Juhani Linnainmaa

Juhani Linnainmaa is a finance professor who studies asset pricing, investments, and household finance. From 2006 to 2016, he was a faculty member of the University of Chicago’s Booth School of Business. He joined the Tuck School of Business faculty in 2019. Linnainmaa is a research associate at the National Bureau of Economic Research and a recipient of the Amundi Smith Breeden Prize (2018), the Marshall E. Blume Prize (2016), and the CFA Society & Hillsdale Canadian Investment Research Award (2015). As a finance professor at Tuck, he teaches an elective course in investments.

AWARDS

• Bernstein Fabozzi/Jacobs Levy Award for an Outstanding Article: “Alice’s Adventures in Factorland: Three Blunders That Plague Factor Investing”, 2020
• Q-Group’s Jack Treynor Prize for “Factor Momentum and the Momentum Factor”, 2019
• Alpha Letters / CQA Prize Winner at Chicago Quantitative Alliance (CQA) Spring 2019 Conference for “The Earnings Announcement Return Cycle”
• Amundi Smith Breeden Prize for “Retail Financial Advice: Does One Size Fit All?", 2018
• Marshall E. Blume Prize for “The History of the Cross Section of Stock Returns,” 2017
• First prize in the academic competition at the Chicago Quantitative Alliance (CQA) fall 2015 conference for “Accruals, Cash Flows, and Operating Profitability in the Cross Section of Stock Returns”
• Best discussant award at the 2015 Red Rock Finance conference
• AQR Insight Award for Distinguished Paper 2015 for “Common Factors in Return Seasonalities”
• 2015 CFA Society Toronto & Hillsdale Canadian Investment Research Award for “Retail Financial Advice: Does One Size Fit All?”
• Share of the “Best Finance Papers of 2012” pool awarded to papers “IQ, Trading Behavior, and Performance,” “Lack of Anonymity and the Inference from Order Flow,” and “Do Investors Buy What They Know? Product Market Choices and Investment Decisions” by the Foundation for the Advancement of Finnish Securities Market, 2012
• Second prize in the academic competition at the Chicago Quantitative Alliance (CQA) fall 2012 conference for “Decomposing Value”
• Two-fifths share of the “Best Finance Papers of 2011” pool awarded to “Why Do (Some) Households Trade So Much?” and “IQ and Stock Market Participation” by the Foundation for the Advancement of Finnish Securities Market, 2012
• Best finance paper award for “Do Limit Orders Alter Inferences about Investor Performance and Behavior?” from the Foundation for the Advancement of Finnish Securities Market, 2011
• Goldman Sachs International Best Conference Paper Award (runner-up), “IQ, Trading Behavior, and Performance,” (with Mark Grinblatt and Matti Keloharju) at the European Finance Association Conference, 2010
• Okobank Group Research Foundation award for best doctoral thesis, 2005
• Citibank award for best MSc (Econ) dissertation, 2001

WORKING PAPERS

• With M. Keloharju and P. Nyberg, “Long-Term Discount Rates Do Not Vary Across Firms”
• With R. Arnott, M. Clements, and V. Kalesnik, “Factor Momentum”
• With R. Ball, J. Gerakos, and V. Nikolaev, “Earnings, Retained Earnings, and Book-to-Market in the Cross Section of Expected Returns
• With M. Clements and V. Kalesnik, “Informed Traders, Long-Dated Options, and the Cross Section of Stock Returns”
• With A. Moreira, “Hedge Funds, Signaling, and Optimal Lockups”
• With J. Gerakos and A. Morse, “Asset Managers: Institutional Performance and Smart Betas”
• With B. Melzer and A. Previtero, “The Misguided Beliefs of Financial Advisors”
• With R. Heimer, “Mitigating Adverse Selection and Picking-Off Risks: A Field Experiment”

SELECTED PUBLICATIONS

• With M. Roberts, “The History of the Cross Section of Stock Returns,” Review of Financial Studies, forthcoming
• With J. Gerakos, “Decomposing Value,” Review of Financial Studies, forthcoming
• With S. Foerster, B. Melzer, and A. Previtero, “Retail Financial Advice: Does One Size Fit All?”, Journal of Finance, 72(4), 2016
• With W. Torous and J. Yae, “Reading the Tea Leaves: Model Uncertainty, Robust Forecasts, and the Autocorrelation of Analysts’ Forecast Errors,” Journal of Financial Economics, 122(1), 2016
• With R. Ball, J. Gerakos, and V. Nikolaev, “Accruals, Cash Cows, and Operating Profitability in the Cross Section of Stock Returns,” Journal of Financial Economics, 121(1), 2016
• With J. Gerakos, “Market Reactions to Tangible and Intangible Information Revisited,” Critical Finance Review, 2016
• With M. Keloharju and P. Nyberg, “Return Seasonalities,” Journal of Finance, 71(4), 2015
• With R. Ball, Joseph Gerakos, and V. Nikolaev, “Deflating Profitability,” Journal of Financial Economics, 117(2), 2015
• “Reverse Survivorship Bias,” Journal of Finance, 68(3), 2013
• With M. Keloharju and S. Knüpfer, “Do Investors Buy What They Know? Product Market Choices and Investment Decisions,” Review of Financial Studies, 25(10), 2012
• With G. Saar, “Lack of Anonymity and the Inference from Order Flow,” Review of Financial Studies, 25(5), 2012
• With M. Grinblatt and M. Keloharju, “IQ, Trading Behavior, and Performance,” Journal of Financial Economics, 104(2), 2012; reprinted in Household Finance, M. Haliassos (ed.), The International Library of Critical Writings in Economics series, Edward Elgar Publishing, 2015
• With M. Grinblatt and M. Keloharju, “IQ and Stock Market Participation,” Journal of Finance, 66(6), 2011; reprinted in Household Finance, M. Haliassos (ed.), The International Library of Critical Writings in Economics series, Edward Elgar Publishing, 2015
• “Why Do (Some) Households Trade So Much?", Review of Financial Studies, 24(5), 2011
• With M. Grinblatt, “Jensen’s Inequality, Parameter Uncertainty, and Multi-Period Investment,” Review of Asset Pricing Studies, 1(1), 2011
• “Do Limit Orders Alter Inferences about Investor Performance and Behavior?” Journal of Finance, 65(4), 2010