Ravi Jagannathan : Citation Profile

Are you Ravi Jagannathan?

Northwestern University

25

H index

45

i10 index

8185

Citations

RESEARCH PRODUCTION:

48

Articles

57

Papers

1

Chapters

RESEARCH ACTIVITY:

   49 years (1974 - 2023). See details.
   Cites by year: 167
   Journals where Ravi Jagannathan has often published
   Relations with other researchers
   Recent citing documents: 318.    Total self citations: 35 (0.43 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pja91
   Updated: 2024-01-16    RAS profile: 2023-02-24    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Ravi Jagannathan.

Is cited by:

faff, robert (45)

Robotti, Cesare (34)

GUPTA, RANGAN (32)

Engle, Robert (29)

Bollerslev, Tim (28)

Ang, Andrew (27)

Bekaert, Geert (26)

zhang, xiaoyan (26)

Teräsvirta, Timo (26)

Degiannakis, Stavros (26)

Chang, Chia-Lin (25)

Cites to:

French, Kenneth (34)

Fama, Eugene (33)

Campbell, John (32)

Hansen, Lars (28)

Titman, Sheridan (21)

Shleifer, Andrei (18)

Shanken, Jay (18)

merton, robert (18)

Grinblatt, Mark (17)

Pedersen, Lasse (17)

Sherman, Ann (15)

Main data

Where Ravi Jagannathan has published?

Journals with more than one article published# docs
Journal of Finance11
Quarterly Review4
Journal of Financial Economics4
The Journal of Business3
Journal of Financial Intermediation2
Review of Financial Studies2

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc37
Staff Report / Federal Reserve Bank of Minneapolis9
Discussion Paper / Institute for Empirical Macroeconomics / Federal Reserve Bank of Minneapolis3

Recent works citing Ravi Jagannathan (2024 and 2023)

YearTitle of citing document
2023The effect of overconfidence behaviour on stock market volatility in Belgium. (2023). Fossou, Ebi Georges ; Emmanuel, Koffi Mouroufie ; Oyibo, Paul Vivien ; Anzian, Kouame Marcel. In: Theoretical and Applied Economics. RePEc:agr:journl:v:3(636):y:2023:i:3(636):p:131-146.

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2023Sensitivity to measurement errors of the distance to the efficient frontier. (2023). Vanhems, Anne ; Szafarz, Ariane ; Simar, Leopold ; Briere, Marie. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2023017.

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2023Sampling Distributions of Optimal Portfolio Weights and Characteristics in Low and Large Dimensions. (2019). Thors, Erik ; Parolya, Nestor ; Dette, Holger ; Bodnar, Taras. In: Papers. RePEc:arx:papers:1908.04243.

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2023Using mixed-frequency and realized measures in quantile regression. (2020). Gallo, Giampiero ; Candila, Vincenzo ; Petrella, Lea. In: Papers. RePEc:arx:papers:2011.00552.

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2023Large Non-Stationary Noisy Covariance Matrices: A Cross-Validation Approach. (2020). , Vincent ; Vincent, ; Zohren, Stefan. In: Papers. RePEc:arx:papers:2012.05757.

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2023An Empirical Assessment of Characteristics and Optimal Portfolios. (2021). Lamoureux, Christopher G ; Zhang, Huacheng. In: Papers. RePEc:arx:papers:2104.12975.

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2023A Quantile Approach to Asset Pricing Models. (2021). de Vries, Tjeerd. In: Papers. RePEc:arx:papers:2105.08208.

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2023Mean-Covariance Robust Risk Measurement. (2021). Filipovi, Damir ; Abadeh, Soroosh Shafieezadeh ; Nguyen, Viet Anh ; Kuhn, Daniel. In: Papers. RePEc:arx:papers:2112.09959.

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2023Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

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2023Bitcoin Does Not Hedge Inflation. (2023). Pinchuk, Mykola. In: Papers. RePEc:arx:papers:2301.10117.

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2023Risk Budgeting Portfolios from Simulations. (2023). Targino, Rodrigo S ; Pesenti, Silvana M ; Paulo, Bernardo Freitas. In: Papers. RePEc:arx:papers:2302.01196.

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2023Testing Quantile Forecast Optimality. (2023). Pohle, Marc-Oliver ; Gutknecht, Daniel ; Fosten, Jack. In: Papers. RePEc:arx:papers:2302.02747.

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2023Realized recurrent conditional heteroskedasticity model for volatility modelling. (2023). Kohn, Robert ; Tran, Minh-Ngoc ; Wang, Chao ; Liu, Chen. In: Papers. RePEc:arx:papers:2302.08002.

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2023Co-trading networks for modeling dynamic interdependency structures and estimating high-dimensional covariances in US equity markets. (2023). Cucuringu, Mihai ; Reinert, Gesine ; Lu, Yutong. In: Papers. RePEc:arx:papers:2302.09382.

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2023Collective dynamics, diversification and optimal portfolio construction for cryptocurrencies. (2023). Menzies, Max ; James, Nick. In: Papers. RePEc:arx:papers:2304.08902.

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2023Large Global Volatility Matrix Analysis Based on Structural Information. (2023). Kim, Donggyu ; Choi, Sung Hoon. In: Papers. RePEc:arx:papers:2305.01464.

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2023Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices. (2023). Barigozzi, Matteo ; Dzuverovic, Emilija. In: Papers. RePEc:arx:papers:2305.08488.

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2023Statistical Estimation for Covariance Structures with Tail Estimates using Nodewise Quantile Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2305.11282.

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2023Precision versus Shrinkage: A Comparative Analysis of Covariance Estimation Methods for Portfolio Allocation. (2023). Jain, Shashi ; Dutta, Sumanjay. In: Papers. RePEc:arx:papers:2305.11298.

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2023Integrating Different Informations for Portfolio Selection. (2023). Wang, Shikun ; Zhu, Shushang ; Li, Duan ; Huang, YI. In: Papers. RePEc:arx:papers:2305.17881.

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2023Modeling and evaluating conditional quantile dynamics in VaR forecasts. (2023). Gallo, Giampiero ; Palandri, Alessandro ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2305.20067.

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2023Fast and Furious: A High-Frequency Analysis of Robinhood Users Trading Behavior. (2023). Cenesizoglu, Tolga ; Aymard, Cl'Ement ; Ardia, David. In: Papers. RePEc:arx:papers:2307.11012.

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2023Weak (Proxy) Factors Robust Hansen-Jagannathan Distance For Linear Asset Pricing Models. (2023). Kong, Lingwei. In: Papers. RePEc:arx:papers:2307.14499.

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2023The Bayesian Context Trees State Space Model for time series modelling and forecasting. (2023). Kontoyiannis, Ioannis ; Papageorgiou, Ioannis. In: Papers. RePEc:arx:papers:2308.00913.

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2023Analysis of Optimal Portfolio Management Using Hierarchical Clustering. (2023). Panda, Kapil. In: Papers. RePEc:arx:papers:2308.11202.

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2023Spatial and Spatiotemporal Volatility Models: A Review. (2023). Bera, Anil K ; Schmid, Wolfgang ; Tacspinar, Suleyman ; Dougan, Osman ; Otto, Philipp. In: Papers. RePEc:arx:papers:2308.13061.

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2023Hedging Forecast Combinations With an Application to the Random Forest. (2023). Wolf, Michael ; Kozbur, Damian ; Beck, Elliot. In: Papers. RePEc:arx:papers:2308.15384.

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2023Diffusion Variational Autoencoder for Tackling Stochasticity in Multi-Step Regression Stock Price Prediction. (2023). Chua, Tat-Seng ; Ng, Ritchie ; Ma, Yunshan. In: Papers. RePEc:arx:papers:2309.00073.

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2023DeepVol: A Deep Transfer Learning Approach for Universal Asset Volatility Modeling. (2023). Kohn, Robert ; Gerlach, Richard ; Wang, Chao ; Tran, Minh-Ngoc ; Liu, Chen. In: Papers. RePEc:arx:papers:2309.02072.

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2023Combining Deep Learning and GARCH Models for Financial Volatility and Risk Forecasting. (2023). Morajda, Janusz ; Kwiatkowski, Lukasz ; Micha, Jakub. In: Papers. RePEc:arx:papers:2310.01063.

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2023Variational Inference for GARCH-family Models. (2023). Iosifidis, Alexandros ; Magris, Martin. In: Papers. RePEc:arx:papers:2310.03435.

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2023Estimation of market efficiency process within time-varying autoregressive models by extended Kalman filtering approach. (2023). Kulikov, Gennady ; Kulikova, Maria. In: Papers. RePEc:arx:papers:2310.04125.

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2023Uses of Sub-sample Estimates to Reduce Errors in Stochastic Optimization Models. (2023). Birge, John R. In: Papers. RePEc:arx:papers:2310.07052.

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2023Dynamic Realized Minimum Variance Portfolio Models. (2023). Oh, Minseog ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2310.13511.

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2023Regressions under Adverse Conditions. (2023). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2311.13327.

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2023Generative Machine Learning for Multivariate Equity Returns. (2023). Gopal, Achintya ; Tepelyan, Ruslan. In: Papers. RePEc:arx:papers:2311.14735.

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2023Statistical Properties of Two Asymmetric Stochastic Volatility in Mean Models. (2023). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2303.

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2023Estimation of Asymmetric Stochastic Volatility in Mean Models. (2023). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2309.

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2023COVID-19 Vaccination, Government Strict Policy and Capital Market Volatility: Evidence from ASEAN Countries. (2023). Suryani, Ani Wilujeng ; Izzahdi, Herjuna Qobush. In: Economic Studies journal. RePEc:bas:econst:y:2023:i:2:p:117-135.

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2024.

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2023Forecasting swap rate volatility with information from swaptions. (2023). Xie, Jinming ; Liu, Xiaoxi. In: BIS Working Papers. RePEc:bis:biswps:1068.

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2023The cumulant risk premium. (2023). Todorov, Karamfil. In: BIS Working Papers. RePEc:bis:biswps:1128.

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2023The day?of?the?month effect and the performance of the dollar cost averaging strategy: Evidence from China. (2023). Yu, Bin ; Li, Hongze ; Jin, Xuejun. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:s1:p:797-815.

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2023Tail risk of coal futures in Chinas market. (2023). Wan, Qing ; Wang, Minglu ; Shen, ZE. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:s2:p:2827-2845.

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2023The Russia–Ukraine conflict and investor psychology in financial markets. (2023). Humaira, Umme ; Chowdhury, Emon Kalyan. In: Economic Affairs. RePEc:bla:ecaffa:v:43:y:2023:i:3:p:388-405.

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2023Time?frequency comovement among green financial assets and cryptocurrency uncertainties. (2023). Ul, Inzamam. In: Economic Notes. RePEc:bla:ecnote:v:52:y:2023:i:1:n:e12216.

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2023.

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2023Auctions versus bookbuilding: The effects of IPO regulation in Japan. (2023). Weber, Matthias ; Lehmann, Timo. In: The Financial Review. RePEc:bla:finrev:v:58:y:2023:i:1:p:117-141.

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2023.

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2023The price impact of analyst revisions and the state of the economy: Evidence around the world. (2023). Su, Chen. In: The Financial Review. RePEc:bla:finrev:v:58:y:2023:i:4:p:887-930.

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2023.

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2023.

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2023International Yield Curves and Currency Puzzles. (2023). Creal, Drew ; Chernov, Mikhail. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:1:p:209-245.

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2023Principal Portfolios. (2023). Pedersen, Lasse Heje ; Malamud, Semyon ; Kelly, Bryan. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:1:p:347-387.

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2023Pricing Currency Risks. (2023). Chernov, Mikhail ; Lochstoer, Lars ; Dahlquist, Magnus. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:2:p:693-730.

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2023Macroeconomic News in Asset Pricing and Reality. (2023). Duffee, Gregory R. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:3:p:1499-1543.

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2023Sentiment or habits: Why not both?. (2023). Tham, Eric. In: Journal of Financial Research. RePEc:bla:jfnres:v:46:y:2023:i:1:p:203-215.

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2023.

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2023Augmenting the Realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects. (2023). Papantonis, Ioannis ; Orestis, Agapitos ; Elias, Tzavalis ; Ioannis, Papantonis ; Leonidas, Rompolis. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:2:p:171-198:n:8.

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2023.

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2023Financial Integration and European Tourism Stocks. (2023). Wu, Jiaying ; Karanasos, Menelaos ; Yfanti, Stavroula ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10269.

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2023Modeling and evaluating conditional quantile dynamics in VaR forecasts. (2023). Palandri, A ; Gallo, G M ; Cipollini, F. In: Working Paper CRENoS. RePEc:cns:cnscwp:202308.

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2023Ofertas públicas de adquisición y su efecto sobre la rentabilidad de los mercados accionarios: el caso de Nutresa y sura en Colombia. (2023). Parra-Amado, Daniel ; Melo-Velandia, Luis ; Orozco-Vanegas, Camilo Andres. In: Revista de Economía del Rosario. RePEc:col:000151:020942.

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2023Realized Covariance Models with Time-varying Parameters and Spillover Effects. (2023). Bauwens, Luc ; Otranto, Edoardo. In: LIDAM Discussion Papers CORE. RePEc:cor:louvco:2023019.

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2023Assessing Volatility Patterns using GARCH Family Models: A Comparative Analysis Between the Developed Stock Markets in Italy and Poland. (2023). Simion, Mircea Laurentiu ; Trivedi, Jatin ; Birau, Ramona ; Spulbar, Cristi ; Baid, Rachana. In: Economics and Applied Informatics. RePEc:ddj:fseeai:y:2023:i:1:p:5-11.

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2023Quantifying Long-Term Volatility for Developed Stock Markets: An Empirical Case Study Using PGARCH Model on Toronto Stock Exchange (TSX). (2023). Manohar, Singh ; Abhishek, Anand ; Simion, Mircea Laurentiu ; Birau, Ramona ; Bharat, Meher Kumar ; Santosh, Kumar. In: Economics and Applied Informatics. RePEc:ddj:fseeai:y:2023:i:2:p:61-68.

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2023Asset allocation and risk taking under different interest rate regimes. (2023). Kostka, Thomas ; Vassallo, Danilo ; Hermans, Lieven. In: Working Paper Series. RePEc:ecb:ecbwps:20232803.

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2023The Impact of Covid-19 on Oil Market Returns: Has Market Efficiency Being Violated?. (2023). Phiri, Andrew ; Anyikwa, Izunna ; Moyo, Clement. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2023-01-16.

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2023The effect of systems of management controls on honesty in managerial reporting. (2023). Krishnan, Ranjani ; Gallani, Susanna ; Deore, Aishwarrya. In: Accounting, Organizations and Society. RePEc:eee:aosoci:v:105:y:2023:i:c:s036136822200068x.

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2023High-dimensional sparse portfolio selection with nonnegative constraint. (2023). Yang, HU ; Xia, Siwei. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:443:y:2023:i:c:s0096300322008347.

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2023Modelling barriers to low-carbon technologies in energy system analysis: The example of renewable heat in Ireland. (2023). Curtis, John ; Clancy, Matthew ; Zhu, Tong. In: Applied Energy. RePEc:eee:appene:v:330:y:2023:i:pa:s0306261922015719.

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2023Is sentiment the solution to the risk–return puzzle? A (cautionary) note. (2023). Gebka, Bartosz ; Ung, Sze Nie. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:37:y:2023:i:c:s2214635023000011.

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2023Robust inference in single firm/single event analyses. (2023). Schoch, Daniela Stephanie ; Elsas, Ralf. In: Journal of Corporate Finance. RePEc:eee:corfin:v:80:y:2023:i:c:s0929119923000408.

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2023Does ambiguity matter for corporate debt financing? Theory and evidence. (2023). Yu, Min-Teh ; Yeh, Chung-Ying ; Yan, Cheng ; Ho, Kung-Cheng ; Chen, Chang-Chih. In: Journal of Corporate Finance. RePEc:eee:corfin:v:80:y:2023:i:c:s0929119923000743.

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2023Interest rate changes and the cross-section of global equity returns. (2023). Long, Huaigang ; Bianchi, Robert J ; Cakici, Nusret ; Zaremba, Adam. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:147:y:2023:i:c:s0165188923000027.

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2023Nonparametric tests for market timing ability using daily mutual fund returns. (2023). Peng, Liang ; Liu, Xiaohui ; Jiang, Lei ; Ding, Jing. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:150:y:2023:i:c:s0165188923000416.

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2023Systemic risk of optioned portfolio: Controllability and optimization. (2023). Ma, Jiali ; Cui, Xueting ; Zhu, Shushang ; Pang, Xiaochuan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:153:y:2023:i:c:s0165188923001070.

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2023Currency portfolio behavior in seven major Asian markets. (2023). Lin, Chinho ; Chang, Hao-Wen. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:79:y:2023:i:c:p:540-559.

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2023Forecasting dividend growth: The role of adjusted earnings yield. (2023). Li, Luyang ; Chen, LI ; Huang, Difang ; Yu, Deshui. In: Economic Modelling. RePEc:eee:ecmode:v:120:y:2023:i:c:s0264999322004254.

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2023The role of uncertainty in forecasting volatility comovements across stock markets. (2023). Palomba, Giulio ; Rossi, Eduardo ; Bucci, Andrea. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001219.

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2023Price Risk Analysis using GARCH Family Models: Evidence from Shanghai Crude Oil Futures Market. (2023). Si, Xiaoli ; Pei, Haotian ; Yang, Aijun ; Bei, Shuhua. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001797.

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2023Stablecoins as a tool to mitigate the downside risk of cryptocurrency portfolios. (2023). Huelamo, Diego ; Esparcia, Carlos ; Diaz, Antonio. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001735.

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2023Hedge fund performance persistence under different business cycles and stock market regimes. (2023). Tolikas, Konstantinos ; Andrikopoulos, Athanasios ; Stafylas, Dimitrios. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822002017.

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2023US structural drivers of international portfolio returns. (2023). Tong, Eric ; So, Inhwan ; Jang, Bosung. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822002078.

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2023Searching hedging instruments against diverse global risks and uncertainties. (2023). Rafia, Humaira Tahsin ; Gider, Zeynullah ; Hassan, Kabir M ; Hasan, Md Bokhtiar ; Rashid, Mamunur. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:66:y:2023:i:c:s1062940823000165.

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2023A description of the COVID-19 outbreak role in financial risk forecasting. (2023). Righi, Marcelo Brutti ; Santos, Samuel Solgon ; Muller, Fernanda Maria. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:66:y:2023:i:c:s1062940823000177.

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2023Forecasting VIX using two-component realized EGARCH model. (2023). Liu, LI ; Zhao, AN ; Wu, Xinyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000578.

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2023Factor-based portfolio optimization. (2023). Cho, Wonho ; Auh, Jun Kyung. In: Economics Letters. RePEc:eee:ecolet:v:228:y:2023:i:c:s0165176523001623.

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2023A simple joint model for returns, volatility and volatility of volatility. (2023). Ding, Yashuang. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:521-543.

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2023Testing and support recovery of correlation structures for matrix-valued observations with an application to stock market data. (2023). Xia, Yin ; Xu, Yan ; Yang, Dan ; Chen, Xin ; Shen, Haipeng ; Wang, Dong. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:544-564.

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2023Conditional asymmetry in Power ARCH(?) models. (2023). Royer, Julien. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:178-204.

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2023Intraday cross-sectional distributions of systematic risk. (2023). Andersen, Torben ; Todorov, Viktor ; Thyrsgaard, Martin ; Riva, Raul. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1394-1418.

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2023Estimation and inference in factor copula models with exogenous covariates. (2023). Wied, Dominik ; Mayer, Alexander. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1500-1521.

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2023Large volatility matrix analysis using global and national factor models. (2023). Kim, Donggyu ; Choi, Sung Hoon. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1917-1933.

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2023Uniform and Lp convergences for nonparametric continuous time regressions with semiparametric applications. (2023). Wang, Bin ; Kim, Jihyun ; Bu, Ruijun. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1934-1954.

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2023Sharpe Ratio analysis in high dimensions: Residual-based nodewise regression in factor models. (2023). Medeiros, Marcelo ; Caner, Mehmet. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:393-417.

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2023GARCH density and functional forecasts. (2023). Paruolo, Paolo ; Luati, Alessandra ; Abadir, Karim M. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:470-483.

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2023Model averaging for asymptotically optimal combined forecasts. (2023). Liu, Chu-An ; Chen, Yi-Ting. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:592-607.

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2023Semiparametric estimation of latent variable asset pricing models. (2023). Dalderop, Jeroen. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:1:s0304407623001598.

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2023Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach. (2023). Trucíos, Carlos ; Hallin, Marc ; Trucios, Carlos. In: Econometrics and Statistics. RePEc:eee:ecosta:v:27:y:2023:i:c:p:1-15.

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2023Expectation dispersion, uncertainty, and the reaction to news. (2023). Enders, Zeno ; Dovern, Jonas ; Born, Benjamin. In: European Economic Review. RePEc:eee:eecrev:v:154:y:2023:i:c:s0014292123000697.

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More than 100 citations found, this list is not complete...

Works by Ravi Jagannathan:

YearTitleTypeCited
2010Cross-Sectional Asset Pricing Tests In: Annual Review of Financial Economics.
[Full Text][Citation analysis]		article18
2002Generalized Method of Moments: Applications in Finance. In: Journal of Business & Economic Statistics.
[Citation analysis]		article23
2005Reforming the Bookbuilding Process for IPOs In: Journal of Applied Corporate Finance.
[Full Text][Citation analysis]		article12
1985 An Investigation of Commodity Futures Prices Using the Consumption-based Intertemporal Capital Asset Pricing Model. In: Journal of Finance.
[Full Text][Citation analysis]		article43
1993 On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks. In: Journal of Finance.
[Full Text][Citation analysis]		article3713
1993On the relation between the expected value and the volatility of the nominal excess return on stocks.(1993) In: Staff Report.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3713		paper
1996 The Conditional CAPM and the Cross-Section of Expected Returns. In: Journal of Finance.
[Full Text][Citation analysis]		article868
1996The conditional CAPM and the cross-section of expected returns.(1996) In: Staff Report.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 868		paper
1997 Assessing Specification Errors in Stochastic Discount Factor Models. In: Journal of Finance.
[Full Text][Citation analysis]		article371
1994Assessing specification errors in stochastic discount factor models.(1994) In: Staff Report.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 371		paper
1994Assessing Specification Errors in Stochastic Discount Factor Models.(1994) In: NBER Technical Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 371		paper
2003Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps In: Journal of Finance.
[Full Text][Citation analysis]		article583
2002Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps.(2002) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 583		paper
2005The Stock Markets Reaction to Unemployment News: Why Bad News Is Usually Good for Stocks In: Journal of Finance.
[Full Text][Citation analysis]		article379
2001The Stock Markets Reaction to Unemployment News: Why Bad News is Usually Good for Stocks.(2001) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 379		paper
2007Lazy Investors, Discretionary Consumption, and the Cross?Section of Stock Returns In: Journal of Finance.
[Full Text][Citation analysis]		article98
2010Do Hot Hands Exist among Hedge Fund Managers? An Empirical Evaluation In: Journal of Finance.
[Full Text][Citation analysis]		article108
2006Do Hot Hands Exist Among Hedge Fund Managers? An Empirical Evaluation.(2006) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 108		paper
2019Dividend Dynamics, Learning, and Expected Stock Index Returns In: Journal of Finance.
[Full Text][Citation analysis]		article13
2015Dividend Dynamics, Learning, and Expected Stock Index Returns.(2015) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13		paper
2019Corrigendum for Dividend Dynamics, Learning, and Expected Stock Index Returns In: Journal of Finance.
[Full Text][Citation analysis]		article13
2019A Note on “Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps” In: Journal of Finance.
[Full Text][Citation analysis]		article0
2009Avoiding the Next Crisis In: The Economists' Voice.
[Full Text][Citation analysis]		article7
2014Momentum Trading, Return Chasing, and Predictable Crashes In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper17
2014Momentum Trading, Return Chasing and Predictable Crashes.(2014) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 17		paper
2014Momentum Trading, Return Chasing, and Predictable Crashes.(2014) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 17		paper
2002A direct test for the mean variance efficiency of a portfolio In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article41
1999Does product market competition reduce agency costs? In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]		article25
2000Does Product Market Competition Reduce Agency Costs?.(2000) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 25		paper
2003An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices In: Journal of Econometrics.
[Full Text][Citation analysis]		article42
2001An Evaluation of Multi-Factor CIR Models Using LIBOR, Swap Rates, and Cap and Swaption Prices.(2001) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 42		paper
1994A contingent claim approach to performance evaluation In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article58
1993A contingent claim approach to performance evaluation.(1993) In: Staff Report.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 58		paper
2012CAPM for estimating the cost of equity capital: Interpreting the empirical evidence In: Journal of Financial Economics.
[Full Text][Citation analysis]		article46
2009CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence.(2009) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 46		paper
2016Why do firms use high discount rates? In: Journal of Financial Economics.
[Full Text][Citation analysis]		article33
1984Call options and the risk of underlying securities In: Journal of Financial Economics.
[Full Text][Citation analysis]		article27
1998Why do stock prices drop by less than the value of the dividend? Evidence from a country without taxes In: Journal of Financial Economics.
[Full Text][Citation analysis]		article106
1997Why do stock prices drop by less than the value of the dividend? Evidence from a country without taxes.(1997) In: Staff Report.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 106		paper
2013Causes of the great recession of 2007–2009: The financial crisis was the symptom not the disease! In: Journal of Financial Intermediation.
[Full Text][Citation analysis]		article10
2015Share auctions of initial public offerings: Global evidence In: Journal of Financial Intermediation.
[Full Text][Citation analysis]		article23
1990Ex-day behavior of japanese stock prices: New insights from new methodology In: Journal of the Japanese and International Economies.
[Full Text][Citation analysis]		article7
1990Ex-day behavior of Japanese stock prices: new insights from new methodology.(1990) In: Discussion Paper / Institute for Empirical Macroeconomics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		paper
1990Ex-Day Behavior of Japanese Stock Prices: New Insights from New Methodology.(1990) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		paper
1997Relationship between labor-income risk and average return: empirical evidence from the Japanese stock market In: Discussion Paper / Institute for Empirical Macroeconomics.
[Full Text][Citation analysis]		paper59
1998Relationship between Labor-Income Risk and Average Return: Empirical Evidence from the Japanese Stock Market..(1998) In: The Journal of Business.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 59		article
1990Implications of security market data for models of dynamic economies In: Discussion Paper / Institute for Empirical Macroeconomics.
[Full Text][Citation analysis]		paper776
1990Implications of Security Market Data for Models of Dynamic Economies.(1990) In: NBER Technical Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 776		paper
1991Implications of Security Market Data for Models of Dynamic Economies..(1991) In: Journal of Political Economy.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 776		article
1990The simple analytics of commodity futures markets: do they stabilize prices? Do they raise welfare? In: Quarterly Review.
[Full Text][Citation analysis]		article0
1995The CAPM debate In: Quarterly Review.
[Full Text][Citation analysis]		article12
1996Why should older people invest less in stock than younger people? In: Quarterly Review.
[Full Text][Citation analysis]		article71
2000The declining U.S. equity premium In: Quarterly Review.
[Full Text][Citation analysis]		article69
2001The Declining U.S. Equity Premium.(2001) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 69		paper
1987Seasonalities in security returns: the case of earnings announcements In: Staff Report.
[Full Text][Citation analysis]		paper3
1993The CAPM is alive and well In: Staff Report.
[Full Text][Citation analysis]		paper32
1994THE CAPM IS ALIVE AND WELL.(1994) In: Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 32		paper
1994Ex-dividend price behavior of common stocks In: Staff Report.
[Full Text][Citation analysis]		paper60
1994Ex-dividend price behavior of common stocks.(1994) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 60		paper
1994Ex-dividend Price Behavior of Common Stocks..(1994) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 60		article
1996Econometric evaluation of asset pricing models In: Staff Report.
[Full Text][Citation analysis]		paper8
2002Do We Need CAPM for Capital Budgeting? In: Financial Management.
[Citation analysis]		article18
2002Do We Need CAPM for Capital Budgeting?.(2002) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 18		paper
1974A Sequential Algorithm for a Class of Programming Problems with Nonlinear Constraints In: Management Science.
[Full Text][Citation analysis]		article0
1978A Minimax Ordering Policy for the Infinite Stage Dynamic Inventory Problem In: Management Science.
[Full Text][Citation analysis]		article1
1979Erratum to A Minimax Ordering Policy for the Infinite Stage Dynamic Inventory Problem In: Management Science.
[Full Text][Citation analysis]		article0
1985Use of Sample Information in Stochastic Recourse and Chance-Constrained Programming Models In: Management Science.
[Full Text][Citation analysis]		article7
1985An Algorithm for a Class of Nonconvex Programming Problems with Nonlinear Fractional Objectives In: Management Science.
[Full Text][Citation analysis]		article2
1987Note---Response In: Management Science.
[Full Text][Citation analysis]		article0
2009Jackknife Estimator for Tracking Error Variance of Optimal Portfolios In: Management Science.
[Full Text][Citation analysis]		article19
2012Calendar Cycles, Infrequent Decisions, and the Cross Section of Stock Returns In: Management Science.
[Full Text][Citation analysis]		article10
2004A Jackknife Estimator for Tracking Error Variance of Optimal Portfolios Constructed Using Estimated Inputs1 In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2005Consumption Risk and the Cost of Equity Capital In: NBER Working Papers.
[Full Text][Citation analysis]		paper7
2006Why Do IPO Auctions Fail? In: NBER Working Papers.
[Full Text][Citation analysis]		paper18
2007When Does a Mutual Funds Trade Reveal its Skill? In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2008Price Momentum In Stocks: Insights From Victorian Age Data In: NBER Working Papers.
[Full Text][Citation analysis]		paper11
2008Informed Trading, Liquidity Provision, and Stock Selection by Mutual Funds In: NBER Working Papers.
[Full Text][Citation analysis]		paper1
2009Causes of the Great Recession of 2007-9: The Financial Crisis is the Symptom not the Disease! In: NBER Working Papers.
[Full Text][Citation analysis]		paper7
2009Momentum Cycles and Limits to Arbitrage Evidence from Victorian England and Post-Depression US Stock Markets In: NBER Working Papers.
[Full Text][Citation analysis]		paper13
2010Why Dont Issuers Choose IPO Auctions? The Complexity of Indirect Mechanisms In: NBER Working Papers.
[Full Text][Citation analysis]		paper5
2011The Cross-Section of Hurdle Rates for Capital Budgeting: An Empirical Analysis of Survey Data In: NBER Working Papers.
[Full Text][Citation analysis]		paper9
2011Price Dividend Ratio Factors : Proxies for Long Run Risk In: NBER Working Papers.
[Full Text][Citation analysis]		paper6
2015Price-Dividend Ratio Factor Proxies for Long-Run Risks.(2015) In: The Review of Asset Pricing Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		article
2012Tail Risk in Momentum Strategy Returns In: NBER Working Papers.
[Full Text][Citation analysis]		paper32
2012Building Castles in the Air: Evidence from Industry IPO Waves In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2014Growth Expectations, Dividend Yields, and Future Stock Returns In: NBER Working Papers.
[Full Text][Citation analysis]		paper3
2017Environmental, Social, and Governance Criteria: Why Investors are Paying Attention In: NBER Working Papers.
[Full Text][Citation analysis]		paper9
2017Stock Price Crashes: Role of Slow-Moving Capital In: NBER Working Papers.
[Full Text][Citation analysis]		paper1
2019On Frequent Batch Auctions for Stocks In: NBER Working Papers.
[Full Text][Citation analysis]		paper3
2020Return to Venture Capital in the Aggregate In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2020A Return Based Measure of Firm Quality In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2023Price Destabilizing Speculation: The Role of Strategic Limit Orders In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2023Franchise Value, Intangibles, and Tobin’s Q In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2023An Intangibles-Adjusted Profitability Factor In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2023Day Traders, Noise, and Cost of Immediacy In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
1999Valuing the Reload Features of Executive Stock Options In: NBER Working Papers.
[Full Text][Citation analysis]		paper12
2001Empirical Evaluation of Asset Pricing Models: A Comparison of the SDF and Beta Methods In: NBER Working Papers.
[Full Text][Citation analysis]		paper14
2002Understanding Mutual Fund and Hedge Fund Styles Using Return Based Style Analysis In: NBER Working Papers.
[Full Text][Citation analysis]		paper4
2005UNDERSTANDING MUTUAL FUND AND HEDGE FUND STYLES USING RETURN-BASED STYLE ANALYSIS.(2005) In: World Scientific Book Chapters.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		chapter
1984Banking Panics In: Discussion Papers.
[Full Text][Citation analysis]		paper50
1989Effects of Insider Trading Disclosures on Speculative Activity and Future Prices. In: Economic Inquiry.
[Citation analysis]		article2
1990Price Stability and Futures Trading in Commodities In: The Quarterly Journal of Economics.
[Full Text][Citation analysis]		article12
2011Impatient Trading, Liquidity Provision, and Stock Selection by Mutual Funds In: Review of Financial Studies.
[Full Text][Citation analysis]		article24
1986Assessing the Market Timing Performance of Managed Portfolios. In: The Journal of Business.
[Full Text][Citation analysis]		article100
1986Correcting for Heteroscedasticity in Tests for Market Timing Ability. In: The Journal of Business.
[Full Text][Citation analysis]		article11
2021Recovery from fast crashes: Role of mutual funds In: SAFE Working Paper Series.
[Full Text][Citation analysis]		paper0

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