock market participation

8.

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 3,695 (5,314)
Citation 32

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Financial Advice, behavioral finance, household finance, investment mistakes, behavioral biases

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 2,815 (8,164)
Citation 64

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Gross profitability, operating profitability, asset pricing, deflators, earnings anomalies

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 2,599 (9,256)
Citation 17

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Value premium, risk and mispricing, factor models, firm characteristics

11.

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 2,303 (11,289)
Citation 43

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Intelligence, household finance, trading performance

12.

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 2,278 (11,469)
Citation 31

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G11, G12, M41

13.

Asset Managers: Institutional Performance and Factor Exposures

Downloads 1,689 (18,381)
Citation 18

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 1,538 (20,848)
Citation 17

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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 151 (331,944)

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14.

The History of the Cross Section of Stock Returns

Downloads 1,619 (19,613)
Citation 105

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 1,458 (22,605)
Citation 2

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Factors; anomalies; asset pricing; data-mining

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 161 (314,316)
Citation 83

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15.

The Anatomy of Day Traders

Number of pages: 33 Posted: 08 Dec 2003
Juhani T. Linnainmaa
Dartmouth College - Tuck School of Business
Downloads 1,478 (22,541)
Citation 18

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16.

Earnings-Announcement Timing Factors

Number of pages: 50 Posted: 08 Jun 2018 Last Revised: 19 Jul 2023
Juhani T. Linnainmaa and Yingguang (Conson) Zhang
Dartmouth College - Tuck School of Business and Peking University - Department of Finance, Guanghua School of Management
Downloads 1,176 (31,580)
Citation 4

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Anomalies, analysts, market efficiency

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 1,135 (33,233)
Citation 5

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seasonalities, seasonal reversals, expected returns

18.

Time-Series Efficient Factors

Tuck School of Business Working Paper No. 3555473
Number of pages: 61 Posted: 01 Apr 2020 Last Revised: 02 Sep 2022
Sina Ehsani and Juhani T. Linnainmaa
Northern Illinois University and Dartmouth College - Tuck School of Business
Downloads 1,058 (36,717)
Citation 5

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Factors, Asset Pricing Models, Anomalies, Momentum, Risk-Return Tradeoff

19.

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 826 (51,852)
Citation 6

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Investor behavior, portfolio choice, product market, ownership

20.

Long-Term Discount Rates Do Not Vary Across Firms

Downloads 811 (53,129)
Citation 20

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 772 (55,920)

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Factors, return predictability, market efficiency, production-based asset pricing models, time-varying risks

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 39 (747,352)
Citation 7

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21.

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 811 (53,129)
Citation 30

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investor behavior, individual investors, limit order effect

22.

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 784 (55,867)
Citation 8

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23.

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 772 (56,748)
Citation 2

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Bayesian, Multi-period Investment, Nonlinear Estimation

24.

Smart Rebalancing

Number of pages: 26 Posted: 11 Mar 2023
Robert D. Arnott, Feifei Li and Juhani T. Linnainmaa
Research Affiliates, LLC, Research Affiliates, LLC and Dartmouth College - Tuck School of Business
Downloads 660 (69,822)

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Smart Beta, Rebalancing, Factor Investing

25.

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 627 (74,355)

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Option Prices, Cross-Section, Equity Returns, Options

26.

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 580 (81,851)
Citation 4

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Mutual Funds, Performance Evaluation, Reverse Survivorship Bias

27.

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 576 (82,591)
Citation 12

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Model uncertainty, parameter uncertainty, forecasting, robustness, financial analysts

28.

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 489 (101,163)
Citation 2

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29.

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 483 (102,706)
Citation 13

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Market microstructure, price impact, instrumental variables

30.

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 474 (105,026)
Citation 9

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31.

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 and Dartmouth College - Tuck School of Business
Downloads 461 (108,549)

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Beta, Betting against beta, Security market line, Factor model, Mean-variance efficiency

32.

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 452 (111,067)
Citation 18

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Learning, individual investor behavior, individual investor performance, reverse survivorship bias

33.

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 and Dartmouth College - Tuck School of Business
Downloads 414 (123,132)

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34.

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 350 (148,559)

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Factors, return predictability, market efficiency, production-based asset pricing models, time-varying risks

35.

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 305 (171,979)
Citation 4

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Market microstructure, information content of stock trades, investor behavior

36.

Learning and Stock Market Participation

Number of pages: 43 Posted: 25 Mar 2008
Juhani T. Linnainmaa
Dartmouth College - Tuck School of Business
Downloads 186 (278,621)
Citation 1

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Parameter uncertainty, learning, limited stock market participation

37.

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 96 (463,638)

Abstract:

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38.

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 92 (479,875)
Citation 48

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39.

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

Abstract:

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Factor Portfolios, Risk Factors, Characteristics, Covariances