Juhani T. Linnainmaa

USC Marshall School of Business

Professor of Finance

Marshall School of Business

Los Angeles, CA 90089

United States

National Bureau of Economic Research (NBER)

Research Associate (AP)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

32

DOWNLOADS
Rank 591

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Top 591

in Total Papers Downloads

34,144

CITATIONS
Rank 4,175

SSRN RANKINGS

Top 4,175

in Total Papers Citations

129

Scholarly Papers (32)

1.

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, USC Marshall School of Business and Aalto University
Downloads 3,305 (2,941)

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2.

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 USC Marshall School of Business
Downloads 3,090 (3,301)
Citation 38

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Intelligence, household finance, stock market participation

3.

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

Number of pages: 35 Posted: 17 Feb 2019
Research Affiliates, LLC, Duke University - Fuqua School of Business, Research Affiliates LLC and USC Marshall School of Business
Downloads 2,961 (3,546)

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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

4.

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 J. Gerakos, Juhani T. Linnainmaa and Valeri V. Nikolaev
University of Chicago - Booth School of Business, Tuck School of Business at Dartmouth College, USC Marshall School of Business and University of Chicago Booth School of Business
Downloads 2,897 (3,678)
Citation 1

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

5.

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 J. Gerakos, Juhani T. Linnainmaa and Valeri V. Nikolaev
University of Chicago - Booth School of Business, Tuck School of Business at Dartmouth College, USC Marshall School of Business and University of Chicago Booth School of Business
Downloads 2,441 (4,924)
Citation 2

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

6.

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 J. Gerakos and Juhani T. Linnainmaa
Tuck School of Business at Dartmouth College and USC Marshall School of Business
Downloads 2,149 (6,077)

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

7.

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
USC Marshall School of Business, Federal Reserve Bank of Chicago and Indiana University - Kelley School of Business - Department of Finance
Downloads 1,807 (8,200)

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

8.

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 USC Marshall School of Business
Downloads 1,796 (8,284)
Citation 18

Abstract:

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Intelligence, household finance, trading performance

9.

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 LLC and USC Marshall School of Business
Downloads 1,717 (8,939)

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factor momentum, factor returns, industry momentum

10.

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 J. Gerakos, Juhani T. Linnainmaa and Valeri V. Nikolaev
University of Chicago - Booth School of Business, Tuck School of Business at Dartmouth College, USC Marshall School of Business and University of Chicago Booth School of Business
Downloads 1,515 (10,928)

Abstract:

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G11, G12, M41

11.

The Anatomy of Day Traders

AFA 2004 San Diego Meetings
Number of pages: 33 Posted: 08 Dec 2003
Juhani T. Linnainmaa
USC Marshall School of Business
Downloads 1,117 (17,571)
Citation 10

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Asset Managers: Institutional Performance and Smart Betas

Chicago Booth Research Paper No. 16-02
Number of pages: 63 Posted: 17 Feb 2016 Last Revised: 02 Mar 2018
Joseph J. Gerakos, Juhani T. Linnainmaa and Adair Morse
Tuck School of Business at Dartmouth College, USC Marshall School of Business and University of California, Berkeley - Haas School of Business
Downloads 1,013 (19,976)

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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 J. Gerakos, Juhani T. Linnainmaa and Adair Morse
Tuck School of Business at Dartmouth College, USC Marshall School of Business and University of California, Berkeley - Haas School of Business
Downloads 58 (355,670)

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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
USC Marshall School of Business and The Wharton School - University of Pennsylvania; National Bureau of Economic Research (NBER)
Downloads 910 (23,385)

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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
USC Marshall School of Business and The Wharton School - University of Pennsylvania; National Bureau of Economic Research (NBER)
Downloads 39 (422,920)
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14.

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 USC Marshall School of Business
Downloads 726 (32,704)
Citation 2

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Investor behavior, portfolio choice, product market, ownership

15.

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
USC Marshall School of Business
Downloads 702 (34,216)
Citation 19

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investor behavior, individual investors, limit order effect

16.

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, USC Marshall School of Business, Federal Reserve Bank of Chicago and Indiana University - Kelley School of Business - Department of Finance
Downloads 626 (39,884)
Citation 2

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17.

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 USC Marshall School of Business
Downloads 605 (41,678)
Citation 1

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Bayesian, Multi-period Investment, Nonlinear Estimation

Factor Momentum and the Momentum Factor

Number of pages: 53 Posted: 07 Aug 2017 Last Revised: 08 Feb 2019
Sina Ehsani and Juhani T. Linnainmaa
Saint Xavier University and USC Marshall School of Business
Downloads 486 (54,617)

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Anomalies; Autocorrelation; Factors; Momentum

19.

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
USC Marshall School of Business
Downloads 497 (53,681)
Citation 3

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Mutual Funds, Performance Evaluation, Reverse Survivorship Bias

20.

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
USC Marshall School of Business, Massachusetts Institute of Technology and University of Houston - C.T. Bauer College of Business
Downloads 497 (53,681)

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

21.

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
USC Marshall School of Business and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 431 (64,065)
Citation 8

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22.

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
USC Marshall School of Business and HEC Paris - Finance Department
Downloads 421 (65,916)
Citation 4

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Market microstructure, price impact, instrumental variables

23.

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 J. Gerakos and Juhani T. Linnainmaa
Tuck School of Business at Dartmouth College and USC Marshall School of Business
Downloads 400 (70,086)

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24.

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
USC Marshall School of Business
Downloads 383 (73,733)
Citation 12

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

25.

The Earnings Announcement Return Cycle

Number of pages: 48 Posted: 08 Jun 2018 Last Revised: 08 Feb 2019
Juhani T. Linnainmaa and Conson Zhang
USC Marshall School of Business and University of Southern California - Marshall School of Business - Finance and Business Economics Department
Downloads 321 (90,334)

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Long-Term Discount Rates Do Not Vary Across Firms

Number of pages: 50 Posted: 27 Feb 2018 Last Revised: 14 Feb 2019
Matti Keloharju, Juhani T. Linnainmaa and Peter M. Nyberg
Aalto University School of Business, USC Marshall School of Business and Aalto University
Downloads 261 (112,296)

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

27.

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
USC Marshall School of Business
Downloads 265 (111,062)
Citation 2

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Market microstructure, information content of stock trades, investor behavior

28.

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 LLC and USC Marshall School of Business
Downloads 251 (117,992)

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Option Prices, Cross-Section, Equity Returns, Options

29.

Seasonal Reversals in Expected Stock Returns

Number of pages: 42 Posted: 15 Nov 2018
Matti Keloharju, Juhani T. Linnainmaa and Peter M. Nyberg
Aalto University School of Business, USC Marshall School of Business and Aalto University
Downloads 249 (118,453)

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seasonalities, seasonal reversals, expected returns

30.

Learning and Stock Market Participation

Number of pages: 43 Posted: 25 Mar 2008
Juhani T. Linnainmaa
USC Marshall School of Business
Downloads 129 (213,255)
Citation 4

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Parameter uncertainty, learning, limited stock market participation

31.

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, USC Marshall School of Business, Federal Reserve Bank of Chicago and Indiana University - Kelley School of Business - Department of Finance
Downloads 53 (366,028)
Citation 2

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32.

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, USC Marshall School of Business and Aalto University - School of Business
Downloads 26 (471,324)
Citation 1

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