Research & Publications

Prof. Lewellen's research focuses on the behavior of stock prices and the performance of investment strategies, with additional interests in corporate finance.

Working papers

Institutional investors and corporate governance: The incentive to be engaged, with K Lewellen, 2020

Earnings expectations and corporate investment, with SP Kothari and J Warner, 2020.

The behavior of aggregate corporate investment, with SP Kothari and J Warner, 2018.

Internal equity, taxes, and capital structure, with K Lewellen, 2005.

Temporary movements in stock prices, 2002.


Why do accruals predict earnings?, with R Resutek. Journal of Accounting and Economics 67, 336-356.

The predictive power of investment and accruals, with R Resutek. Review of Accounting Studies 21, 1046-1080.

The cross section of expected stock returns. Critical Finance Review 4, 1-44.

Investment and cashflow: New evidence, with K Lewellen. Journal of Financial and Quantitative Analysis 51, 1135-1164.

Institutional investors and the limits of arbitrageJournal 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 SP 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 J 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.