Ravi Jagannathan : Citation Profile


Are you Ravi Jagannathan?

Northwestern University

22

H index

33

i10 index

5293

Citations

RESEARCH PRODUCTION:

49

Articles

50

Papers

1

Chapters

RESEARCH ACTIVITY:

   44 years (1974 - 2018). See details.
   Cites by year: 120
   Journals where Ravi Jagannathan has often published
   Relations with other researchers
   Recent citing documents: 690.    Total self citations: 33 (0.62 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pja91
   Updated: 2019-03-23    RAS profile: 2019-02-18    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Chabot, Benjamin (3)

Pelizzon, Loriana (2)

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

Is cited by:

McAleer, Michael (82)

faff, robert (37)

Robotti, Cesare (29)

Chang, Chia-Lin (29)

zhang, xiaoyan (27)

Ang, Andrew (23)

Allen, David (22)

Lustig, Hanno (22)

Ferson, Wayne (21)

Engle, Robert (21)

Bansal, Ravi (20)

Cites to:

Campbell, John (25)

French, Kenneth (25)

Fama, Eugene (25)

Hansen, Lars (20)

Titman, Sheridan (20)

Grinblatt, Mark (17)

merton, robert (16)

Shleifer, Andrei (16)

Shanken, Jay (13)

Sherman, Ann (13)

Wang, Zhenyu (12)

Main data


Where Ravi Jagannathan has published?


Journals with more than one article published# docs
Journal of Finance12
Management Science8
Quarterly Review4
Journal of Financial Economics4
The Journal of Business3
Review of Financial Studies2
Journal of Financial Intermediation2

Working Papers Series with more than one paper published# docs
Staff Report / Federal Reserve Bank of Minneapolis9
Discussion Paper / Institute for Empirical Macroeconomics / Federal Reserve Bank of Minneapolis3

Recent works citing Ravi Jagannathan (2019 and 2018)


YearTitle of citing document
2017Statistical tests for equal predictive ability across multiple forecasting methods. (2017). Borup, Daniel ; Thyrsgaard, Martin. In: CREATES Research Papers. RePEc:aah:create:2017-19.

Full description at Econpapers || Download paper

2017Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model. (2017). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2017-28.

Full description at Econpapers || Download paper

2017Modelling and forecasting WIG20 daily returns. (2017). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2017-29.

Full description at Econpapers || Download paper

2017Long- and Short-Run Components of Factor Betas: Implications for Equity Pricing. (2017). Christiansen, Charlotte ; Asgharian, Hossein ; Wang, Weining ; Jun, AI. In: CREATES Research Papers. RePEc:aah:create:2017-34.

Full description at Econpapers || Download paper

2018The Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets. (2018). Andersen, Torben ; Todorov, Viktor ; Fusari, Nicola. In: CREATES Research Papers. RePEc:aah:create:2018-02.

Full description at Econpapers || Download paper

2018The Risk Premia Embedded in Index Options. (2018). Andersen, Torben ; Todorov, Viktor ; Fusari, Nicola. In: CREATES Research Papers. RePEc:aah:create:2018-07.

Full description at Econpapers || Download paper

2018Models with Multiplicative Decomposition of Conditional Variances and Correlations. (2018). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2018-14.

Full description at Econpapers || Download paper

2018Realizing Correlations Across Asset Classes. (2018). Elst, Harry Vander ; Olesen, Kasper V ; Lunde, Asger ; Gronborg, Niels S. In: CREATES Research Papers. RePEc:aah:create:2018-37.

Full description at Econpapers || Download paper

2017CAPM applications for appropriate stock pricing – impact of speculation companies. (2017). Skalna, Iwona ; Urbaski, Stanisaw. In: Managerial Economics. RePEc:agh:journl:v:18:y:2017:i:2:p:227-245.

Full description at Econpapers || Download paper

2017Modeling of stock indices with HMM-SV models. (2017). Wulu, J T ; Nkemnole, E B. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxiv:y:2017:i:2(611):p:45-60.

Full description at Econpapers || Download paper

2017SYSTEMATIC RISK FACTORS AND STOCK RETURN VOLATILITY. (2017). Ali, Syed Kamran ; Ahmed, Ishtiaq ; Hashmi, Shujahat Haider. In: APSTRACT: Applied Studies in Agribusiness and Commerce. RePEc:ags:apstra:265587.

Full description at Econpapers || Download paper

2018The Bayesian MS-GARCH model and Value-at-Risk in South African agricultural commodity price markets. (2018). Shiferaw, Y. In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:275991.

Full description at Econpapers || Download paper

2018Modeling the Volatility and Forecasting the Stock Price of the German Stock Index (DAX30). (2018). Nguyen, Tristan ; Mai, Thi Thanh. In: International Journal of Economics and Financial Research. RePEc:arp:ijefrr:2018:p:72-92.

Full description at Econpapers || Download paper

2017Russian-Doll Risk Models. (2017). Kakushadze, Zura. In: Papers. RePEc:arx:papers:1412.4342.

Full description at Econpapers || Download paper

2017Statistical Risk Models. (2017). Kakushadze, Zura ; Yu, Willie. In: Papers. RePEc:arx:papers:1602.08070.

Full description at Econpapers || Download paper

2018Solving the Equity Risk Premium Puzzle and Inching Towards a Theory of Everything. (2018). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1604.04872.

Full description at Econpapers || Download paper

2018Multivariate Garch with dynamic beta. (2018). Raddant, Matthias ; Wagner, Friedrich . In: Papers. RePEc:arx:papers:1609.07051.

Full description at Econpapers || Download paper

2017A diagnostic criterion for approximate factor structure. (2017). Scaillet, Olivier ; Gagliardini, Patrick ; Ossola, Elisa . In: Papers. RePEc:arx:papers:1612.04990.

Full description at Econpapers || Download paper

2017Analytic solution to variance optimization with no short-selling. (2017). Kondor, Imre ; Caccioli, Fabio ; Papp, G'Abor. In: Papers. RePEc:arx:papers:1612.07067.

Full description at Econpapers || Download paper

2017Non-parametric and semi-parametric asset pricing. (2017). Ormos, Mihály ; Erdos, Peter ; Zibriczky, David . In: Papers. RePEc:arx:papers:1703.09500.

Full description at Econpapers || Download paper

2017A note on the Nelson Cao inequality constraints in the GJR-GARCH model: Is there a leverage effect?. (2017). Stavroyiannis, Stavros. In: Papers. RePEc:arx:papers:1705.00535.

Full description at Econpapers || Download paper

2017Bayesian Realized-GARCH Models for Financial Tail Risk Forecasting Incorporating Two-sided Weibull Distribution. (2017). Wang, Chao ; Gerlach, Richard ; Chen, Qian. In: Papers. RePEc:arx:papers:1707.03715.

Full description at Econpapers || Download paper

2017Wax and wane of the cross-sectional momentum and contrarian effects: Evidence from the Chinese stock markets. (2017). , . In: Papers. RePEc:arx:papers:1707.05552.

Full description at Econpapers || Download paper

2018Statistical properties and multifractality of Bitcoin. (2018). Takaishi, Tetsuya. In: Papers. RePEc:arx:papers:1707.07618.

Full description at Econpapers || Download paper

2018Spectral backtests of forecast distributions with application to risk management. (2018). Gordy, Michael ; McNeil, Alexander J ; Lok, Hsiao Yen . In: Papers. RePEc:arx:papers:1708.01489.

Full description at Econpapers || Download paper

2017Dynamic Conditional Correlation between Electricity and Stock markets during the Financial Crisis in Greece. (2017). Papaioannou, Panagiotis G ; Dikaiakos, Christos ; Stratigakos, Akylas ; Siettos, Kostas . In: Papers. RePEc:arx:papers:1708.07063.

Full description at Econpapers || Download paper

2017Semiparametric GARCH via Bayesian model averaging. (2017). Ye, Wilson ; Gerlach, Richard H. In: Papers. RePEc:arx:papers:1708.07587.

Full description at Econpapers || Download paper

2017Value-at-Risk and Expected Shortfall for the major digital currencies. (2017). Stavroyiannis, Stavros. In: Papers. RePEc:arx:papers:1708.09343.

Full description at Econpapers || Download paper

2018Uniform Inference for Characteristic Effects of Large Continuous-Time Linear Models. (2018). Yang, Xiye ; Liao, Yuan. In: Papers. RePEc:arx:papers:1711.04392.

Full description at Econpapers || Download paper

2017A nonparametric copula approach to conditional Value-at-Risk. (2017). Geenens, Gery ; Dunn, Richard . In: Papers. RePEc:arx:papers:1712.05527.

Full description at Econpapers || Download paper

2018Regression Based Expected Shortfall Backtesting. (2018). Bayer, Sebastian ; Dimitriadis, Timo . In: Papers. RePEc:arx:papers:1801.04112.

Full description at Econpapers || Download paper

2018Financial density forecasts: A comprehensive comparison of risk-neutral and historical schemes. (2018). Crisóstomo, Ricardo ; Couso, Lorena. In: Papers. RePEc:arx:papers:1801.08007.

Full description at Econpapers || Download paper

2018Large-Scale Dynamic Predictive Regressions. (2018). Bianchi, Daniele ; McAlinn, Kenichiro. In: Papers. RePEc:arx:papers:1803.06738.

Full description at Econpapers || Download paper

2019High Dimensional Estimation and Multi-Factor Models. (2018). Jarrow, Robert ; Wells, Martin T ; Basu, Sumanta ; Zhu, Liao. In: Papers. RePEc:arx:papers:1804.08472.

Full description at Econpapers || Download paper

2018Distributionally Robust Inverse Covariance Estimation: The Wasserstein Shrinkage Estimator. (2018). Nguyen, Viet Anh ; Esfahani, Peyman Mohajerin ; Kuhn, Daniel. In: Papers. RePEc:arx:papers:1805.07194.

Full description at Econpapers || Download paper

2018Asymptotic Refinements of a Misspecification-Robust Bootstrap for Generalized Empirical Likelihood Estimators. (2018). Lee, Seojeong. In: Papers. RePEc:arx:papers:1806.00953.

Full description at Econpapers || Download paper

2018Asymmetric response to PMI announcements in Chinas stock returns. (2018). Wang, Yingli ; Yang, Xiaoguang. In: Papers. RePEc:arx:papers:1806.04347.

Full description at Econpapers || Download paper

2018Factor models with many assets: strong factors, weak factors, and the two-pass procedure. (2018). Anatolyev, Stanislav ; Mikusheva, Anna. In: Papers. RePEc:arx:papers:1807.04094.

Full description at Econpapers || Download paper

2018Entropy Analysis of Financial Time Series. (2018). Schwill, Stephan. In: Papers. RePEc:arx:papers:1807.09423.

Full description at Econpapers || Download paper

2018Adaptive l1-regularization for short-selling control in portfolio selection. (2018). Corsaro, Stefania ; de Simone, Valentina . In: Papers. RePEc:arx:papers:1808.00982.

Full description at Econpapers || Download paper

2018Analytic Moments for GARCH Processes. (2018). Alexander, Carol ; Stanescu, Silvia ; Lazar, Emese. In: Papers. RePEc:arx:papers:1808.09666.

Full description at Econpapers || Download paper

2018An updated review of (sub-)optimal diversification models. (2018). Bock, Johannes. In: Papers. RePEc:arx:papers:1811.08255.

Full description at Econpapers || Download paper

2018Improved Inference on the Rank of a Matrix. (2018). Chen, Qihui ; Fang, Zheng. In: Papers. RePEc:arx:papers:1812.02337.

Full description at Econpapers || Download paper

2018Quantification of market efficiency based on informational-entropy. (2018). Rothenstein, Roland . In: Papers. RePEc:arx:papers:1812.02371.

Full description at Econpapers || Download paper

2018Salvaging Falsified Instrumental Variable Models. (2018). Masten, Matthew A ; Poirier, Alexandre. In: Papers. RePEc:arx:papers:1812.11598.

Full description at Econpapers || Download paper

2017On the economic determinants of optimal stock-bond portfolios: international evidence. (2017). Conrad, Christian ; Stuermer, Karin . In: Working Papers. RePEc:awi:wpaper:0636.

Full description at Econpapers || Download paper

2018‘Déjà vol’ revisited: Survey forecasts of macroeconomic variables predict volatility in the cross-section of industry portfolios. (2018). Conrad, Christian ; Glas, Alexander. In: Working Papers. RePEc:awi:wpaper:0655.

Full description at Econpapers || Download paper

2018Portfolio Performance of Linear SDF Models: An Out-of-Sample Assessment. (2018). Hansen, Erwin ; Guidolin, Massimo ; Lozano-Banda, Martin. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1885.

Full description at Econpapers || Download paper

2018Calibrating the Magnitude of the Countercyclical Capital Buffer Using Market-Based Stress Tests. (2018). van Oordt, Maarten. In: Staff Working Papers. RePEc:bca:bocawp:18-54.

Full description at Econpapers || Download paper

2017CONDITIONAL CO-MOVEMENT AND DYNAMIC INTERACTIONS: US AND BRIC EQUITY MARKETS. (2017). Singh, Amanjot. In: Economic Annals. RePEc:beo:journl:v:62:y:2017:i:212:p:85-112.

Full description at Econpapers || Download paper

2018Risk-Adjusted Linearizations of Dynamic Equilibrium Models. (2018). Lopez, Pierlauro ; Vazquez-Grande, Francisco ; Lopez-Salido, David. In: Working papers. RePEc:bfr:banfra:702.

Full description at Econpapers || Download paper

2017Oil, equities, and the zero lower bound. (2017). Vigfusson, Robert ; Kwon, Hannah ; Johannsen, Benjamin K ; Datta, Deepa . In: BIS Working Papers. RePEc:bis:biswps:617.

Full description at Econpapers || Download paper

2018Vine copulas: modelling systemic risk and enhancing higher‐moment portfolio optimisation. (2018). Yew, Rand Kwong. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:s1:p:423-463.

Full description at Econpapers || Download paper

2018Investor sentiment and the risk–return tradeoff in the Brazilian market. (2018). Piccoli, Pedro ; da Silva, Wesley Vieira. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:s1:p:599-618.

Full description at Econpapers || Download paper

2017Using a functional approach to test trending volatility in the price of Mexican and international agricultural products. (2017). Guerrero, Santiago ; Torres, Miriam Jureza ; dela Valle, Gerardo Hernndeza. In: Agricultural Economics. RePEc:bla:agecon:v:48:y:2017:i:1:p:3-13.

Full description at Econpapers || Download paper

2018Financial risk exposure of returns to education: Panel evidence from Korea*. (2018). Lee, Jaeram ; Ihm, Jungjoon . In: Asian Economic Journal. RePEc:bla:asiaec:v:32:y:2018:i:1:p:83-97.

Full description at Econpapers || Download paper

2017Dynamic Asset Allocation with Liabilities. (2017). Giamouridis, Daniel ; Tessaromatis, Nikolaos ; Sakkas, Athanasios. In: European Financial Management. RePEc:bla:eufman:v:23:y:2017:i:2:p:254-291.

Full description at Econpapers || Download paper

2017The Role of the Conditional Skewness and Kurtosis in VIX Index Valuation. (2017). Lalancette, Simon ; Simonato, Jeana Guy. In: European Financial Management. RePEc:bla:eufman:v:23:y:2017:i:2:p:325-354.

Full description at Econpapers || Download paper

2017The Revealed Preference of Sophisticated Investors. (2017). Blocher, Jesse ; Molyboga, Marat. In: European Financial Management. RePEc:bla:eufman:v:23:y:2017:i:5:p:839-872.

Full description at Econpapers || Download paper

2017CEO personal investment decisions and firm risk. (2017). Cen, Wei ; Doukas, John A. In: European Financial Management. RePEc:bla:eufman:v:23:y:2017:i:5:p:920-950.

Full description at Econpapers || Download paper

2018Investment beliefs of endowments. (2018). Ang, Andrew ; Goetzmann, William N ; Ayala, Andrs. In: European Financial Management. RePEc:bla:eufman:v:24:y:2018:i:1:p:3-33.

Full description at Econpapers || Download paper

2018Mutual Fund Stock†Picking Skill: New Evidence from Valuation†versus Liquidity†Motivated Trading. (2018). Rohleder, Martin ; Wilkens, Marco ; Syryca, Janik ; Schulte, Dominik. In: Financial Management. RePEc:bla:finmgt:v:47:y:2018:i:2:p:309-347.

Full description at Econpapers || Download paper

2018Productivity Risk and Industry Momentum. (2018). Misirli, Efdal Ulas. In: Financial Management. RePEc:bla:finmgt:v:47:y:2018:i:3:p:739-774.

Full description at Econpapers || Download paper

2017The Role of U.S. Market on International Risk-Return Tradeoff Relations. (2017). Sun, Licheng ; Najand, Mohammad ; Meng, Liang . In: The Financial Review. RePEc:bla:finrev:v:52:y:2017:i:3:p:499-526.

Full description at Econpapers || Download paper

2017Specification Error, Estimation Risk, and Conditional Portfolio Rules. (2017). Tian, Weidong ; Yan, Hong ; Kaniel, Ron ; Chapman, David A ; Carlson, Murray. In: International Review of Finance. RePEc:bla:irvfin:v:17:y:2017:i:2:p:263-288.

Full description at Econpapers || Download paper

2017Asset Pricing Model Uncertainty: A Tradeoff between Bias and Variance. (2017). Tian, Weidong ; Zhou, Qing. In: International Review of Finance. RePEc:bla:irvfin:v:17:y:2017:i:2:p:289-324.

Full description at Econpapers || Download paper

2017MONETARY POLICY SURPRISES, INVESTMENT OPPORTUNITIES, AND ASSET PRICES. (2017). Detzel, Andrew. In: Journal of Financial Research. RePEc:bla:jfnres:v:40:y:2017:i:3:p:315-348.

Full description at Econpapers || Download paper

2017Crisis Sentiment in the U.S. Insurance Sector. (2017). Irresberger, Felix ; Konig, Fee Elisabeth. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:84:y:2017:i:4:p:1295-1330.

Full description at Econpapers || Download paper

2017Detecting at-Most-m Changes in Linear Regression Models. (2017). Wang, Shixuan ; Pouliot, William ; Horvath, Lajos. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:4:p:552-590.

Full description at Econpapers || Download paper

2018Modeling the Interactions between Volatility and Returns using EGARCH‐M. (2018). Lange, Rutger-Jan ; Harvey, Andrew. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:909-919.

Full description at Econpapers || Download paper

2018Did the Basel process of capital regulation enhance the resiliency of European Banks?. (2018). Gehrig, Thomas ; Iannino, Maria Chiara . In: Research Discussion Papers. RePEc:bof:bofrdp:2018_016.

Full description at Econpapers || Download paper

2017Stock markets volatility spillovers during financial crises: A DCC-MGARCH with skewed-t density approach. (2017). Balaa, Dahiru A ; Takimotob, Taro . In: Borsa Istanbul Review. RePEc:bor:bistre:v:17:y:2017:i:1:p:25-48.

Full description at Econpapers || Download paper

2017A Study on the Volatility of the Bangladesh Stock Market — Based on GARCH Type Models. (2017). Bhowmik, Roni ; Kumar, Jewel Roy ; Shouyang, Wang ; Chao, WU. In: Journal of Systems Science and Information. RePEc:bpj:jossai:v:5:y:2017:i:3:p:193-215:n:1.

Full description at Econpapers || Download paper

2018A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns. (2018). Haas, Markus ; Ji-Chun, Liu ; Markus, Haas. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:22:y:2018:i:3:p:27:n:3.

Full description at Econpapers || Download paper

2018High-frequency Cash Flow Dynamics. (2018). Pettenuzzo, Davide ; Timmermann, Allan ; Sabbatucci, Riccardo. In: Working Papers. RePEc:brd:wpaper:120.

Full description at Econpapers || Download paper

2018Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff. (2018). Hong, S-Y., ; Linton, O. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1877.

Full description at Econpapers || Download paper

2017Investment Fund Risk: The Tale in the Tails. (2017). Dunne, Peter ; Shaw, Frances . In: Research Technical Papers. RePEc:cbi:wpaper:01/rt/17.

Full description at Econpapers || Download paper

2018Swiss Franc from the Croatian Perspective. (2018). Bonjak, Mile . In: Journal of Central Banking Theory and Practice. RePEc:cbk:journl:v:7:y:2018:i:3:p:41-56.

Full description at Econpapers || Download paper

2017Matrix Inequality Constraints for Vector (Asymmetric Power) GARCH/HEAVY Models and MEM with spillovers: some New (Mixture) Formulations. (2017). Xu, Yongdeng ; Karanasos, Menelaos. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2017/14.

Full description at Econpapers || Download paper

2018Illiquidity and Volatility Spillover effects in Equity Markets during and after the Global Financial Crisis: an MEM approach. (2018). Xu, Yongdeng ; Taylor, Nick ; Lu, Wenna. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2018/6.

Full description at Econpapers || Download paper

2017Generalized Disappointment Aversion, Learning, and Asset Prices. (2017). Babiak, Mykola. In: CERGE-EI Working Papers. RePEc:cer:papers:wp606.

Full description at Econpapers || Download paper

2017Dissecting Characteristics Nonparametrically. (2017). Weber, Michael ; Freyberger, Joachim ; Neuhierl, Andreas. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6391.

Full description at Econpapers || Download paper

2018Diversification Power of Real Estate Market Securities: The Role of Financial Crisis and Dividend Policy. (2018). Ilbasmis, Metin ; Zhao, Yuan ; Gronwald, Marc. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7015.

Full description at Econpapers || Download paper

2018Order Invariant Tests for Proper Calibration of Multivariate Density Forecasts. (2018). Dovern, Jonas ; Manner, Hans. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7023.

Full description at Econpapers || Download paper

2018Modelling Volatility of Cryptocurrencies Using Markov-Switching Garch Models. (2018). Caporale, Guglielmo Maria ; Zekokh, Timur. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7167.

Full description at Econpapers || Download paper

2018Beauty Contests and the Term Structure. (2018). Tischbirek, Andreas ; Ellison, Martin. In: Discussion Papers. RePEc:cfm:wpaper:1807.

Full description at Econpapers || Download paper

2018Robust Estimation with Exponentially Tilted Hellinger Distance. (2018). Antoine, Bertille ; Dovonon, Prosper. In: CIRANO Working Papers. RePEc:cir:cirwor:2018s-38.

Full description at Econpapers || Download paper

2017Empirical Evaluation of Overspecified Asset Pricing Models. (2017). Sentana, Enrique ; Pearanda, Francisco ; Manresa, Elena. In: Working Papers. RePEc:cmf:wpaper:wp2017_1711.

Full description at Econpapers || Download paper

2017Does Public News Decrease Information Asymmetries? Evidence from the Weekly Petroleum Status Report. (2017). Crego, Julio A. In: Working Papers. RePEc:cmf:wpaper:wp2017_1714.

Full description at Econpapers || Download paper

2017Empirical Evaluation of Overspecified Asset Pricing Models. (2017). Manresa, Elena ; Sentana, Enrique ; Pearanda, Francisco . In: Working Papers. RePEc:cmf:wpaper:wp2018_1711.

Full description at Econpapers || Download paper

2017Does Public News Decrease Information Asymmetries? Evidence from the Weekly Petroleum Status Report. (2017). Crego, Julio A. In: Working Papers. RePEc:cmf:wpaper:wp2018_1714.

Full description at Econpapers || Download paper

2018Nonlinearities and Regimes in Conditional Correlations with Different Dynamics. (2018). Bauwens, L ; Otrando, E. In: Working Paper CRENoS. RePEc:cns:cnscwp:201803.

Full description at Econpapers || Download paper

2017La volatilidad del tipo de cambio paralelo en Venezuela 2005-2015. (2017). Castillo, Laura Daniela ; Ramoni-Perazzi, Josefa . In: REVISTA APUNTES DEL CENES. RePEc:col:000152:015363.

Full description at Econpapers || Download paper

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]
article11
2002Generalized Method of Moments: Applications in Finance. In: Journal of Business & Economic Statistics.
[Citation analysis]
article13
2005Reforming the Bookbuilding Process for IPOs In: Journal of Applied Corporate Finance.
[Full Text][Citation analysis]
article8
1985 An Investigation of Commodity Futures Prices Using the Consumption-based Intertemporal Capital Asset Pricing Model. In: Journal of Finance.
[Full Text][Citation analysis]
article23
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]
article2191
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 another version. Agregated cites: 2191
paper
1996 The Conditional CAPM and the Cross-Section of Expected Returns. In: Journal of Finance.
[Full Text][Citation analysis]
article678
1996The conditional CAPM and the cross-section of expected returns.(1996) In: Staff Report.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 678
paper
1997 Assessing Specification Errors in Stochastic Discount Factor Models. In: Journal of Finance.
[Full Text][Citation analysis]
article264
1994Assessing specification errors in stochastic discount factor models.(1994) In: Staff Report.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 264
paper
1994Assessing Specification Errors in Stochastic Discount Factor Models.(1994) In: NBER Technical Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 264
paper
1998A Note on the Asymptotic Covariance in Fama-MacBeth Regression In: Journal of Finance.
[Full Text][Citation analysis]
article1
1998An Asymptotic Theory for Estimating Beta-Pricing Models Using Cross-Sectional Regression In: Journal of Finance.
[Full Text][Citation analysis]
article82
2002Empirical Evaluation of Asset-Pricing Models: A Comparison of the SDF and Beta Methods In: Journal of Finance.
[Full Text][Citation analysis]
article47
2001Empirical Evaluation of Asset Pricing Models: A Comparison of the SDF and Beta Methods.(2001) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 47
paper
2003Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps In: Journal of Finance.
[Full Text][Citation analysis]
article308
2002Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps.(2002) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 308
paper
2005The Stock Markets Reaction to Unemployment News: Why Bad News Is Usually Good for Stocks In: Journal of Finance.
[Full Text][Citation analysis]
article199
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 another version. Agregated cites: 199
paper
2007Lazy Investors, Discretionary Consumption, and the Cross-Section of Stock Returns In: Journal of Finance.
[Full Text][Citation analysis]
article53
2010Do Hot Hands Exist among Hedge Fund Managers? An Empirical Evaluation In: Journal of Finance.
[Full Text][Citation analysis]
article63
2006Do Hot Hands Exist Among Hedge Fund Managers? An Empirical Evaluation.(2006) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 63
paper
2019Dividend Dynamics, Learning, and Expected Stock Index Returns In: Journal of Finance.
[Full Text][Citation analysis]
article0
2009Avoiding the Next Crisis In: The Economists' Voice.
[Full Text][Citation analysis]
article6
2014Momentum Trading, Return Chasing, and Predictable Crashes In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper8
2014Momentum Trading, Return Chasing and Predictable Crashes.(2014) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8
paper
2014Momentum Trading, Return Chasing, and Predictable Crashes.(2014) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8
paper
2002A direct test for the mean variance efficiency of a portfolio In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
article24
1999Does product market competition reduce agency costs? In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]
article15
2000Does Product Market Competition Reduce Agency Costs?.(2000) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 15
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]
article36
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 another version. Agregated cites: 36
paper
1994A contingent claim approach to performance evaluation In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article42
1993A contingent claim approach to performance evaluation.(1993) In: Staff Report.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 42
paper
2012CAPM for estimating the cost of equity capital: Interpreting the empirical evidence In: Journal of Financial Economics.
[Full Text][Citation analysis]
article16
2009CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence.(2009) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16
paper
2016Why do firms use high discount rates? In: Journal of Financial Economics.
[Full Text][Citation analysis]
article6
1984Call options and the risk of underlying securities In: Journal of Financial Economics.
[Full Text][Citation analysis]
article22
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]
article83
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 another version. Agregated cites: 83
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]
article2
2015Share auctions of initial public offerings: Global evidence In: Journal of Financial Intermediation.
[Full Text][Citation analysis]
article7
1990Ex-day behavior of japanese stock prices: New insights from new methodology In: Journal of the Japanese and International Economies.
[Full Text][Citation analysis]
article4
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 another version. Agregated cites: 4
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 another version. Agregated cites: 4
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]
paper44
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 another version. Agregated cites: 44
article
1990Implications of security market data for models of dynamic economies In: Discussion Paper / Institute for Empirical Macroeconomics.
[Full Text][Citation analysis]
paper577
1990Implications of Security Market Data for Models of Dynamic Economies.(1990) In: NBER Technical Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 577
paper
1991Implications of Security Market Data for Models of Dynamic Economies..(1991) In: Journal of Political Economy.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 577
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]
article13
1996Why should older people invest less in stock than younger people? In: Quarterly Review.
[Full Text][Citation analysis]
article60
2000The declining U.S. equity premium In: Quarterly Review.
[Full Text][Citation analysis]
article56
2001The Declining U.S. Equity Premium.(2001) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 56
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]
paper20
1994THE CAPM IS ALIVE AND WELL.(1994) In: Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 20
paper
1994Ex-dividend price behavior of common stocks In: Staff Report.
[Full Text][Citation analysis]
paper45
1994Ex-dividend price behavior of common stocks.(1994) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 45
paper
1994Ex-dividend Price Behavior of Common Stocks..(1994) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 45
article
1996Econometric evaluation of asset pricing models In: Staff Report.
[Full Text][Citation analysis]
paper6
2002Do We Need CAPM for Capital Budgeting? In: Financial Management.
[Citation analysis]
article11
2002Do We Need CAPM for Capital Budgeting?.(2002) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11
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]
article0
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]
article6
1985An Algorithm for a Class of Nonconvex Programming Problems with Nonlinear Fractional Objectives In: Management Science.
[Full Text][Citation analysis]
article1
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]
article7
2012Calendar Cycles, Infrequent Decisions, and the Cross Section of Stock Returns In: Management Science.
[Full Text][Citation analysis]
article6
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]
paper6
2006Why Do IPO Auctions Fail? In: NBER Working Papers.
[Full Text][Citation analysis]
paper15
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]
paper4
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]
paper6
2009Momentum Cycles and Limits to Arbitrage Evidence from Victorian England and Post-Depression US Stock Markets In: NBER Working Papers.
[Full Text][Citation analysis]
paper10
2010Why Dont Issuers Choose IPO Auctions? The Complexity of Indirect Mechanisms In: NBER Working Papers.
[Full Text][Citation analysis]
paper2
2011The Cross-Section of Hurdle Rates for Capital Budgeting: An Empirical Analysis of Survey Data In: NBER Working Papers.
[Full Text][Citation analysis]
paper3
2011Price Dividend Ratio Factors : Proxies for Long Run Risk In: NBER Working Papers.
[Full Text][Citation analysis]
paper0
2015Price-Dividend Ratio Factor Proxies for Long-Run Risks.(2015) In: Review of Asset Pricing Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
article
2012Tail Risk in Momentum Strategy Returns In: NBER Working Papers.
[Full Text][Citation analysis]
paper18
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]
paper0
2015Dividend Dynamics, Learning, and Expected Stock Index Returns In: NBER Working Papers.
[Full Text][Citation analysis]
paper0
2017Environmental, Social, and Governance Criteria: Why Investors are Paying Attention In: NBER Working Papers.
[Full Text][Citation analysis]
paper0
2017Stock Price Crashes: Role of Slow-Moving Capital In: NBER Working Papers.
[Full Text][Citation analysis]
paper0
2018Stock price crashes: Role of slow-moving capital.(2018) In: SAFE Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
1999Valuing the Reload Features of Executive Stock Options In: NBER Working Papers.
[Full Text][Citation analysis]
paper10
2002Understanding Mutual Fund and Hedge Fund Styles Using Return Based Style Analysis In: NBER Working Papers.
[Full Text][Citation analysis]
paper3
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 another version. Agregated cites: 3
chapter
1984Banking Panics In: Discussion Papers.
[Full Text][Citation analysis]
paper51
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]
article7
2011Impatient Trading, Liquidity Provision, and Stock Selection by Mutual Funds In: Review of Financial Studies.
[Full Text][Citation analysis]
article7
1986Assessing the Market Timing Performance of Managed Portfolios. In: The Journal of Business.
[Full Text][Citation analysis]
article76
1986Correcting for Heteroscedasticity in Tests for Market Timing Ability. In: The Journal of Business.
[Full Text][Citation analysis]
article5

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated February, 1st 2019. Contact: CitEc Team