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 2024-04-05. Update your information in the RePEc Author Service.

Short-id: pja91

---

Jump to Journal Articles Chapters

Working Papers

2024

1. Globalization and Profitability of US Firms: The Role of Intangibles
   NBER Working Papers, National Bureau of Economic Research, Inc

2023

2. An Intangibles-Adjusted Profitability Factor
   NBER Working Papers, National Bureau of Economic Research, Inc
3. Day Traders, Noise, and Cost of Immediacy
   NBER Working Papers, National Bureau of Economic Research, Inc
4. Franchise Value, Intangibles, and Tobin’s Q
   NBER Working Papers, National Bureau of Economic Research, Inc
5. Price Destabilizing Speculation: The Role of Strategic Limit Orders
   NBER Working Papers, National Bureau of Economic Research, Inc

2021

6. Recovery from fast crashes: Role of mutual funds
   SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE View citations (1)
   See also Journal Article Recovery from fast crashes: Role of mutual funds, Journal of Financial Markets, Elsevier (2022) (2022)

2020

7. A Return Based Measure of Firm Quality
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
8. Return to Venture Capital in the Aggregate
   NBER Working Papers, National Bureau of Economic Research, Inc

2019

9. On Frequent Batch Auctions for Stocks
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)
   See also Journal Article On Frequent Batch Auctions for Stocks*, Journal of Financial Econometrics, Oxford University Press (2022) View citations (1) (2022)

2017

10. Environmental, Social, and Governance Criteria: Why Investors are Paying Attention
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (11)
11. Stock Price Crashes: Role of Slow-Moving Capital
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)

2015

12. Dividend Dynamics, Learning, and Expected Stock Index Returns
    NBER Working Papers, National Bureau of Economic Research, Inc
    See also Journal Article Dividend Dynamics, Learning, and Expected Stock Index Returns, Journal of Finance, American Finance Association (2019) View citations (16) (2019)

2014

13. Growth Expectations, Dividend Yields, and Future Stock Returns
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
14. Momentum Trading, Return Chasing and Predictable Crashes
    Working Paper Series, Federal Reserve Bank of Chicago View citations (12)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2014) View citations (15)
    NBER Working Papers, National Bureau of Economic Research, Inc (2014) View citations (16)

2012

15. Building Castles in the Air: Evidence from Industry IPO Waves
    NBER Working Papers, National Bureau of Economic Research, Inc
16. Tail Risk in Momentum Strategy Returns
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (34)

2011

17. Price Dividend Ratio Factors: Proxies for Long Run Risk
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
    See also Journal Article Price-Dividend Ratio Factor Proxies for Long-Run Risks, The Review of Asset Pricing Studies, Society for Financial Studies (2015) View citations (6) (2015)
18. The Cross-Section of Hurdle Rates for Capital Budgeting: An Empirical Analysis of Survey Data
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (10)

2010

19. Why Don't Issuers Choose IPO Auctions? The Complexity of Indirect Mechanisms
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)

2009

20. CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
    See also Journal Article CAPM for estimating the cost of equity capital: Interpreting the empirical evidence, Journal of Financial Economics, Elsevier (2012) View citations (46) (2012)
21. 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 View citations (7)
22. 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 View citations (15)

2008

23. Informed Trading, Liquidity Provision, and Stock Selection by Mutual Funds
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
24. Price Momentum In Stocks: Insights From Victorian Age Data
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (11)

2007

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

2006

26. Do Hot Hands Exist Among Hedge Fund Managers? An Empirical Evaluation
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
    See also Journal Article Do Hot Hands Exist among Hedge Fund Managers? An Empirical Evaluation, Journal of Finance, American Finance Association (2010) View citations (106) (2010)
27. Why Do IPO Auctions Fail?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (18)

2005

28. Consumption Risk and the Cost of Equity Capital
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (7)

2004

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

2002

30. Do We Need CAPM for Capital Budgeting?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (20)
    See also Journal Article Do We Need CAPM for Capital Budgeting?, Financial Management, Financial Management Association (2002) View citations (20) (2002)
31. Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (17)
    See also Journal Article Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps, Journal of Finance, American Finance Association (2003) View citations (615) (2003)
32. Understanding Mutual Fund and Hedge Fund Styles Using Return Based Style Analysis
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
    See also Chapter UNDERSTANDING MUTUAL FUND AND HEDGE FUND STYLES USING RETURN-BASED STYLE ANALYSIS, World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd. (2005) View citations (1) (2005)

2001

33. 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 View citations (16)
    See also Journal Article An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices, Journal of Econometrics, Elsevier (2003) View citations (33) (2003)
34. Empirical Evaluation of Asset Pricing Models: A Comparison of the SDF and Beta Methods
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (14)
    See also Journal Article Empirical Evaluation of Asset‐Pricing Models: A Comparison of the SDF and Beta Methods, Journal of Finance, American Finance Association (2002) View citations (39) (2002)
35. The Declining U.S. Equity Premium
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (22)
    See also Journal Article The declining U.S. equity premium, Quarterly Review, Federal Reserve Bank of Minneapolis (2000) View citations (50) (2000)
36. 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 View citations (38)
    See also Journal Article The Stock Market's Reaction to Unemployment News: Why Bad News Is Usually Good for Stocks, Journal of Finance, American Finance Association (2005) View citations (358) (2005)

2000

37. Does Product Market Competition Reduce Agency Costs?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (11)
    See also Journal Article Does product market competition reduce agency costs?, The North American Journal of Economics and Finance, Elsevier (1999) View citations (16) (1999)

1999

38. Valuing the Reload Features of Executive Stock Options
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (12)

1997

39. 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 View citations (3)
    See also Journal Article Relationship between Labor-Income Risk and Average Return: Empirical Evidence from the Japanese Stock Market, The Journal of Business, University of Chicago Press (1998) View citations (60) (1998)
40. 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 View citations (10)
    See also Journal Article Why do stock prices drop by less than the value of the dividend? Evidence from a country without taxes, Journal of Financial Economics, Elsevier (1998) View citations (109) (1998)

1996

41. Econometric evaluation of asset pricing models
    Staff Report, Federal Reserve Bank of Minneapolis View citations (8)
42. The conditional CAPM and the cross-section of expected returns
    Staff Report, Federal Reserve Bank of Minneapolis View citations (871)
    See also Journal Article The Conditional CAPM and the Cross-Section of Expected Returns, Journal of Finance, American Finance Association (1996) View citations (859) (1996)

1994

43. Assessing Specification Errors in Stochastic Discount Factor Models
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (9)
    Also in Staff Report, Federal Reserve Bank of Minneapolis (1994) View citations (9)
    See also Journal Article Assessing Specification Errors in Stochastic Discount Factor Models, Journal of Finance, American Finance Association (1997) View citations (373) (1997)
44. Ex-dividend price behavior of common stocks
    Staff Report, Federal Reserve Bank of Minneapolis View citations (58)
    Also in Working Papers, Federal Reserve Bank of Minneapolis (1994) View citations (60)
    See also Journal Article Ex-dividend Price Behavior of Common Stocks, The Review of Financial Studies, Society for Financial Studies (1994) View citations (60) (1994)
45. THE CAPM IS ALIVE AND WELL
    Finance, University Library of Munich, Germany View citations (7)
    Also in Staff Report, Federal Reserve Bank of Minneapolis (1993) View citations (30)

1993

46. A contingent claim approach to performance evaluation
    Staff Report, Federal Reserve Bank of Minneapolis View citations (3)
    See also Journal Article A contingent claim approach to performance evaluation, Journal of Empirical Finance, Elsevier (1994) View citations (62) (1994)
47. On the relation between the expected value and the volatility of the nominal excess return on stocks
    Staff Report, Federal Reserve Bank of Minneapolis View citations (3790)
    See also Journal Article On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks, Journal of Finance, American Finance Association (1993) View citations (3869) (1993)

1990

48. Ex-Day Behavior of Japanese Stock Prices: New Insights from New Methodology
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (9)
    Also in Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis (1990) View citations (7)
    See also Journal Article Ex-day behavior of japanese stock prices: New insights from new methodology, Journal of the Japanese and International Economies, Elsevier (1990) View citations (7) (1990)
49. Implications of Security Market Data for Models of Dynamic Economies
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (4)
    Also in Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis (1990) View citations (31)
    See also Journal Article Implications of Security Market Data for Models of Dynamic Economies, Journal of Political Economy, University of Chicago Press (1991) View citations (775) (1991)

1987

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

1984

51. Banking Panics
    Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science View citations (50)

Journal Articles

2022

1. On Frequent Batch Auctions for Stocks*
   (Tail Expectation and Imperfect Competition in Limit Order Book Markets)
   Journal of Financial Econometrics, 2022, 20, (1), 1-17 View citations (1)
   See also Working Paper On Frequent Batch Auctions for Stocks, NBER Working Papers (2019) View citations (3) (2019)
2. Recovery from fast crashes: Role of mutual funds
   Journal of Financial Markets, 2022, 59, (PB)
   See also Working Paper Recovery from fast crashes: Role of mutual funds, SAFE Working Paper Series (2021) View citations (1) (2021)

2019

3. A Note on “Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps”
   Journal of Finance, 2019, 74, (5), 2689-2696
4. Corrigendum for Dividend Dynamics, Learning, and Expected Stock Index Returns
   Journal of Finance, 2019, 74, (4), 2107-2116 View citations (16)
5. Dividend Dynamics, Learning, and Expected Stock Index Returns
   Journal of Finance, 2019, 74, (1), 401-448 View citations (16)
   See also Working Paper Dividend Dynamics, Learning, and Expected Stock Index Returns, NBER Working Papers (2015) (2015)

2017

6. A Firm's Cost of Capital
   Annual Review of Financial Economics, 2017, 9, (1), 259-282

2016

7. Why do firms use high discount rates?
   Journal of Financial Economics, 2016, 120, (3), 445-463 View citations (36)

2015

8. Price-Dividend Ratio Factor Proxies for Long-Run Risks
   The Review of Asset Pricing Studies, 2015, 5, (1), 1-47 View citations (6)
   See also Working Paper Price Dividend Ratio Factors: Proxies for Long Run Risk, NBER Working Papers (2011) View citations (1) (2011)
9. Share auctions of initial public offerings: Global evidence
   Journal of Financial Intermediation, 2015, 24, (3), 283-311 View citations (27)

2013

10. 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 View citations (10)

2012

11. CAPM for estimating the cost of equity capital: Interpreting the empirical evidence
    Journal of Financial Economics, 2012, 103, (1), 204-220 View citations (46)
    See also Working Paper CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence, NBER Working Papers (2009) View citations (1) (2009)
12. Calendar Cycles, Infrequent Decisions, and the Cross Section of Stock Returns
    Management Science, 2012, 58, (3), 507-522 View citations (11)

2011

13. Impatient Trading, Liquidity Provision, and Stock Selection by Mutual Funds
    The Review of Financial Studies, 2011, 24, (3), 675-720 View citations (27)

2010

14. Cross-Sectional Asset Pricing Tests
    Annual Review of Financial Economics, 2010, 2, (1), 49-74 View citations (18)
15. Do Hot Hands Exist among Hedge Fund Managers? An Empirical Evaluation
    Journal of Finance, 2010, 65, (1), 217-255 View citations (106)
    See also Working Paper Do Hot Hands Exist Among Hedge Fund Managers? An Empirical Evaluation, NBER Working Papers (2006) View citations (6) (2006)

2009

16. Avoiding the Next Crisis
    The Economists' Voice, 2009, 6, (7), 5 View citations (7)
17. Jackknife Estimator for Tracking Error Variance of Optimal Portfolios
    Management Science, 2009, 55, (6), 990-1002 View citations (19)

2007

18. Lazy Investors, Discretionary Consumption, and the Cross‐Section of Stock Returns
    Journal of Finance, 2007, 62, (4), 1623-1661 View citations (106)

2005

19. Reforming the Bookbuilding Process for IPOs
    Journal of Applied Corporate Finance, 2005, 17, (1), 67-72 View citations (14)
20. The Stock Market's Reaction to Unemployment News: Why Bad News Is Usually Good for Stocks
    Journal of Finance, 2005, 60, (2), 649-672 View citations (358)
    See also Working Paper The Stock Market's Reaction to Unemployment News: Why Bad News is Usually Good for Stocks, NBER Working Papers (2001) View citations (38) (2001)

2003

21. 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 View citations (33)
    See also Working Paper An Evaluation of Multi-Factor CIR Models Using LIBOR, Swap Rates, and Cap and Swaption Prices, NBER Working Papers (2001) View citations (16) (2001)
22. Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps
    Journal of Finance, 2003, 58, (4), 1651-1683 View citations (615)
    See also Working Paper Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps, NBER Working Papers (2002) View citations (17) (2002)

2002

23. A direct test for the mean variance efficiency of a portfolio
    Journal of Economic Dynamics and Control, 2002, 26, (7-8), 1195-1215 View citations (41)
24. Do We Need CAPM for Capital Budgeting?
    Financial Management, 2002, 31, (4) View citations (20)
    See also Working Paper Do We Need CAPM for Capital Budgeting?, NBER Working Papers (2002) View citations (20) (2002)
25. Empirical Evaluation of Asset‐Pricing Models: A Comparison of the SDF and Beta Methods
    Journal of Finance, 2002, 57, (5), 2337-2367 View citations (39)
    See also Working Paper Empirical Evaluation of Asset Pricing Models: A Comparison of the SDF and Beta Methods, NBER Working Papers (2001) View citations (14) (2001)
26. Generalized Method of Moments: Applications in Finance
    Journal of Business & Economic Statistics, 2002, 20, (4), 470-81 View citations (25)

2000

27. The declining U.S. equity premium
    Quarterly Review, 2000, 24, (Fall), 3-19 View citations (50)
    See also Working Paper The Declining U.S. Equity Premium, NBER Working Papers (2001) View citations (22) (2001)

1999

28. Does product market competition reduce agency costs?
    The North American Journal of Economics and Finance, 1999, 10, (2), 387-399 View citations (16)
    See also Working Paper Does Product Market Competition Reduce Agency Costs?, NBER Working Papers (2000) View citations (11) (2000)

1998

29. Relationship between Labor-Income Risk and Average Return: Empirical Evidence from the Japanese Stock Market
    The Journal of Business, 1998, 71, (3), 319-47 View citations (60)
    See also Working Paper Relationship between labor-income risk and average return: empirical evidence from the Japanese stock market, Discussion Paper / Institute for Empirical Macroeconomics (1997) View citations (3) (1997)
30. 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 View citations (109)
    See also Working Paper Why do stock prices drop by less than the value of the dividend? Evidence from a country without taxes, Staff Report (1997) View citations (10) (1997)

1997

31. Assessing Specification Errors in Stochastic Discount Factor Models
    Journal of Finance, 1997, 52, (2), 557-90 View citations (373)
    See also Working Paper Assessing Specification Errors in Stochastic Discount Factor Models, NBER Technical Working Papers (1994) View citations (9) (1994)

1996

32. The Conditional CAPM and the Cross-Section of Expected Returns
    Journal of Finance, 1996, 51, (1), 3-53 View citations (859)
    See also Working Paper The conditional CAPM and the cross-section of expected returns, Staff Report (1996) View citations (871) (1996)
33. Why should older people invest less in stock than younger people?
    Quarterly Review, 1996, 20, (Sum), 11-23 View citations (72)

1995

34. The CAPM debate
    Quarterly Review, 1995, 19, (Fall), 2-17 View citations (12)

1994

35. A contingent claim approach to performance evaluation
    Journal of Empirical Finance, 1994, 1, (2), 133-160 View citations (62)
    See also Working Paper A contingent claim approach to performance evaluation, Staff Report (1993) View citations (3) (1993)
36. Ex-dividend Price Behavior of Common Stocks
    The Review of Financial Studies, 1994, 7, (4), 711-41 View citations (60)
    See also Working Paper Ex-dividend price behavior of common stocks, Staff Report (1994) View citations (58) (1994)

1993

37. 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 View citations (3869)
    See also Working Paper On the relation between the expected value and the volatility of the nominal excess return on stocks, Staff Report (1993) View citations (3790) (1993)

1991

38. Implications of Security Market Data for Models of Dynamic Economies
    Journal of Political Economy, 1991, 99, (2), 225-62 View citations (775)
    See also Working Paper Implications of Security Market Data for Models of Dynamic Economies, NBER Technical Working Papers (1990) View citations (4) (1990)

1990

39. Ex-day behavior of japanese stock prices: New insights from new methodology
    Journal of the Japanese and International Economies, 1990, 4, (4), 401-427 View citations (7)
    See also Working Paper Ex-Day Behavior of Japanese Stock Prices: New Insights from New Methodology, NBER Working Papers (1990) View citations (9) (1990)
40. Price Stability and Futures Trading in Commodities
    The Quarterly Journal of Economics, 1990, 105, (2), 527-534 View citations (12)
41. The simple analytics of commodity futures markets: do they stabilize prices? Do they raise welfare?
    Quarterly Review, 1990, 4, (Sum), 12-24

1989

42. Effects of Insider Trading Disclosures on Speculative Activity and Future Prices
    Economic Inquiry, 1989, 27, (3), 411-30 View citations (2)

1987

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

1986

44. Assessing the Market Timing Performance of Managed Portfolios
    The Journal of Business, 1986, 59, (2), 217-35 View citations (109)
45. Correcting for Heteroscedasticity in Tests for Market Timing Ability
    The Journal of Business, 1986, 59, (4), 585-98 View citations (13)

1985

46. An Algorithm for a Class of Nonconvex Programming Problems with Nonlinear Fractional Objectives
    Management Science, 1985, 31, (7), 847-851 View citations (2)
47. An Investigation of Commodity Futures Prices Using the Consumption-based Intertemporal Capital Asset Pricing Model
    Journal of Finance, 1985, 40, (1), 175-91 View citations (44)
48. Use of Sample Information in Stochastic Recourse and Chance-Constrained Programming Models
    Management Science, 1985, 31, (1), 96-108 View citations (7)

1984

49. Call options and the risk of underlying securities
    Journal of Financial Economics, 1984, 13, (3), 425-434 View citations (27)

1979

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

1978

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

1974

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

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 View citations (1)
   See also Working Paper Understanding Mutual Fund and Hedge Fund Styles Using Return Based Style Analysis, National Bureau of Economic Research, Inc (2002) View citations (4) (2002)