Jonathan W. Lewellen



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

Tuck School of Business at Dartmouth
100 Tuck Hall
Hanover, NH 03755
Tel: 603-646-8650
Fax: 603-646-1698