MARCH 2002

 

 

                                                                        V I T A

 

                                           JOSEF LAKONISHOK

 

 

 

PERSONAL DATA

 

Office Address:                        Department of Finance

                                                College of Commerce & Business Administration

                                                University of Illinois

                                                1206 S. Sixth Street

                                                Champaign, IL  61820

                                                (217) 333-7185

                                                (217) 244-1150, Fax

 

Marital Status:                          Married, 2 children

 

 

 

EDUCATION

 

1972-1976                               Cornell University

                                                Ph.D. in Business Administration

 

1974                                        Cornell University

                                                MS in Business Administration

 

1970-1972                               Tel Aviv University

                                                MBA

 

1967-1970                               Tel Aviv University

                                                BA in Economics and Statistics

PROFESSIONAL EXPERIENCE

 

1987-Present                           Department of Finance

                                                College of Commerce & Business Administration                                                                                  University of Illinois at Urbana-Champaign

                                                William G. Karnes Professor of Finance

 

1985-1987                               Johnson Graduate School of Management

                                                Cornell University

                                                Visiting Professor of Finance

 

1985-1987                               Faculty of Management

                                                Tel Aviv University

                                                Professor of Finance and Accounting

 

1983-1985                               Faculty of Management

                                                Tel Aviv University

                                                Associate Professor of Finance and Accounting

 

1981-1983                               School of Business Administration

                                                University of North Carolina at Chapel Hill                   

                                                Visiting Professor of Finance

 

1980-1981                               Faculty of Commerce & Business Administration

                                                The University of British Columbia

                                                Visiting Associate Professor of Finance

 

1976-1980                               Faculty of Management

                                                Tel Aviv University

                                                Assistant Professor of Finance

 

1972-1976                               Cornell University

                                                Teaching and Research Assistant

 

 

 

ORGANIZATIONS

 

            National Bureau of Economic Research (NBER), Research Associate.

PUBLICATIONS

 

1.      “The Level and Persistence of Growth Rates,” (with L. Chan and J. Karceski) forthcoming in Journal of Finance, 2002.

 

2.      “The Stock Market Valuation of Research and Development Expenditures,” (with L. Chan and T. Sougiannis) in Journal of Finance, December 2001.

 

3.      “On Mutual Fund Investment Styles,” (with L. Chan and H. Chen) forthcoming in Review of Financial Studies, 2001.

 

4.      “Are Insiders’ Trades Informative?” (with I. Lee) in Review of Financial Studies, Spring 2001.

 

5.      “A New Paradigm or the Same Old Hype?:  The Future of Value Versus Growth Investing,” (with L. Chan and J. Karceski) in Financial Analysts Journal, July/August 2000.

 

6.      “Stock Repurchases in Canada: Performance and Strategic Trading,” (with D. Ikenberry and T. Vermaelen) in Journal of Finance, October 2000.

 

7.      “The Profitability of Momentum Strategies,” (with L. Chan and N. Jegadeesh), Financial Analysts Journal, November/December 1999.

 

8.      “On Portfolio Optimization:  Forecasting Covariances and Choosing the Risk Model” (with L. Chan and J. Karceski), Review of Financial Studies, Winter 1999.

 

9.      “The Risk and Return from Factors,” (with L. Chan and J. Karceski), Journal of Financial and Quantitative Analysis, June 1998.

 

10.  “Institutional Equity Trading Costs:  NYSE Versus NASDAQ,” (with L. Chan), Journal of Finance, June 1997.

 

11.  “Good News for Value Stocks:  Further Evidence on Market Efficiency,” (with R. La Porta, A. Shleifer and R. Vishny), Journal of Finance, June 1997.

 

12.  “Momentum Strategies,” (with L. Chan and N. Jegadeesh), Journal of Finance, December 1996.

 

13.  “Market Underreaction to Open Market Repurchases,” (with D. Ikenberry and T. Vermaelen), Journal of Financial Economics, October-November 1995.

 

14.  “The Behavior of Stock Prices Around Institutional Trades,” (with L. Chan), Journal of Finance, September 1995.

 

 

 

15.  “Evaluating the Performance of Value versus Glamour Stocks:  The Impact of Selection Bias,” (with L. Chan and N. Jegadeesh), Journal of Financial Economics, July 1995.

 

16.  “Contrarian Investment, Extrapolation and Risk,” (with A. Shleifer and R. Vishny), Journal of Finance, December 1994.

 

17.  “Can Fundamentals Predict Japanese Stock Returns,” (with L. Chan and Y. Hamao), Financial Analysts Journal, July/August 1993.

 

18.  “Corporate Governance Through the Proxy Contest:  Evidence and Implications,” (with D. Ikenberry), The Journal of Business, July 1993.

 

19.  “Are the Reports of Beta’s Death Premature?” (with L. Chan), Journal of Portfolio Management, Summer 1993.

 

20.  “Institutional Trades and Intra-Day Stock Price Behavior,” (with L. Chan), Journal of Financial Economics, April 1993.

 

21.  “Earnings Growth and the Firm-Size Anomaly,” (with D. Givoly) in, Handbook of Security Analyst Forecasting and Asset Allocation, JAI Press, 1993.

 

22.  “Simple Technical Trading Rules and Stochastic Properties of Stock Prices,” (with W. Brock and B. LeBaron), Journal of Finance, December 1992.

 

23.  “The Impact of Institutional Trading on Stock Prices,” (with A. Shleifer and R. Vishny), Journal of Financial Economics, August 1992.

 

24.  “Robust Measurement of Beta Risk,” (with L. Chan), Journal of Financial and Quantitative Analysis, June 1992.

 

25.  “Measuring Abnormal Performance:  Do Stocks Overreact?” (with N. Chopra and J. Ritter), Journal of Financial Economics, April 1992.

 

26.  “Accommodating Outliers and Nonlinearity in Decision Models,” (with D. Kennedy and W. Shaw), Journal of Accounting, Auditing, and Finance, Spring 1992.

 

27.  “The Structure and Performance of the Money Management Industry,” (with A. Shleifer and R. Vishny), Brookings Papers on Economic Activity:  Microeconomics, 1992.

 

28.  “Fundamentals and Stock Returns in Japan,” (with L. Chan and Y. Hamao), Journal of Finance, December 1991.

 

29.  “Window Dressing by Pension Fund Managers,” (with A. Shleifer, R. Thaler, and R. Vishny), American Economic Review, May 1991.

 

30.  “Anomalous Price Behavior Around Repurchase Tender Offers,” (with T. Vermaelen), Journal of Finance, June 1990.

 

31.  “The Weekend Effect:  Trading Patterns of Individual and Institutional Investors,” (with E. Maberly), Journal of Finance, March 1990.

 

32.  “Why the Differences in Performance Measurement?” (with P. Halpern), Investing, Winter 1990.

 

33.  “Past Price Changes and Current Trading Volume,” (with S. Smidt), Journal of Portfolio Management, Summer 1989.

 

34.  “Seasonal Anomalies in Financial Markets:  A Survey,” (with D. Ikenberry) in R. Guimaraes, B. Kingsman and S. Taylor, ed., A Reappraisal of the Efficiency of Financial Markets, NATO ASI Series, Vol. 54, Springer-Verlag, 1989.

 

35.  “Trading Rules Around Repurchase Tender Offers,” (with T. Vermaelen), in R. Guimaraes, B. Kingsman and S. Taylor, ed., A Reappraisal of the Efficiency of Financial Markets, NATO ASI Series, Vol. 54, Springer-Verlag, 1989.

 

36.  “Re-Entry and the Turmoil at the Turn of the Year,” (with R. Haugen), Investment Management  Review, November/December 1988.

 

37.  “Are Seasonal Anomalies Real?  A Ninety Year Perspective,” (with S. Smidt), Review of Financial Studies, Fall 1988.

 

38.  “Divergence of Earnings Expectations:  The Effect of Stock Market Response to Earnings Signals,” (with D. Givoly) in E. Dimson, ed., Stock Market Anomalies, Cambridge University Press, 1988.

 

39.  “The Size Effect and Event Studies:  A Discussion,” In E. Dimson, ed., Stock Market Anomalies, Cambridge University Press, 1988.

 

40.  “Stock Splits and Stock Dividends:  Why, Who and When,” (with B. Lev), Journal of Finance, September 1987.

 

41.  “Aggregated Earnings Expectation and Stock Market Behavior,” (with D. Givoly), Journal of Accounting, Auditing, and Finance, Spring 1987.

 

42.  “Volume for Winners and Losers:  Taxation and Other Motives for Stock Trading,” (with S. Smidt), Journal of Finance, September 1986.

 

43.  “Tax Induced Trading Around Ex-Dividend Days,” (with T. Vermaelen), Journal of Financial Economics, July 1986.

 

 

44.  “Trading Bargains in Small Firms at Year-End,” (with S. Smidt), Journal of Portfolio Management, Spring 1986.

 

45.  “The Size Anomaly:  Does Industry Group Matter?” (with W. Carleton), Journal of Portfolio Management, Spring 1986.

 

46.  “Systematic Risk, Total Risk, and Size as Determinants of Stock Market Returns,” (with A. Shapiro), Journal of Banking and Finance, March 1986.

 

47.  “The Information Content of General Price Level Adjusted Earnings:  Some Empirical Evidence:  A Reply,” (with A. Ofer), The Accounting Review, October 1985.

 

48.  “Weekend Effects on Stock Returns:  A Reply,” (with M. Levi), Journal of Finance, March 1985.

 

49.  “Risk and Return on Equity:  The Use and Misuse of Historical Estimates,” (with W. Carleton), Financial Analysts Journal, January/February 1985.

 

50.  “The Quality of Analysts’ Forecasts of Earnings,” (with D. Givoly), Financial Analysts Journal, September/October 1984.

 

51.  “Volume and Turn-of-the-Year Behavior,” (with S. Smidt), Journal of Financial Economics, September 1984.

 

52.  “Stock Returns, Beta, Variance and Size:  An Empirical Analysis,” (with A. Shapiro), Financial Analysts Journal, July/August 1984.

 

53.  “Benefits of Bank Diversification:  The Evidence from Shareholder Returns,” (with R. Eisenbeis and R. Harris), Journal of Finance, July 1984.

 

54.  “Properties of Analysts’ Forecasts of Earnings:  A Review and Analysis of the Research,” (with D. Givoly), Journal of Accounting Literature, Spring 1984.

 

55.  “A Study of Economists’ Consensus Forecasts,” (with D. Ahlers), Management Science, October 1983.

 

56.  “Tax Reform and Ex-Dividend Day Behavior,” (with T. Vermaelen), Journal of Finance, September 1983.

 

57.  “Inflation Risk and Regulatory Lag,” (with W. Carleton and D. Chambers), Journal of Finance, May 1983.

 

58.  “Stock Prices and Financial Analysts’ Recommendations,” (with J. Bjerring and T. Vermaelen), Journal of Finance, March 1983.

 

 

 

59.  “Market Efficiency, Quality of Information and Investor’s Sophistication:  The Case of the Israeli Capital Market,” (with D. Givoly), Journal of Comparative Corporate Law and Securities Regulation, December 1982.

 

60.  “Weekend Effects on Stock Returns,” (with M. Levi), Journal of Finance, September 1982.

 

61.  “Accounting for Construction Companies, Inflation and Market Efficiency,” (with D. Givoly), The International Journal of Accounting Education and Research, Spring 1982.

 

62.  “Information Sets, Macroeconomics Reform and Stock Prices,” (with S. Sadan), Journal of Financial and Quantitative Analysis, November 1981.

 

63.  “On the Relationship Between the Performance of Mutual Funds and Their Expenses,” Journal of Bank Research, Summer 1981.

 

64.  “Financial Analysts’ Forecasts of Earnings:  Their Value of Investors,” (with D. Givoly), Journal of Banking and Finance, September 1980.

 

65.  “Stock Market Return Expectations:  Some General Properties,” Journal of Finance, September 1980.

 

66.  “Marketability Measures of Securities and Their Determinants,” Quarterly Banking Review, July 1980.

 

67.  “The Value of General Price Adjusted Data to Bond Rating,” (with A. Baran and R. Ofer), Journal of Business Finance and Accounting, Spring 1980.

 

68.  “An Analysis of the Usefulness of Disaggregated Accounting Data for Forecasts of Corporate Performance,” with A. Barnea), Decision Sciences, January 1980.

 

69.  “The Information Content of General Price Level Adjusted Earnings:  Some Empirical Evidence,” (with A. Baran and R. Ofer), The Accounting Review, January 1980.

 

70.  “The Effect of Price Level Uncertainty on the Determination of Nominal Interest Rates:  Some Empirical Evidence,” (with A. Barnea and A. Dotan), Southern Economic Journal, October 1979.

 

71.  “The Information Content of Financial Analysts’ Forecasts of Earnings:  Some Evidence of Semi-Strong Inefficiency,” (with D. Givoly), Journal of Accounting and Economics, Winter 1979.

 

72.  “Evaluation of Security Analysts’ Forecasts,” (with T. Crichfield and T. Dyckman), The Accounting Review, July 1978.

 

 

 

73.  “The Information Content of GPL Restatement and Its Effect on Israeli Companies,” (with A. Baran and R. Ofer), Proceedings of the Israeli Economic Conference 1977.

 

74.  “The Relationship Between Risk of Default and Return on Equity:  An Empirical Investigation,” (with A. Arbel and R. Kolodny), Journal of Financial and Quantitative Analysis, November 1977.

 

75.  “Restated Financial Statements in Periods of Inflation:  The Impact of the Reporting Changes on Industrial Companies in Israel,” (with A. Baran), The Israel Review of Business Economics, February 1977.

 

 

BOOKS

 

The Incredible January Effect‑-The Stock Market's Unsolved Mystery, with R. Haugen, Dow Jones - Irwin:  Homewood, IL, 1988.  Translated to Japanese in 1989 and Spanish 1998.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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