Faculty Directory
Jonathan W. Lewellen
Associate Professor of Business Administration
E-Mailjonathan.w.lewellen@tuck.dartmouth.edu
Phone603-646-8650
DegreeBS, Indiana University, 1994; MS, University of Rochester, 1997; PhD, University of Rochester, 2000
AREAS OF EXPERTISEInvestments, stock market efficiency, financial aspects of managerial decisions
Current Research Topics
Performance of institutional investors, tests of asset pricing models, link between corporate investment and cashflow
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; "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; with S. Nagel and J. Shanken, "A Skeptical Appraisal of Asset Pricing Tests," Journal of Financial Economics, 96(2), 2010
Working Papers
"Institutional Investors and the Limits of Arbitrage"; with K. Lewellen, "Investment and Cashflow"; "Accounting Anomalies and Fundamental Analysis: An Alternative View"
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
Personal Website
Jonathan Lewellen teaches Tuck' core Capital Markets class. His research focuses on stock prices and investor behavior, with additional interests in corporate finance. He currently studies tests of the CAPM, herding and price pressure in stock markets, and the impact of cashflow on firms' investment decisions.