Personal website

Jonathan W. Lewellen

Associate Professor of Business Administration

E-Mail: jonathan.w.lewellen@tuck.dartmouth.edu Phone: 603 646 8650

BS, Indiana University, 1994; MS, University of Rochester, 1997; PhD, University of Rochester, 2000

Areas of expertise

Investments, stock market efficiency, financial aspects of managerial decisions

Current research topics

Performance of institutional investors, tests of asset pricing models, herding and price pressure in stock markets

Selected Publications

"The Time-Series Relations Among Expected Return, Risk, and Book-to-Market," Journal of Financial Economics, 54(1), 1999; "Momentum and Autocorrelation in Stock Returns," Review of Financial Studies, 15(2), 2002; with J. Shanken, "Learning, Asset-Pricing Tests, and Market Efficiency," Journal of Finance, 57(3), 2002; "Discussion of ‘The Internet Downturn: Finding Valuation Factors in Spring 2000’," Journal of Accounting and Economics, 34, 2003; "Predicting Returns with Financial Ratios," Journal of Financial Economics, 74(2), 2004; with S.P. Kothari and J. Warner, "Stock Returns, Aggregate Earnings Surprises, and Behavioral Finance," Journal of Financial Economics, 79(3), 2006; with S. Nagel, "The Conditional CAPM Does Not Explain Asset-Pricing Anomalies," Journal of Financial Economics, 82(2), 2006

Working Papers

With K. Lewellen, "Internal Equity, Taxes, and Capital Structure"; "Institutional Investors and the Limits of Arbitrage"; with S. Nagel and J. Shanken, "A Skeptical Appraisal of Asset-Pricing Tests"

Awards

Outstanding Doctoral Student Paper, Southern Finance Association, 1997; Olin Fellowship, 1997–98, Richard L. Rosenthal Award for Innovation in Investment Management, 2002, Simon Graduate School of Business Administration, University of Rochester; Fama/DFA Prize for Capital Markets and Asset Pricing, Journal of Financial Economics, 2007, for "The Conditional CAPM Does Not Explain Asset-Pricing Anomalies"

Professional Activities

Academic positions: Assistant Professor of Finance, 1999–2001, Jon D. Gruber Assistant Professor of Finance, 2001–04, Jon D. Gruber Associate Professor of Finance, 2004–05, Sloan School of Management, Massachusetts Institute of Technology; Faculty Research Fellow, 2002–06, Research Associate, 2006– present, National Bureau of Economic Research; Tuck School of Business, 2005– present

Editorial positions: Ad Hoc Referee, Econometrica, European Finance Review, Journal of Accounting and Economics, Journal of Business, Journal of Empirical Finance, Journal of Finance, Journal of Financial and Quantitative Analysis, Journal of Financial Economics, Review of Finance, Review of Financial Studies