Juhani T. Linnainmaa

Dartmouth College - Tuck School of Business

National Bureau of Economic Research (NBER)

Research Associate (AP)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

34

DOWNLOADS
Rank 367

SSRN RANKINGS

Top 367

in Total Papers Downloads

50,636

SSRN CITATIONS
Rank 2,166

SSRN RANKINGS

Top 2,166

in Total Papers Citations

350

CROSSREF CITATIONS

216

Scholarly Papers (34)

1.

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

Number of pages: 35 Posted: 17 Feb 2019 Last Revised: 11 Apr 2019
Research Affiliates, LLC, Duke University - Fuqua School of Business, Research Affiliates Global Advisors and Dartmouth College - Tuck School of Business
Downloads 6,150 (1,222)
Citation 6

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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

2.

Reports of Value’s Death May Be Greatly Exaggerated

Number of pages: 38 Posted: 02 Dec 2019 Last Revised: 23 Oct 2020
Research Affiliates, LLC, Duke University - Fuqua School of Business, Research Affiliates Global Advisors and Dartmouth College - Tuck School of Business
Downloads 6,128 (1,232)

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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

3.

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 3,674 (3,005)
Citation 9

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4.

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 3,535 (3,215)
Citation 75

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Intelligence, household finance, stock market participation

5.

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 3,193 (3,814)
Citation 35

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

6.

Factor Momentum

Number of pages: 66 Posted: 12 Feb 2018 Last Revised: 05 Feb 2019
Robert D. Arnott, Mark Clements, Vitali Kalesnik and Juhani T. Linnainmaa
Research Affiliates, LLC, Research Affiliates, LLC, Research Affiliates Global Advisors and Dartmouth College - Tuck School of Business
Downloads 2,904 (4,507)
Citation 22

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factor momentum, factor returns, industry momentum

7.

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 2,571 (5,506)
Citation 33

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

8.

The Misguided Beliefs of Financial Advisors

Kelley School of Business Research Paper No. 18-9
Number of pages: 66 Posted: 20 Jan 2018 Last Revised: 23 May 2018
Juhani T. Linnainmaa, Brian Melzer and Alessandro Previtero
Dartmouth College - Tuck School of Business, Federal Reserve Bank of Chicago and Indiana University - Kelley School of Business - Department of Finance
Downloads 2,435 (6,025)
Citation 29

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

9.

Decomposing value

Fama-Miller Working Paper, Chicago Booth Research Paper No. 12-18
Number of pages: 44 Posted: 13 Jun 2012 Last Revised: 24 Dec 2016
Joseph Gerakos and Juhani T. Linnainmaa
Tuck School of Business at Dartmouth College and Dartmouth College - Tuck School of Business
Downloads 2,317 (6,559)
Citation 15

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

10.

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 2,036 (8,157)
Citation 40

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Intelligence, household finance, trading performance

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 1,892 (9,229)
Citation 11

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G11, G12, M41

12.
Downloads 1,833 ( 9,695)
Citation 3

Factor Momentum and the Momentum Factor

Number of pages: 76 Posted: 07 Aug 2017 Last Revised: 12 May 2020
Sina Ehsani and Juhani T. Linnainmaa
Northern Illinois University and Dartmouth College - Tuck School of Business
Downloads 1,793 (9,852)
Citation 3

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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
Sina Ehsani and Juhani T. Linnainmaa
Northern Illinois University and Dartmouth College - Tuck School of Business
Downloads 40 (480,470)
Citation 1

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13.
Downloads 1,247 ( 17,760)
Citation 53

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 1,199 (18,523)
Citation 3

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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
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 48 (445,693)
Citation 29

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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 1,143 (19,856)
Citation 6

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Asset Managers: Institutional Performance and Smart Betas

NBER Working Paper No. w22982
Number of pages: 64 Posted: 27 Dec 2016
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 89 (320,145)
Citation 1

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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 1,219 (18,371)
Citation 15

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16.

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, BI Norwegian Business School and Dartmouth College - Tuck School of Business
Downloads 754 (36,647)
Citation 5

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Investor behavior, portfolio choice, product market, ownership

17.

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 728 (38,408)
Citation 30

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investor behavior, individual investors, limit order effect

18.

Retail Financial Advice: Does One Size Fit All?

Journal of Finance, Forthcoming, Fama-Miller Working Paper, Chicago Booth Research Paper No. 14-38
Number of pages: 55 Posted: 12 Nov 2014 Last Revised: 12 Dec 2015
University of Western Ontario - Richard Ivey School of Business, Dartmouth College - Tuck School of Business, Federal Reserve Bank of Chicago and Indiana University - Kelley School of Business - Department of Finance
Downloads 676 (42,493)
Citation 1

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19.

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 647 (45,041)
Citation 1

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Bayesian, Multi-period Investment, Nonlinear Estimation

20.

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 602 (49,528)
Citation 4

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seasonalities, seasonal reversals, expected returns

21.

The Earnings Announcement Return Cycle

Number of pages: 48 Posted: 08 Jun 2018 Last Revised: 08 Feb 2019
Juhani T. Linnainmaa and Conson Zhang
Dartmouth College - Tuck School of Business and University of Southern California - Marshall School of Business - Finance and Business Economics Department
Downloads 563 (53,874)
Citation 3

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22.

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 522 (59,375)
Citation 2

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Mutual Funds, Performance Evaluation, Reverse Survivorship Bias

23.

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 513 (60,667)
Citation 3

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

24.

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 444 (72,467)
Citation 7

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Long-Term Discount Rates Do Not Vary Across Firms

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 59 Posted: 27 Feb 2018 Last Revised: 02 Oct 2020
Matti Keloharju, Juhani T. Linnainmaa and Peter M. Nyberg
Aalto University School of Business, Dartmouth College - Tuck School of Business and Aalto University
Downloads 428 (75,009)

Abstract:

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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
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 13 (649,703)
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26.

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 440 (73,246)
Citation 10

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Market microstructure, price impact, instrumental variables

27.

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 426 (76,161)
Citation 1

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28.

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 398 (82,418)
Citation 6

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

29.

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
Research Affiliates, LLC, Research Affiliates Global Advisors and Dartmouth College - Tuck School of Business
Downloads 329 (102,483)

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Option Prices, Cross-Section, Equity Returns, Options

30.

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 277 (123,287)
Citation 4

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Market microstructure, information content of stock trades, investor behavior

31.

Time-Series Efficient Factors

Tuck School of Business Working Paper No. 3555473
Number of pages: 71 Posted: 01 Apr 2020
Sina Ehsani and Juhani T. Linnainmaa
Northern Illinois University and Dartmouth College - Tuck School of Business
Downloads 262 (130,745)

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Factors, Asset Pricing Models, Anomalies, Momentum

32.

Learning and Stock Market Participation

Number of pages: 43 Posted: 25 Mar 2008
Juhani T. Linnainmaa
Dartmouth College - Tuck School of Business
Downloads 144 (225,321)
Citation 1

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Parameter uncertainty, learning, limited stock market participation

33.

Retail Financial Advice: Does One Size Fit All?

NBER Working Paper No. w20712
Number of pages: 52 Posted: 01 Dec 2014
University of Western Ontario - Richard Ivey School of Business, Dartmouth College - Tuck School of Business, Federal Reserve Bank of Chicago and Indiana University - Kelley School of Business - Department of Finance
Downloads 59 (398,952)
Citation 16

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34.

Common Factors in Return Seasonalities

NBER Working Paper No. w20815
Number of pages: 57 Posted: 05 Jan 2015 Last Revised: 16 Jan 2015
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 45 (449,677)

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