Access Statistics for Ravi Jagannathan
Author contact details at EconPapers.
| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Jackknife Estimator for Tracking Error Variance of Optimal Portfolios Constructed Using Estimated Inputs1 |
0 |
0 |
1 |
241 |
2 |
2 |
11 |
855 |
| A contingent claim approach to performance evaluation |
0 |
0 |
2 |
701 |
0 |
0 |
13 |
1,946 |
| An Evaluation of Multi-Factor CIR Models Using LIBOR, Swap Rates, and Cap and Swaption Prices |
0 |
1 |
2 |
1,103 |
2 |
3 |
17 |
3,769 |
| Assessing Specification Errors in Stochastic Discount Factor Models |
0 |
0 |
0 |
433 |
2 |
6 |
21 |
1,812 |
| Assessing specification errors in stochastic discount factor models |
0 |
0 |
0 |
215 |
2 |
4 |
16 |
822 |
| Banking Panics |
0 |
0 |
4 |
85 |
1 |
2 |
18 |
343 |
| Building Castles in the Air: Evidence from Industry IPO Waves |
0 |
0 |
1 |
24 |
3 |
4 |
21 |
105 |
| CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence |
1 |
1 |
5 |
405 |
3 |
5 |
26 |
1,963 |
| Causes of the Great Recession of 2007-9: The Financial Crisis is the Symptom not the Disease! |
0 |
0 |
0 |
250 |
0 |
0 |
13 |
562 |
| Consumption Risk and the Cost of Equity Capital |
0 |
0 |
1 |
258 |
1 |
2 |
9 |
907 |
| Dividend Dynamics, Learning, and Expected Stock Index Returns |
0 |
0 |
2 |
51 |
2 |
2 |
12 |
68 |
| Do Hot Hands Exist Among Hedge Fund Managers? An Empirical Evaluation |
0 |
0 |
0 |
146 |
0 |
1 |
9 |
553 |
| Do We Need CAPM for Capital Budgeting? |
0 |
0 |
1 |
759 |
0 |
3 |
16 |
2,175 |
| Does Product Market Competition Reduce Agency Costs? |
0 |
0 |
0 |
223 |
1 |
1 |
10 |
1,029 |
| Econometric evaluation of asset pricing models |
0 |
0 |
3 |
684 |
0 |
3 |
22 |
1,572 |
| Empirical Evaluation of Asset Pricing Models: A Comparison of the SDF and Beta Methods |
0 |
0 |
1 |
550 |
0 |
3 |
18 |
1,494 |
| Environmental, Social, and Governance Criteria: Why Investors are Paying Attention |
1 |
6 |
14 |
38 |
7 |
26 |
59 |
140 |
| Ex-Day Behavior of Japanese Stock Prices: New Insights from New Methodology |
0 |
0 |
0 |
37 |
1 |
2 |
8 |
300 |
| Ex-day behavior of Japanese stock prices: new insights from new methodology |
0 |
0 |
0 |
63 |
0 |
0 |
8 |
970 |
| Ex-dividend price behavior of common stocks |
0 |
1 |
5 |
543 |
1 |
4 |
21 |
2,917 |
| Ex-dividend price behavior of common stocks |
0 |
0 |
0 |
297 |
0 |
0 |
10 |
1,381 |
| Growth Expectations, Dividend Yields, and Future Stock Returns |
0 |
0 |
4 |
52 |
3 |
8 |
28 |
116 |
| Implications of Security Market Data for Models of Dynamic Economies |
0 |
0 |
6 |
161 |
1 |
4 |
22 |
776 |
| Implications of security market data for models of dynamic economies |
1 |
2 |
7 |
195 |
8 |
12 |
37 |
921 |
| Informed Trading, Liquidity Provision, and Stock Selection by Mutual Funds |
0 |
0 |
0 |
47 |
0 |
0 |
16 |
285 |
| Life Cycle Cash Flows of Ventures |
2 |
2 |
2 |
2 |
3 |
3 |
3 |
3 |
| Liquidity Provision: Normal Times vs Crashes |
0 |
1 |
4 |
25 |
0 |
1 |
19 |
35 |
| Momentum Cycles and Limits to Arbitrage Evidence from Victorian England and Post-Depression US Stock Markets |
0 |
0 |
3 |
62 |
0 |
2 |
17 |
339 |
| Momentum Trading, Return Chasing and Predictable Crashes |
0 |
0 |
2 |
22 |
0 |
1 |
22 |
114 |
| Momentum Trading, Return Chasing, and Predictable Crashes |
0 |
0 |
1 |
19 |
3 |
4 |
17 |
112 |
| Momentum Trading, Return Chasing, and Predictable Crashes |
0 |
0 |
3 |
9 |
5 |
11 |
27 |
63 |
| On Frequent Batch Auctions for Stocks |
0 |
1 |
16 |
16 |
2 |
5 |
43 |
43 |
| On the relation between the expected value and the volatility of the nominal excess return on stocks |
2 |
3 |
11 |
2,953 |
8 |
24 |
98 |
9,059 |
| Price Dividend Ratio Factors: Proxies for Long Run Risk |
0 |
0 |
0 |
40 |
0 |
2 |
8 |
150 |
| Price Momentum In Stocks: Insights From Victorian Age Data |
1 |
1 |
1 |
129 |
3 |
11 |
30 |
569 |
| Relationship between labor-income risk and average return: empirical evidence from the Japanese stock market |
0 |
0 |
2 |
185 |
2 |
4 |
18 |
1,397 |
| Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps |
0 |
1 |
3 |
630 |
2 |
9 |
35 |
1,637 |
| Seasonalities in security returns: the case of earnings announcements |
1 |
1 |
5 |
310 |
3 |
4 |
23 |
850 |
| Stock Price Crashes: Role of Slow-Moving Capital |
0 |
0 |
1 |
20 |
0 |
4 |
20 |
48 |
| THE CAPM IS ALIVE AND WELL |
1 |
1 |
2 |
4,217 |
1 |
2 |
15 |
13,545 |
| Tail Risk in Momentum Strategy Returns |
0 |
4 |
8 |
61 |
4 |
13 |
40 |
267 |
| The CAPM is alive and well |
7 |
13 |
19 |
897 |
31 |
53 |
95 |
1,745 |
| The Cross-Section of Hurdle Rates for Capital Budgeting: An Empirical Analysis of Survey Data |
0 |
0 |
2 |
24 |
0 |
1 |
12 |
109 |
| The Declining U.S. Equity Premium |
0 |
0 |
0 |
317 |
1 |
3 |
13 |
874 |
| The Stock Market's Reaction to Unemployment News: Why Bad News is Usually Good for Stocks |
0 |
5 |
10 |
1,415 |
7 |
19 |
91 |
8,278 |
| The conditional CAPM and the cross-section of expected returns |
1 |
3 |
25 |
3,276 |
9 |
15 |
88 |
8,733 |
| Understanding Mutual Fund and Hedge Fund Styles Using Return Based Style Analysis |
0 |
0 |
1 |
981 |
2 |
4 |
17 |
2,146 |
| Valuing the Reload Features of Executive Stock Options |
0 |
0 |
1 |
316 |
2 |
3 |
15 |
2,028 |
| When Does a Mutual Fund's Trade Reveal its Skill? |
0 |
0 |
2 |
104 |
2 |
3 |
17 |
487 |
| Why Do IPO Auctions Fail? |
0 |
0 |
2 |
499 |
2 |
7 |
37 |
1,555 |
| Why Don't Issuers Choose IPO Auctions? The Complexity of Indirect Mechanisms |
1 |
2 |
3 |
43 |
1 |
6 |
18 |
153 |
| Why do stock prices drop by less than the value of the dividend? Evidence from a country without taxes |
0 |
0 |
5 |
633 |
5 |
8 |
33 |
3,697 |
| Total Working Papers |
19 |
49 |
193 |
24,766 |
138 |
319 |
1,332 |
85,817 |
| Journal Article |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Firm's Cost of Capital |
1 |
5 |
25 |
46 |
8 |
21 |
76 |
133 |
| A Minimax Ordering Policy for the Infinite Stage Dynamic Inventory Problem |
0 |
0 |
0 |
8 |
1 |
1 |
5 |
44 |
| A Note on “Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps” |
0 |
0 |
7 |
7 |
0 |
4 |
45 |
45 |
| A Sequential Algorithm for a Class of Programming Problems with Nonlinear Constraints |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
5 |
| A contingent claim approach to performance evaluation |
0 |
1 |
6 |
303 |
1 |
2 |
18 |
713 |
| A direct test for the mean variance efficiency of a portfolio |
1 |
1 |
15 |
144 |
1 |
2 |
24 |
298 |
| An Algorithm for a Class of Nonconvex Programming Problems with Nonlinear Fractional Objectives |
0 |
0 |
0 |
4 |
0 |
0 |
4 |
22 |
| An Investigation of Commodity Futures Prices Using the Consumption-based Intertemporal Capital Asset Pricing Model |
0 |
0 |
1 |
107 |
0 |
0 |
9 |
270 |
| An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices |
0 |
0 |
0 |
202 |
0 |
2 |
20 |
740 |
| Assessing Specification Errors in Stochastic Discount Factor Models |
0 |
0 |
4 |
297 |
1 |
3 |
28 |
803 |
| Assessing the Market Timing Performance of Managed Portfolios |
0 |
1 |
7 |
510 |
1 |
7 |
26 |
1,384 |
| Avoiding the Next Crisis |
0 |
0 |
2 |
85 |
3 |
4 |
15 |
180 |
| CAPM for estimating the cost of equity capital: Interpreting the empirical evidence |
1 |
2 |
8 |
40 |
4 |
7 |
48 |
198 |
| Calendar Cycles, Infrequent Decisions, and the Cross Section of Stock Returns |
0 |
0 |
1 |
7 |
0 |
1 |
11 |
48 |
| Call options and the risk of underlying securities |
0 |
0 |
2 |
142 |
0 |
0 |
11 |
602 |
| Causes of the great recession of 2007–2009: The financial crisis was the symptom not the disease! |
2 |
7 |
14 |
119 |
5 |
19 |
59 |
680 |
| Correcting for Heteroscedasticity in Tests for Market Timing Ability |
0 |
0 |
0 |
68 |
0 |
0 |
5 |
289 |
| Corrigendum for Dividend Dynamics, Learning, and Expected Stock Index Returns |
0 |
1 |
6 |
6 |
0 |
3 |
43 |
49 |
| Cross-Sectional Asset Pricing Tests |
1 |
1 |
3 |
94 |
2 |
7 |
14 |
266 |
| Dividend Dynamics, Learning, and Expected Stock Index Returns |
0 |
0 |
3 |
7 |
2 |
4 |
46 |
85 |
| Do Hot Hands Exist among Hedge Fund Managers? An Empirical Evaluation |
0 |
0 |
2 |
60 |
2 |
3 |
29 |
359 |
| Do We Need CAPM for Capital Budgeting? |
0 |
0 |
0 |
0 |
2 |
8 |
26 |
720 |
| Does product market competition reduce agency costs? |
0 |
0 |
0 |
66 |
0 |
3 |
14 |
285 |
| Effects of Insider Trading Disclosures on Speculative Activity and Future Prices |
0 |
0 |
0 |
0 |
0 |
0 |
7 |
142 |
| Erratum to "A Minimax Ordering Policy for the Infinite Stage Dynamic Inventory Problem" |
0 |
0 |
0 |
0 |
0 |
0 |
4 |
14 |
| Ex-day behavior of japanese stock prices: New insights from new methodology |
0 |
0 |
1 |
21 |
0 |
2 |
12 |
185 |
| Ex-dividend Price Behavior of Common Stocks |
0 |
0 |
0 |
194 |
0 |
0 |
8 |
1,109 |
| Generalized Method of Moments: Applications in Finance |
0 |
0 |
0 |
0 |
1 |
3 |
11 |
1,212 |
| Impatient Trading, Liquidity Provision, and Stock Selection by Mutual Funds |
0 |
0 |
0 |
19 |
0 |
0 |
8 |
87 |
| Implications of Security Market Data for Models of Dynamic Economies |
2 |
5 |
33 |
1,439 |
6 |
13 |
96 |
3,752 |
| Jackknife Estimator for Tracking Error Variance of Optimal Portfolios |
0 |
0 |
2 |
9 |
0 |
1 |
13 |
63 |
| Lazy Investors, Discretionary Consumption, and the Cross‐Section of Stock Returns |
0 |
0 |
0 |
147 |
1 |
1 |
19 |
440 |
| Note---Response |
0 |
0 |
0 |
0 |
0 |
0 |
6 |
20 |
| On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks |
3 |
10 |
45 |
707 |
14 |
70 |
274 |
2,436 |
| Price Stability and Futures Trading in Commodities |
0 |
0 |
0 |
83 |
0 |
1 |
7 |
327 |
| Price-Dividend Ratio Factor Proxies for Long-Run Risks |
0 |
0 |
1 |
2 |
1 |
2 |
12 |
19 |
| Reforming the Bookbuilding Process for IPOs |
0 |
0 |
1 |
73 |
0 |
0 |
6 |
200 |
| Relationship between Labor-Income Risk and Average Return: Empirical Evidence from the Japanese Stock Market |
0 |
0 |
0 |
75 |
0 |
0 |
9 |
392 |
| Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps |
0 |
0 |
2 |
2 |
2 |
8 |
15 |
15 |
| Share auctions of initial public offerings: Global evidence |
0 |
0 |
3 |
22 |
2 |
3 |
20 |
88 |
| The CAPM debate |
0 |
3 |
31 |
952 |
1 |
11 |
90 |
2,448 |
| The Conditional CAPM and the Cross-Section of Expected Returns |
1 |
5 |
20 |
582 |
6 |
16 |
68 |
1,598 |
| The Stock Market's Reaction to Unemployment News: Why Bad News Is Usually Good for Stocks |
2 |
10 |
18 |
377 |
5 |
20 |
95 |
1,281 |
| The declining U.S. equity premium |
1 |
2 |
4 |
102 |
2 |
6 |
20 |
428 |
| The simple analytics of commodity futures markets: do they stabilize prices? Do they raise welfare? |
0 |
0 |
3 |
117 |
1 |
2 |
17 |
383 |
| Use of Sample Information in Stochastic Recourse and Chance-Constrained Programming Models |
0 |
0 |
1 |
6 |
0 |
0 |
5 |
41 |
| Why do firms use high discount rates? |
0 |
6 |
28 |
99 |
10 |
21 |
94 |
278 |
| Why do stock prices drop by less than the value of the dividend? Evidence from a country without taxes |
0 |
1 |
7 |
170 |
1 |
3 |
33 |
617 |
| Why should older people invest less in stock than younger people? |
0 |
2 |
7 |
279 |
6 |
18 |
46 |
1,294 |
| Total Journal Articles |
15 |
63 |
313 |
7,799 |
92 |
302 |
1,574 |
27,087 |
|
|
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