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Details about Ravi Jagannathan

Workplace:Department of Finance, Kellogg Graduate School of Management, Northwestern University, (more information at EDIRC)

Access statistics for papers by Ravi Jagannathan.

Last updated 2017-04-29. Update your information in the RePEc Author Service.

Short-id: pja91


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Working Papers

2015

  1. Dividend Dynamics, Learning, and Expected Stock Index Returns
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads

2014

  1. Growth Expectations, Dividend Yields, and Future Stock Returns
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
  2. Momentum Trading, Return Chasing and Predictable Crashes
    Working Paper Series, Federal Reserve Bank of Chicago Downloads View citations (5)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2014) Downloads View citations (5)
    NBER Working Papers, National Bureau of Economic Research, Inc (2014) Downloads View citations (5)

2012

  1. Building Castles in the Air: Evidence from Industry IPO Waves
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
  2. Tail Risk in Momentum Strategy Returns
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (18)

2011

  1. Price Dividend Ratio Factors: Proxies for Long Run Risk
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
  2. The Cross-Section of Hurdle Rates for Capital Budgeting: An Empirical Analysis of Survey Data
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (3)

2010

  1. Why Don't Issuers Choose IPO Auctions? The Complexity of Indirect Mechanisms
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)

2009

  1. CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    See also Journal Article in Journal of Financial Economics (2012)
  2. Causes of the Great Recession of 2007-9: The Financial Crisis is the Symptom not the Disease!
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (6)
  3. Momentum Cycles and Limits to Arbitrage Evidence from Victorian England and Post-Depression US Stock Markets
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (10)

2008

  1. Informed Trading, Liquidity Provision, and Stock Selection by Mutual Funds
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
  2. Price Momentum In Stocks: Insights From Victorian Age Data
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)

2007

  1. When Does a Mutual Fund's Trade Reveal its Skill?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads

2006

  1. Do Hot Hands Exist Among Hedge Fund Managers? An Empirical Evaluation
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (5)
    See also Journal Article in Journal of Finance (2010)
  2. Why Do IPO Auctions Fail?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (11)

2005

  1. Consumption Risk and the Cost of Equity Capital
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (6)

2004

  1. A Jackknife Estimator for Tracking Error Variance of Optimal Portfolios Constructed Using Estimated Inputs1
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads

2002

  1. Do We Need CAPM for Capital Budgeting?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (11)
    See also Journal Article in Financial Management (2002)
  2. Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (10)
    See also Journal Article in Journal of Finance (2003)
  3. Understanding Mutual Fund and Hedge Fund Styles Using Return Based Style Analysis
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (4)
    See also Chapter (2005)

2001

  1. An Evaluation of Multi-Factor CIR Models Using LIBOR, Swap Rates, and Cap and Swaption Prices
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (13)
    See also Journal Article in Journal of Econometrics (2003)
  2. Empirical Evaluation of Asset Pricing Models: A Comparison of the SDF and Beta Methods
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (13)
    See also Journal Article in Journal of Finance (2002)
  3. The Declining U.S. Equity Premium
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (15)
    See also Journal Article in Quarterly Review (2000)
  4. The Stock Market's Reaction to Unemployment News: Why Bad News is Usually Good for Stocks
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (25)
    See also Journal Article in Journal of Finance (2005)

2000

  1. Does Product Market Competition Reduce Agency Costs?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (5)
    See also Journal Article in The North American Journal of Economics and Finance (1999)

1999

  1. Valuing the Reload Features of Executive Stock Options
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (8)

1997

  1. Relationship between labor-income risk and average return: empirical evidence from the Japanese stock market
    Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis Downloads View citations (3)
    See also Journal Article in The Journal of Business (1998)
  2. Why do stock prices drop by less than the value of the dividend? Evidence from a country without taxes
    Staff Report, Federal Reserve Bank of Minneapolis Downloads View citations (10)
    See also Journal Article in Journal of Financial Economics (1998)

1996

  1. Econometric evaluation of asset pricing models
    Staff Report, Federal Reserve Bank of Minneapolis Downloads View citations (6)
  2. The conditional CAPM and the cross-section of expected returns
    Staff Report, Federal Reserve Bank of Minneapolis Downloads View citations (554)
    See also Journal Article in Journal of Finance (1996)

1994

  1. Assessing Specification Errors in Stochastic Discount Factor Models
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (7)
    Also in Staff Report, Federal Reserve Bank of Minneapolis (1994) Downloads View citations (6)

    See also Journal Article in Journal of Finance (1997)
  2. Ex-dividend price behavior of common stocks
    Staff Report, Federal Reserve Bank of Minneapolis Downloads View citations (24)
    Also in Working Papers, Federal Reserve Bank of Minneapolis (1994) Downloads View citations (36)

    See also Journal Article in Review of Financial Studies (1994)
  3. THE CAPM IS ALIVE AND WELL
    Finance, EconWPA Downloads View citations (4)
    Also in Staff Report, Federal Reserve Bank of Minneapolis (1993) Downloads View citations (20)

1993

  1. A contingent claim approach to performance evaluation
    Staff Report, Federal Reserve Bank of Minneapolis Downloads View citations (3)
    See also Journal Article in Journal of Empirical Finance (1994)
  2. On the relation between the expected value and the volatility of the nominal excess return on stocks
    Staff Report, Federal Reserve Bank of Minneapolis Downloads View citations (1403)
    See also Journal Article in Journal of Finance (1993)

1990

  1. Ex-Day Behavior of Japanese Stock Prices: New Insights from New Methodology
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (6)
    Also in Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis (1990) Downloads View citations (3)

    See also Journal Article in Journal of the Japanese and International Economies (1990)
  2. Implications of Security Market Data for Models of Dynamic Economies
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (2)
    Also in Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis (1990) Downloads View citations (31)

    See also Journal Article in Journal of Political Economy (1991)

1987

  1. Seasonalities in security returns: the case of earnings announcements
    Staff Report, Federal Reserve Bank of Minneapolis Downloads View citations (5)

1984

  1. Banking Panics
    Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science Downloads View citations (51)

Journal Articles

2016

  1. Why do firms use high discount rates?
    Journal of Financial Economics, 2016, 120, (3), 445-463 Downloads View citations (1)

2015

  1. Share auctions of initial public offerings: Global evidence
    Journal of Financial Intermediation, 2015, 24, (3), 283-311 Downloads

2013

  1. Causes of the great recession of 2007–2009: The financial crisis was the symptom not the disease!
    Journal of Financial Intermediation, 2013, 22, (1), 4-29 Downloads View citations (1)

2012

  1. CAPM for estimating the cost of equity capital: Interpreting the empirical evidence
    Journal of Financial Economics, 2012, 103, (1), 204-220 Downloads View citations (10)
    See also Working Paper (2009)
  2. Calendar Cycles, Infrequent Decisions, and the Cross Section of Stock Returns
    Management Science, 2012, 58, (3), 507-522 Downloads View citations (4)

2011

  1. Impatient Trading, Liquidity Provision, and Stock Selection by Mutual Funds
    Review of Financial Studies, 2011, 24, (3), 675-720 Downloads View citations (5)

2010

  1. Cross-Sectional Asset Pricing Tests
    Annual Review of Financial Economics, 2010, 2, (1), 49-74 Downloads View citations (4)
  2. Do Hot Hands Exist among Hedge Fund Managers? An Empirical Evaluation
    Journal of Finance, 2010, 65, (1), 217-255 Downloads View citations (37)
    See also Working Paper (2006)

2009

  1. Avoiding the Next Crisis
    The Economists' Voice, 2009, 6, (7), 1-5 Downloads View citations (6)
  2. Jackknife Estimator for Tracking Error Variance of Optimal Portfolios
    Management Science, 2009, 55, (6), 990-1002 Downloads View citations (6)

2007

  1. Lazy Investors, Discretionary Consumption, and the Cross-Section of Stock Returns
    Journal of Finance, 2007, 62, (4), 1623-1661 Downloads View citations (37)

2005

  1. Reforming the Bookbuilding Process for IPOs
    Journal of Applied Corporate Finance, 2005, 17, (1), 67-72 Downloads View citations (8)
  2. The Stock Market's Reaction to Unemployment News: Why Bad News Is Usually Good for Stocks
    Journal of Finance, 2005, 60, (2), 649-672 Downloads View citations (125)
    See also Working Paper (2001)

2003

  1. An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices
    Journal of Econometrics, 2003, 116, (1-2), 113-146 Downloads View citations (20)
    See also Working Paper (2001)
  2. Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps
    Journal of Finance, 2003, 58, (4), 1651-1684 Downloads View citations (211)
    See also Working Paper (2002)

2002

  1. A direct test for the mean variance efficiency of a portfolio
    Journal of Economic Dynamics and Control, 2002, 26, (7-8), 1195-1215 Downloads View citations (15)
  2. Do We Need CAPM for Capital Budgeting?
    Financial Management, 2002, 31, (4) View citations (10)
    See also Working Paper (2002)
  3. Empirical Evaluation of Asset-Pricing Models: A Comparison of the SDF and Beta Methods
    Journal of Finance, 2002, 57, (5), 2337-2367 Downloads View citations (34)
    See also Working Paper (2001)
  4. Generalized Method of Moments: Applications in Finance
    Journal of Business & Economic Statistics, 2002, 20, (4), 470-81 View citations (10)

2000

  1. The declining U.S. equity premium
    Quarterly Review, 2000, (Fall), 3-19 Downloads View citations (37)
    See also Working Paper (2001)

1999

  1. Does product market competition reduce agency costs?
    The North American Journal of Economics and Finance, 1999, 10, (2), 387-399 Downloads View citations (7)
    See also Working Paper (2000)

1998

  1. A Note on the Asymptotic Covariance in Fama-MacBeth Regression
    Journal of Finance, 1998, 53, (2), 799-801 Downloads
  2. An Asymptotic Theory for Estimating Beta-Pricing Models Using Cross-Sectional Regression
    Journal of Finance, 1998, 53, (4), 1285-1309 Downloads View citations (70)
  3. Relationship between Labor-Income Risk and Average Return: Empirical Evidence from the Japanese Stock Market
    The Journal of Business, 1998, 71, (3), 319-47 Downloads View citations (36)
    See also Working Paper (1997)
  4. Why do stock prices drop by less than the value of the dividend? Evidence from a country without taxes
    Journal of Financial Economics, 1998, 47, (2), 161-188 Downloads View citations (57)
    See also Working Paper (1997)

1997

  1. Assessing Specification Errors in Stochastic Discount Factor Models
    Journal of Finance, 1997, 52, (2), 557-90 Downloads View citations (221)
    See also Working Paper (1994)

1996

  1. The Conditional CAPM and the Cross-Section of Expected Returns
    Journal of Finance, 1996, 51, (1), 3-53 Downloads View citations (298)
    See also Working Paper (1996)
  2. Why should older people invest less in stock than younger people?
    Quarterly Review, 1996, (Sum), 11-23 Downloads View citations (54)

1995

  1. The CAPM debate
    Quarterly Review, 1995, (Fall), 2-17 Downloads View citations (13)

1994

  1. A contingent claim approach to performance evaluation
    Journal of Empirical Finance, 1994, 1, (2), 133-160 Downloads View citations (40)
    See also Working Paper (1993)
  2. Ex-dividend Price Behavior of Common Stocks
    Review of Financial Studies, 1994, 7, (4), 711-41 Downloads View citations (15)
    See also Working Paper (1994)

1993

  1. On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
    Journal of Finance, 1993, 48, (5), 1779-1801 Downloads View citations (1549)
    See also Working Paper (1993)

1991

  1. Implications of Security Market Data for Models of Dynamic Economies
    Journal of Political Economy, 1991, 99, (2), 225-62 Downloads View citations (496)
    See also Working Paper (1990)

1990

  1. Ex-day behavior of japanese stock prices: New insights from new methodology
    Journal of the Japanese and International Economies, 1990, 4, (4), 401-427 Downloads View citations (3)
    See also Working Paper (1990)
  2. Price Stability and Futures Trading in Commodities
    The Quarterly Journal of Economics, 1990, 105, (2), 527-534 Downloads View citations (6)
  3. The simple analytics of commodity futures markets: do they stabilize prices? Do they raise welfare?
    Quarterly Review, 1990, (Sum), 12-24 Downloads View citations (1)

1989

  1. Adverse Selection in a Model of Real Estate Lending
    Journal of Finance, 1989, 44, (2), 499-508 Downloads View citations (27)
  2. Economic Significance of Predictable Variations in Stock Index Returns
    Journal of Finance, 1989, 44, (5), 1177-89 Downloads View citations (145)
  3. Effects of Insider Trading Disclosures on Speculative Activity and Future Prices
    Economic Inquiry, 1989, 27, (3), 411-30 View citations (2)

1988

  1. Banking Panics, Information, and Rational Expectations Equilibrium
    Journal of Finance, 1988, 43, (3), 749-61 Downloads View citations (147)

1987

  1. Note---Response
    Management Science, 1987, 33, (10), 1229-1231 Downloads

1986

  1. Assessing the Market Timing Performance of Managed Portfolios
    The Journal of Business, 1986, 59, (2), 217-35 Downloads View citations (68)
  2. Correcting for Heteroscedasticity in Tests for Market Timing Ability
    The Journal of Business, 1986, 59, (4), 585-98 Downloads View citations (2)

1985

  1. An Algorithm for a Class of Nonconvex Programming Problems with Nonlinear Fractional Objectives
    Management Science, 1985, 31, (7), 847-851 Downloads View citations (1)
  2. An Investigation of Commodity Futures Prices Using the Consumption-based Intertemporal Capital Asset Pricing Model
    Journal of Finance, 1985, 40, (1), 175-91 Downloads View citations (21)
  3. Use of Sample Information in Stochastic Recourse and Chance-Constrained Programming Models
    Management Science, 1985, 31, (1), 96-108 Downloads View citations (3)

1984

  1. Call options and the risk of underlying securities
    Journal of Financial Economics, 1984, 13, (3), 425-434 Downloads View citations (20)

1979

  1. Erratum to "A Minimax Ordering Policy for the Infinite Stage Dynamic Inventory Problem"
    Management Science, 1979, 25, (3), 294-295 Downloads

1978

  1. A Minimax Ordering Policy for the Infinite Stage Dynamic Inventory Problem
    Management Science, 1978, 24, (11), 1138-1149 Downloads

1974

  1. A Sequential Algorithm for a Class of Programming Problems with Nonlinear Constraints
    Management Science, 1974, 21, (1), 13-21 Downloads

Chapters

2005

  1. UNDERSTANDING MUTUAL FUND AND HEDGE FUND STYLES USING RETURN-BASED STYLE ANALYSIS
    Chapter 4 in The World Of Hedge Funds Characteristics and Analysis, 2005, pp 63-108 Downloads
    See also Working Paper (2002)
 
Page updated 2017-05-22