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 |
1 |
1 |
241 |
0 |
4 |
9 |
853 |
| A contingent claim approach to performance evaluation |
0 |
1 |
2 |
701 |
0 |
2 |
14 |
1,946 |
| An Evaluation of Multi-Factor CIR Models Using LIBOR, Swap Rates, and Cap and Swaption Prices |
1 |
1 |
2 |
1,103 |
1 |
5 |
15 |
3,767 |
| Assessing Specification Errors in Stochastic Discount Factor Models |
0 |
0 |
0 |
433 |
3 |
7 |
19 |
1,809 |
| Assessing specification errors in stochastic discount factor models |
0 |
0 |
0 |
215 |
2 |
5 |
16 |
820 |
| Banking Panics |
0 |
1 |
4 |
85 |
1 |
2 |
17 |
342 |
| Building Castles in the Air: Evidence from Industry IPO Waves |
0 |
1 |
1 |
24 |
1 |
5 |
19 |
102 |
| CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence |
0 |
0 |
6 |
404 |
0 |
3 |
24 |
1,958 |
| Causes of the Great Recession of 2007-9: The Financial Crisis is the Symptom not the Disease! |
0 |
0 |
1 |
250 |
0 |
5 |
15 |
562 |
| Consumption Risk and the Cost of Equity Capital |
0 |
1 |
1 |
258 |
1 |
3 |
8 |
906 |
| Dividend Dynamics, Learning, and Expected Stock Index Returns |
0 |
1 |
2 |
51 |
0 |
3 |
11 |
66 |
| Do Hot Hands Exist Among Hedge Fund Managers? An Empirical Evaluation |
0 |
0 |
0 |
146 |
1 |
2 |
9 |
553 |
| Do We Need CAPM for Capital Budgeting? |
0 |
0 |
1 |
759 |
3 |
5 |
16 |
2,175 |
| Does Product Market Competition Reduce Agency Costs? |
0 |
0 |
0 |
223 |
0 |
1 |
10 |
1,028 |
| Econometric evaluation of asset pricing models |
0 |
0 |
4 |
684 |
1 |
4 |
23 |
1,570 |
| Empirical Evaluation of Asset Pricing Models: A Comparison of the SDF and Beta Methods |
0 |
0 |
1 |
550 |
2 |
6 |
18 |
1,493 |
| Environmental, Social, and Governance Criteria: Why Investors are Paying Attention |
3 |
7 |
12 |
35 |
9 |
17 |
46 |
123 |
| Ex-Day Behavior of Japanese Stock Prices: New Insights from New Methodology |
0 |
0 |
0 |
37 |
0 |
1 |
6 |
298 |
| Ex-day behavior of Japanese stock prices: new insights from new methodology |
0 |
0 |
0 |
63 |
0 |
2 |
8 |
970 |
| Ex-dividend price behavior of common stocks |
0 |
0 |
0 |
297 |
0 |
3 |
12 |
1,381 |
| Ex-dividend price behavior of common stocks |
1 |
4 |
5 |
543 |
3 |
12 |
20 |
2,916 |
| Growth Expectations, Dividend Yields, and Future Stock Returns |
0 |
4 |
4 |
52 |
4 |
11 |
25 |
112 |
| Implications of Security Market Data for Models of Dynamic Economies |
0 |
3 |
6 |
161 |
3 |
8 |
22 |
775 |
| Implications of security market data for models of dynamic economies |
0 |
1 |
5 |
193 |
3 |
6 |
28 |
912 |
| Informed Trading, Liquidity Provision, and Stock Selection by Mutual Funds |
0 |
0 |
1 |
47 |
0 |
1 |
17 |
285 |
| Liquidity Provision: Normal Times vs Crashes |
1 |
3 |
4 |
25 |
1 |
6 |
19 |
35 |
| Momentum Cycles and Limits to Arbitrage Evidence from Victorian England and Post-Depression US Stock Markets |
0 |
0 |
3 |
62 |
2 |
3 |
19 |
339 |
| Momentum Trading, Return Chasing and Predictable Crashes |
0 |
0 |
2 |
22 |
0 |
2 |
29 |
113 |
| Momentum Trading, Return Chasing, and Predictable Crashes |
0 |
1 |
1 |
19 |
0 |
3 |
17 |
108 |
| Momentum Trading, Return Chasing, and Predictable Crashes |
0 |
0 |
3 |
9 |
3 |
7 |
21 |
55 |
| On Frequent Batch Auctions for Stocks |
1 |
1 |
16 |
16 |
3 |
8 |
41 |
41 |
| On the relation between the expected value and the volatility of the nominal excess return on stocks |
0 |
2 |
9 |
2,950 |
10 |
34 |
95 |
9,045 |
| Price Dividend Ratio Factors: Proxies for Long Run Risk |
0 |
0 |
0 |
40 |
1 |
3 |
7 |
149 |
| Price Momentum In Stocks: Insights From Victorian Age Data |
0 |
0 |
0 |
128 |
3 |
10 |
22 |
561 |
| Relationship between labor-income risk and average return: empirical evidence from the Japanese stock market |
0 |
0 |
2 |
185 |
1 |
3 |
15 |
1,394 |
| Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps |
0 |
0 |
2 |
629 |
5 |
7 |
33 |
1,633 |
| Seasonalities in security returns: the case of earnings announcements |
0 |
2 |
4 |
309 |
1 |
4 |
23 |
847 |
| Stock Price Crashes: Role of Slow-Moving Capital |
0 |
1 |
2 |
20 |
0 |
6 |
17 |
44 |
| THE CAPM IS ALIVE AND WELL |
0 |
0 |
1 |
4,216 |
0 |
3 |
16 |
13,543 |
| Tail Risk in Momentum Strategy Returns |
3 |
4 |
7 |
60 |
7 |
15 |
34 |
261 |
| The CAPM is alive and well |
3 |
4 |
9 |
887 |
10 |
18 |
56 |
1,702 |
| The Cross-Section of Hurdle Rates for Capital Budgeting: An Empirical Analysis of Survey Data |
0 |
0 |
2 |
24 |
1 |
4 |
12 |
109 |
| The Declining U.S. Equity Premium |
0 |
0 |
0 |
317 |
1 |
2 |
14 |
872 |
| The Stock Market's Reaction to Unemployment News: Why Bad News is Usually Good for Stocks |
3 |
5 |
9 |
1,413 |
7 |
30 |
83 |
8,266 |
| The conditional CAPM and the cross-section of expected returns |
1 |
5 |
26 |
3,274 |
5 |
23 |
90 |
8,723 |
| Understanding Mutual Fund and Hedge Fund Styles Using Return Based Style Analysis |
0 |
0 |
1 |
981 |
2 |
3 |
17 |
2,144 |
| Valuing the Reload Features of Executive Stock Options |
0 |
1 |
1 |
316 |
0 |
5 |
13 |
2,025 |
| When Does a Mutual Fund's Trade Reveal its Skill? |
0 |
1 |
2 |
104 |
0 |
2 |
17 |
484 |
| Why Do IPO Auctions Fail? |
0 |
1 |
2 |
499 |
2 |
11 |
36 |
1,550 |
| Why Don't Issuers Choose IPO Auctions? The Complexity of Indirect Mechanisms |
0 |
1 |
1 |
41 |
4 |
6 |
16 |
151 |
| Why do stock prices drop by less than the value of the dividend? Evidence from a country without taxes |
0 |
0 |
7 |
633 |
2 |
5 |
30 |
3,691 |
| Total Working Papers |
17 |
58 |
175 |
24,734 |
109 |
346 |
1,219 |
85,607 |
| 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 |
42 |
7 |
20 |
75 |
119 |
| A Minimax Ordering Policy for the Infinite Stage Dynamic Inventory Problem |
0 |
0 |
0 |
8 |
0 |
0 |
4 |
43 |
| A Note on “Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps” |
0 |
0 |
7 |
7 |
1 |
4 |
42 |
42 |
| 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 |
1 |
1 |
11 |
303 |
1 |
3 |
25 |
712 |
| A direct test for the mean variance efficiency of a portfolio |
0 |
8 |
14 |
143 |
1 |
12 |
24 |
297 |
| 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 |
1 |
2 |
107 |
0 |
2 |
11 |
270 |
| An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices |
0 |
0 |
0 |
202 |
2 |
5 |
20 |
740 |
| Assessing Specification Errors in Stochastic Discount Factor Models |
0 |
2 |
5 |
297 |
2 |
8 |
30 |
802 |
| Assessing the Market Timing Performance of Managed Portfolios |
1 |
3 |
12 |
510 |
5 |
12 |
33 |
1,382 |
| Avoiding the Next Crisis |
0 |
0 |
3 |
85 |
1 |
2 |
14 |
177 |
| CAPM for estimating the cost of equity capital: Interpreting the empirical evidence |
0 |
2 |
6 |
38 |
1 |
8 |
46 |
192 |
| Calendar Cycles, Infrequent Decisions, and the Cross Section of Stock Returns |
0 |
0 |
1 |
7 |
0 |
2 |
10 |
47 |
| Call options and the risk of underlying securities |
0 |
0 |
2 |
142 |
0 |
2 |
11 |
602 |
| Causes of the great recession of 2007–2009: The financial crisis was the symptom not the disease! |
4 |
7 |
12 |
116 |
8 |
25 |
51 |
669 |
| Correcting for Heteroscedasticity in Tests for Market Timing Ability |
0 |
0 |
0 |
68 |
0 |
1 |
6 |
289 |
| Corrigendum for Dividend Dynamics, Learning, and Expected Stock Index Returns |
0 |
0 |
5 |
5 |
1 |
4 |
47 |
47 |
| Cross-Sectional Asset Pricing Tests |
0 |
0 |
4 |
93 |
4 |
4 |
13 |
263 |
| Dividend Dynamics, Learning, and Expected Stock Index Returns |
0 |
0 |
3 |
7 |
1 |
7 |
50 |
82 |
| Do Hot Hands Exist among Hedge Fund Managers? An Empirical Evaluation |
0 |
1 |
3 |
60 |
1 |
5 |
38 |
357 |
| Do We Need CAPM for Capital Budgeting? |
0 |
0 |
0 |
0 |
5 |
7 |
25 |
717 |
| Does product market competition reduce agency costs? |
0 |
0 |
0 |
66 |
2 |
5 |
15 |
284 |
| Effects of Insider Trading Disclosures on Speculative Activity and Future Prices |
0 |
0 |
0 |
0 |
0 |
2 |
8 |
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 |
1 |
1 |
11 |
184 |
| Ex-dividend Price Behavior of Common Stocks |
0 |
0 |
0 |
194 |
0 |
2 |
8 |
1,109 |
| Generalized Method of Moments: Applications in Finance |
0 |
0 |
0 |
0 |
2 |
3 |
11 |
1,211 |
| Impatient Trading, Liquidity Provision, and Stock Selection by Mutual Funds |
0 |
0 |
2 |
19 |
0 |
0 |
10 |
87 |
| Implications of Security Market Data for Models of Dynamic Economies |
0 |
9 |
32 |
1,434 |
3 |
31 |
92 |
3,742 |
| Jackknife Estimator for Tracking Error Variance of Optimal Portfolios |
0 |
2 |
3 |
9 |
0 |
4 |
15 |
62 |
| Lazy Investors, Discretionary Consumption, and the Cross‐Section of Stock Returns |
0 |
0 |
0 |
147 |
0 |
4 |
18 |
439 |
| 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 |
6 |
18 |
47 |
703 |
35 |
93 |
282 |
2,401 |
| Price Stability and Futures Trading in Commodities |
0 |
0 |
0 |
83 |
0 |
0 |
6 |
326 |
| Price-Dividend Ratio Factor Proxies for Long-Run Risks |
0 |
0 |
2 |
2 |
0 |
1 |
11 |
17 |
| 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 |
3 |
11 |
392 |
| Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps |
0 |
0 |
2 |
2 |
4 |
5 |
11 |
11 |
| Share auctions of initial public offerings: Global evidence |
0 |
0 |
3 |
22 |
0 |
4 |
19 |
85 |
| The CAPM debate |
2 |
7 |
33 |
951 |
8 |
29 |
96 |
2,445 |
| The Conditional CAPM and the Cross-Section of Expected Returns |
3 |
7 |
20 |
580 |
6 |
18 |
61 |
1,588 |
| The Stock Market's Reaction to Unemployment News: Why Bad News Is Usually Good for Stocks |
4 |
7 |
12 |
371 |
9 |
39 |
90 |
1,270 |
| The declining U.S. equity premium |
0 |
1 |
2 |
100 |
2 |
7 |
21 |
424 |
| The simple analytics of commodity futures markets: do they stabilize prices? Do they raise welfare? |
0 |
0 |
3 |
117 |
1 |
7 |
17 |
382 |
| Use of Sample Information in Stochastic Recourse and Chance-Constrained Programming Models |
0 |
0 |
2 |
6 |
0 |
0 |
6 |
41 |
| Why do firms use high discount rates? |
3 |
4 |
26 |
96 |
7 |
17 |
84 |
264 |
| Why do stock prices drop by less than the value of the dividend? Evidence from a country without taxes |
1 |
3 |
8 |
170 |
2 |
8 |
37 |
616 |
| Why should older people invest less in stock than younger people? |
0 |
1 |
6 |
277 |
2 |
12 |
34 |
1,278 |
| Total Journal Articles |
26 |
89 |
320 |
7,762 |
125 |
428 |
1,572 |
26,910 |
|
|
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