Publications
Prof. Lewellen's research focuses on the behavior of stock prices and the performance of investment strategies, with additional interests in corporate finance.
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- Institutional investors and the limits of arbitrage. Journal of Financial Economics 102, 2011, pp. 62-80.
- Accounting anomalies and fundamental analysis: An alternative view. Journal of Accounting and Economics 50, 2010, pp. 455-466.
- A skeptical appraisal of asset pricing tests, with S. Nagel and J. Shanken. Journal of Financial Economics 96, 2010, pp. 175-194.
- The conditional CAPM does not explain asset-pricing anomalies, with S. Nagel. Journal of Financial Economics 82, 2006, pp. 289-314.
- Stock returns, aggregate earnings surprises, and behavioral finance, with S.P. Kothari and J. Warner. Journal of Financial Economics 79, 2006, pp. 537-568.
- Predicting returns with financial ratios. Journal of Financial Economics 74, 2004, pp. 209-235.
- Discussion of "The Internet downturn: Finding valuation factors in spring 2000. Journal of Accounting and Economics 34, 2003, pp. 237-247.
- Learning, asset-pricing tests, and market efficiency, with Jay Shanken. Journal of Finance 57, 2002, pp. 1113-1145.
- Momentum and autocorrelation in stock returns. Review of Financial Studies 15, 2002, pp. 533-563.
- The time-series relations among expected return, risk, and book-to-market. Journal of Financial Economics 54, 1999, pp. 5-43.
- On the predictability of stock returns: Theory and evidence. Dissertation (Simon Graduate School of Business, University of Rochester), 2000.