Research


Click on the links of the titles for a PDF version of the listed research papers. For additional research papers, please contact our office.

March 2013
Predicting Market Returns Using Aggregate Implied Cost of Capital
Authors: Yan Li, David T. Ng, and Bhaskaran Swaminathan

November 2012
Predicting Time-varying Value Premium Using the Implied Cost of Capital: Implications for Countercyclical Risk, Mispricing and Style Investing
Authors: Yan Li, David T. Ng, and Bhaskaran Swaminathan

April 2009
Testing International Asset Pricing Models Using Implied Costs of Capital
Authors: Charles Lee, David Ng, and Bhaskaran Swaminathan

April 2009
Benchmarking Money Manager Performance: Issues and Evidence
Authors: Louis K.C. Chan, Stephen G. Dimmock, and Josef Lakonishok

March 2009
How Does the Corporate Bond Market Value Capital Investments and Accruals?
Authors: Sanjeev Bhorjraj and Bhaskaran Swaminathan

December 2008
Estimating the Intertemporal Risk-Return Tradeoff Using the Implied Cost of Capital
Authors: Lubos Pastor, Meenaskshi Sinha, and Bhaskaran Swaminathan

March 2007
Industry Classifications and the Comovement of Stock Returns
Authors: Louis K.C. Chan, Josef Lakonishok, and Bhaskaran Swaminathan

June 2006
Earnings Quality & Stock Return
Authors: Konan Chan, Louis K.C. Chan, Narasimhan Jegadeesh, and Josef Lakonishok

January 2006
Estimating the Intertemporal Risk-Return Tradeoff Using the Implied Cost of Capital
Authors: Lubos Pastor, Meenakshi Sinha, and Bhaskaran Swaminathan

December 2005
Do Stock Prices Underreact to SEO Announcements? Evidence from SEO Valuation
Authors: Amiyatosh Purnanandam and Bhaskaran Swaminathan

July 2004
Value & Growth Investing: A Review & Update
Authors: Louis K. C. Chan and Josef Lakonishok

February 2004
Earnings Momentum in International Markets: Global Evidence of Sluggish Price Adjustment Following Analyst Forecast Revisions
Authors: Dong Hong, Charles Lee, and Bhaskaran Swaminathan

February 2003
The Level and Persistence of Growth Rates
Authors: Louis K. C. Chan and Josef Lakonishok

Winter 2002
On Mutual Fund Investment Styles
Authors: Louis K. C. Chan, Jason Karceski, and Josef Lakonishok

December 2001
The Stock Market Valuation of Research and Development Expenditures
Authors: Louis K. C. Chan, Josef Lakonishok, and Theodore Sougiannis

Spring 2001
Are Insider Trades Informative?
Authors: Josef Lakonishok and Inmoo Lee

October 2000
Price Momentum & Trading Value
Authors: Charles Lee and Bhaskaran Swaminathan

Summer 2000
New Paradigm or Some Old Hype in Equity Investing?
Authors: Louis K. C. Chan, Jason Karceski, and Josef Lakonishok

Winter 1999
On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model
Authors: Louis K. C. Chan, Jason Karceski, and Josef Lakonishok

May 1999
Stock Repurchases in Canada: Performance and Strategic Trading
Authors: David Ikenberry, Josef Lakonishok, and Theo Vermaelen

June 1998
The Risk and Return from Factors (Journal of Financial and Quantitative Analysis)
Authors: Charles Lee, Bhaskaran Swaminathan, Louis K. C. Chan, Narasimhan Jegadeesh, and Josef Lakonishok

March 1998
A Model of Investor Sentiment
Authors: Nicholas Barberis, Andrei Shleifer, and Robert Vishny

December 1996
Momentum Strategies
Authors: Louis K. C. Chan, Narasimhan Jegadeesh, and Josef Lakonishok

October 1995
Good News for Value Stocks: Further Evidence on Market Efficiency
Authors: Rafael LaPorta, Josef Lakonishok, Andrei Shleifer, and Robert Vishny

Fall 1995
The Behavior of Stock Prices Around Institutional Trades
Authors: Louis K.C. Chan and Josef Lakonishok

February 1995
Market Underreaction to Open Market Share Repurchases
Authors: David Ikenberry, Josef Lakonishok, and Theo Vermaelen

December 1994
Contrarian Investment, Extrapolation and Risk
Authors: Josef Lakonishok, Andrei Shleiffer, and Robert Vishny

Summer 1993
Are the Reports of Beta’s Death Premature?
Authors: Louis K. C. Chan and Josef Lakonishok

Fall 1991
Measuring Abnormal Performance – Do Stocks Overreact?
Authors: Navin Chopra, Josef Lakonishok and Jay R. Ritter

January 1985
Systematic Risk, Total Risk and Size as Determinants of Stock Market Returns
Authors: Josef Lakonishok and Alan C. Shapiro

Summer 1979
The Information Content of Financials Analysts’ Forecasts of Earnings
Authors: Dan Givoly and Josef Lakonishok