David A. Lesmond

Tulane University - A.B. Freeman School of Business

Assistant Professor

7 McAlister Drive

511 Goldring-Woldenberg Hall

New Orleans, LA 70118

United States

SCHOLARLY PAPERS

13

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7,853

SSRN CITATIONS
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Top 5,233

in Total Papers Citations

226

CROSSREF CITATIONS

26

Scholarly Papers (13)

1.

Corporate Yield Spreads and Bond Liquidity

Number of pages: 42 Posted: 07 Feb 2004
David A. Lesmond, Long Chen and Jason Zhanshun Wei
Tulane University - A.B. Freeman School of Business, Luohan Academy and University of Toronto - Rotman School of Management
Downloads 2,467 (6,576)
Citation 143

Abstract:

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2.

The Illusory Nature of Momentum Profits

Number of pages: 48 Posted: 29 May 2003
David A. Lesmond, Michael J. Schill and Chunsheng Zhou
Tulane University - A.B. Freeman School of Business, University of Virginia - Darden School of Business and Peking University - Guanghua School of Management - Finance
Downloads 2,041 (8,968)
Citation 31

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Trading Strategies, Momentum, Transaction Costs

3.

Capital Structure and Equity Liquidity

Robert H. Smith School Research Paper No. RHS 06-067
Number of pages: 52 Posted: 19 Mar 2008 Last Revised: 03 Feb 2009
David A. Lesmond, Philip F. O'Connor and Lemma W. Senbet
Tulane University - A.B. Freeman School of Business, University of Auckland - Department of Accounting and Finance and University of Maryland - Robert H. Smith School of Business
Downloads 1,023 (26,052)
Citation 15

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Liquidity Costs, Capital Structure

4.

Liquidity and Credit Risk in Emerging Debt Markets

Number of pages: 45 Posted: 25 Mar 2008
John Hund and David A. Lesmond
University of Georgia and Tulane University - A.B. Freeman School of Business
Downloads 667 (47,252)
Citation 54

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liquidity, emerging markets, credit risk, sovereign debt

5.

Liquidity Biases and the Pricing of Cross-Sectional Idiosyncratic Volatility Around the World

AFA 2012 Chicago Meetings Paper
Number of pages: 46 Posted: 19 Mar 2011 Last Revised: 29 Aug 2014
Yufeng Han, Ting Hu and David A. Lesmond
University of North Carolina (UNC) at Charlotte - Finance, Wuhan University - School of Economics and Management and Tulane University - A.B. Freeman School of Business
Downloads 459 (75,460)
Citation 18

Abstract:

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Cross-Sectional Return, International Markets, Idiosyncratic Volatility, Bid-Ask Spread

Idiosyncratic Volatility and Liquidity Costs

Number of pages: 45 Posted: 22 Mar 2009
David A. Lesmond and Yufeng Han
Tulane University - A.B. Freeman School of Business and University of North Carolina (UNC) at Charlotte - Finance
Downloads 221 (165,733)

Abstract:

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Cross-Sectional Return, Idiosyncratic Volatility, Asset Pricing Model, Zero Returns, Bid-Ask Spread, Liquidity Costs

Idiosyncratic Volatility and Liquidity Costs

Number of pages: 46 Posted: 19 Feb 2009
David A. Lesmond
Tulane University - A.B. Freeman School of Business
Downloads 89 (342,554)

Abstract:

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7.

Closed-End Funds

Number of pages: 60 Posted: 25 Nov 2015 Last Revised: 14 Dec 2020
David A. Lesmond and George Nishiotis
Tulane University - A.B. Freeman School of Business and University of Cyprus-Faculty of Economics and Management-Department of Accounting and Finance
Downloads 198 (184,077)
Citation 1

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Closed-end funds, Bid-Ask Spread, Investor Sentiment

What Drives the Trend and Behavior in Aggregate (Idiosyncratic) Variance? Follow the Bid-Ask Bounce

Paris December 2017 Finance Meeting EUROFIDAI - AFFI
Number of pages: 61 Posted: 06 Jun 2017 Last Revised: 03 Jul 2017
David A. Lesmond, Xuhui (Nick) Pan and Yihua Zhao
Tulane University - A.B. Freeman School of Business, University of Oklahoma and Tulane University - A.B. Freeman School of Business
Downloads 103 (313,357)

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Aggregate Firm-Level Variance, Trend, Bid-Ask Spread, Decimalization, Odd-Eighth Quotes

What Drives the Trend and Behavior in Aggregate (Idiosyncratic) Variance? Follow the Bid-Ask Bounce

Number of pages: 55 Posted: 27 Jun 2016 Last Revised: 13 May 2018
David A. Lesmond, Xuhui (Nick) Pan, Roberto Stein and Yihua Zhao
Tulane University - A.B. Freeman School of Business, University of Oklahoma, University of Nebraska at Lincoln - Department of Finance and Tulane University - A.B. Freeman School of Business
Downloads 86 (349,958)

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Aggregate Firm-Level Variance, Trend, Bid-Ask Spread, Decimalization, Odd-Eighth Quotes

9.

Liquidity Biases and the Pricing of Cross-Sectional Idiosyncratic Volatility

Number of pages: 50 Posted: 18 Mar 2010
Yufeng Han and David A. Lesmond
University of North Carolina (UNC) at Charlotte - Finance and Tulane University - A.B. Freeman School of Business
Downloads 168 (212,602)

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Cross-Sectional Return, Idiosyncratic Volatility, Zero Returns, Bid-Ask Spread

10.

The (Mutual Fund) Imitation Game: On the Performance of 'Smart' Copycat Funds

Number of pages: 54 Posted: 31 Oct 2017 Last Revised: 07 Feb 2020
David A. Lesmond and Roberto Stein
Tulane University - A.B. Freeman School of Business and University of Nebraska at Lincoln - Department of Finance
Downloads 138 (251,621)

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copycat portfolios; mutual funds; portfolio holdings; fund performance; fund manager skill

11.

Is Aggregate Idiosyncratic Risk Priced? Follow the Bid-Ask Bounce

Finance Down Under 2015 Building on the Best from the Cellars of Finance Paper
Number of pages: 61 Posted: 17 Aug 2014 Last Revised: 30 Oct 2015
David A. Lesmond and Yihua Zhao
Tulane University - A.B. Freeman School of Business and Tulane University - A.B. Freeman School of Business
Downloads 119 (279,680)
Citation 2

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Asset Pricing, Market Returns, Aggregate Firm-Level Volatility, Risk, Bid-Ask Spread, Percentage of Zero Returns

12.

Strategic Timing in Closed-End Fund Portfolio Holdings Disclosure

Number of pages: 51 Posted: 17 Jun 2020
Theodosis L. Kallenos, David A. Lesmond and George Nishiotis
University of Cyprus-School of Economics and Management- Department of Accounting and Finance, Tulane University - A.B. Freeman School of Business and University of Cyprus-Faculty of Economics and Management-Department of Accounting and Finance
Downloads 74 (381,525)

Abstract:

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Closed-End Funds, Portfolio Holdings Disclosure, Arbitrage, Valuation Effects, Front Running, Copycatting

13.

A New Estimate of Transaction Costs

Posted: 16 Nov 1999
David A. Lesmond, Joseph P. Ogden and Charles Trzcinka
Tulane University - A.B. Freeman School of Business, State University of New York (SUNY) at Buffalo - School of Management and Indiana University - Kelley School of Business - Department of Finance

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Other Papers (1)

Total Downloads: 94
1.

Slumping Shoulders and Fat Tail: Market Microstructure and Kurtosis of Stock Return

Number of pages: 39 Posted: 08 Oct 2013 Last Revised: 20 Mar 2020
Suman Banerjee, Lili Dai, David A. Lesmond and Thomas H. Noe
Stevens Institute of Technology, University of New South Wales (UNSW), Tulane University - A.B. Freeman School of Business and University of Oxford - Said Business School
Downloads 94 (302,852)

Abstract:

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Microstructure, Liquidity Cost, Return Kurtosis