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

Working papers

The ownership structure of U.S. corporations, with K Lewellen, 2022

How many factors?, 2022

The autocorrelation of stock and bond returns, 1960-2019, 2022

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.

Publications

Institutional investors and corporate governance: The incentive to be engaged, with K Lewellen, Journal of Finance 77, 213-264.

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 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 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.