Ravi Jagannathan : Citation Profile


Are you Ravi Jagannathan?

Northwestern University

22

H index

36

i10 index

5825

Citations

RESEARCH PRODUCTION:

48

Articles

53

Papers

1

Chapters

RESEARCH ACTIVITY:

   46 years (1974 - 2020). See details.
   Cites by year: 126
   Journals where Ravi Jagannathan has often published
   Relations with other researchers
   Recent citing documents: 389.    Total self citations: 32 (0.55 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pja91
   Updated: 2021-02-20    RAS profile: 2020-04-19    
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Relations with other researchers


Works with:

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 (73)

faff, robert (42)

Robotti, Cesare (31)

Chang, Chia-Lin (29)

zhang, xiaoyan (26)

Degiannakis, Stavros (26)

Ang, Andrew (23)

Engle, Robert (22)

Bollerslev, Tim (22)

Sarno, Lucio (21)

Chen, Cathy W. S. (21)

Cites to:

Fama, Eugene (29)

French, Kenneth (28)

Campbell, John (27)

Hansen, Lars (24)

Titman, Sheridan (20)

Shleifer, Andrei (17)

Grinblatt, Mark (17)

merton, robert (16)

Shanken, Jay (15)

Sherman, Ann (14)

Singleton, Kenneth (13)

Main data


Where Ravi Jagannathan has published?


Journals with more than one article published# docs
Journal of Finance11
Management Science8
Journal of Financial Economics4
Quarterly Review4
The Journal of Business3
Journal of Financial Intermediation2
Review of Financial Studies2

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 (2021 and 2020)


YearTitle of citing document
2020Origins of Mutual Fund Skill: Market versus Accounting Based Asset Pricing Anomalies. (2020). Christiansen, Charlotte ; Xu, Yue ; Xing, Ran. In: CREATES Research Papers. RePEc:aah:create:2020-14.

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2020Meta-learning approaches for recovery rate prediction. (2020). Vrins, Frédéric ; Roccazzella, Francesco ; Gambetti, Paolo. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2020007.

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2020High Dimensional Estimation and Multi-Factor Models. (2019). Jarrow, Robert ; Wells, Martin T ; Basu, Sumanta ; Zhu, Liao. In: Papers. RePEc:arx:papers:1804.08472.

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2020Salvaging Falsified Instrumental Variable Models. (2019). Poirier, Alexandre ; Masten, Matthew A. In: Papers. RePEc:arx:papers:1812.11598.

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2020Forecast Encompassing Tests for the Expected Shortfall. (2019). Schnaitmann, Julie ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:1908.04569.

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2020Trading Strategies and Market Color: The Benefits of Friendship with Quantitative Analysts and Financial Engineers. (2019). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1910.02144.

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2020Equal risk option pricing with deep reinforcement learning. (2020). Fr'ed'eric Godin, ; Carbonneau, Alexandre. In: Papers. RePEc:arx:papers:2002.08492.

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2021Modelling volatility with v-transforms. (2020). McNeil, Alexander J. In: Papers. RePEc:arx:papers:2002.10135.

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2020Where do we stand in cryptocurrencies economic research? A survey based on hybrid analysis. (2020). Fernandez Bariviera, Aurelio ; Merediz-Sola, Ignasi. In: Papers. RePEc:arx:papers:2003.09723.

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2020Rationalizing Rational Expectations? Tests and Deviations. (2020). Maurel, Arnaud ; D'Haultfoeuille, Xavier ; Gaillac, Christophe. In: Papers. RePEc:arx:papers:2003.11537.

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2020Company classification using machine learning. (2020). Steinert, Rick ; Shivarova, Antoniya ; Husmann, Sven. In: Papers. RePEc:arx:papers:2004.01496.

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2020Machine Learning Algorithms for Financial Asset Price Forecasting. (2020). Ndikum, Philip. In: Papers. RePEc:arx:papers:2004.01504.

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2020Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling. (2020). Cerqueti, Roy ; Mattera, Raffaele ; Giacalone, Massimiliano. In: Papers. RePEc:arx:papers:2004.11674.

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2020A dynamic conditional approach to portfolio weights forecasting. (2020). Palandri, Alessandro ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2004.12400.

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2020Can Volatility Solve the Na\ive Diversification Puzzle?. (2020). Zalla, Ryan ; Curran, Michael . In: Papers. RePEc:arx:papers:2005.03204.

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2020Nonparametric Expected Shortfall Forecasting Incorporating Weighted Quantiles. (2020). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2005.04868.

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2020Robust Multiple Stopping -- A Pathwise Duality Approach. (2020). Laeven, Roger ; Stadje, Mitja ; John , . In: Papers. RePEc:arx:papers:2006.01802.

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2020Doubly Multiplicative Error Models with Long- and Short-run Components. (2020). Amendola, Alessandra ; Gallo, Giampiero M ; Cipollini, Fabrizio ; Candila, Vincenzo. In: Papers. RePEc:arx:papers:2006.03458.

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2020Re-evaluating cryptocurrencies contribution to portfolio diversification -- A portfolio analysis with special focus on German investors. (2020). Hoffmann, Ingo ; Schmitz, Tim. In: Papers. RePEc:arx:papers:2006.06237.

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2020Time series copula models using d-vines and v-transforms: an alternative to GARCH modelling. (2020). McNeil, Alexander J ; Bladt, Martin. In: Papers. RePEc:arx:papers:2006.11088.

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2020Asset Prices and Capital Share Risks: Theory and Evidence. (2020). Ibrahim, Boulis M ; Byrne, Joseph P ; Zong, Xiaoyu. In: Papers. RePEc:arx:papers:2006.14023.

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2020Forecasting volatility with a stacked model based on a hybridized Artificial Neural Network. (2020). Alonso-Gonz, P J ; Ramos, E ; J. J. N'u~nez-Vel'azquez, . In: Papers. RePEc:arx:papers:2006.16383.

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2020A Research on Cross-sectional Return Dispersion and Volatility of US Stock Market during COVID-19. (2020). Du, Jiawei. In: Papers. RePEc:arx:papers:2007.11546.

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2020The Hansen ratio in mean--variance portfolio theory. (2020). Vcern, Alevs. In: Papers. RePEc:arx:papers:2007.15980.

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2020Tail risk forecasting using Bayesian realized EGARCH models. (2020). Wang, Chao ; Gerlach, Richard ; Tendenan, Vica. In: Papers. RePEc:arx:papers:2008.05147.

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2020Measuring and Managing Carbon Risk in Investment Portfolios. (2020). Roncalli, Thierry ; Sekine, Takaya ; Fr'ed'eric Lepetit, ; le Guenedal, Th'Eo. In: Papers. RePEc:arx:papers:2008.13198.

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2020Counterfactual and Welfare Analysis with an Approximate Model. (2020). Rehbeck, John ; Allen, Roy. In: Papers. RePEc:arx:papers:2009.03379.

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2020Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step Forecasts based on Inference on the Boundary. (2020). Schnaitmann, Julie ; Liu, Xiaochun ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2009.07341.

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2020Distillation of News Flow into Analysis of Stock Reactions. (2020). Bommes, Elisabeth ; Chen, Cathy Y ; Hardle, Wolfgang Karl ; Zhang, Junni L. In: Papers. RePEc:arx:papers:2009.10392.

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2020CoVaR with volatility clustering, heavy tails and non-linear dependence. (2020). Rivieccio, Giorgia ; de Luca, Giovanni ; Bianchi, Michele Leonardo. In: Papers. RePEc:arx:papers:2009.10764.

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2020Parsimonious Quantile Regression of Financial Asset Tail Dynamics via Sequential Learning. (2020). Zhang, Weizhong ; Yan, Xing ; Wu, QI ; Liu, Wei ; Ma, Lin. In: Papers. RePEc:arx:papers:2010.08263.

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2020High Dimensional Forecast Combinations Under Latent Structures. (2020). Su, Liangjun ; Shi, Zhentao ; Xie, Tian. In: Papers. RePEc:arx:papers:2010.09477.

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2020Recurrent Conditional Heteroskedasticity. (2020). M. -N. Tran, ; T. -N. Nguyen, ; Kohn, R. In: Papers. RePEc:arx:papers:2010.13061.

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2020Using 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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2020Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model. (2020). Jarrow, Robert A ; Zhu, Liao ; Wells, Martin T. In: Papers. RePEc:arx:papers:2011.04171.

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2020Large 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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2020If Global or Local Investor Sentiments are Prone to Developing an Impact on Stock Returns, is there an Industry Effect?. (2020). Zhu, Tingting ; Ausloos, Marcel ; Shi, Jing. In: Papers. RePEc:arx:papers:2012.12951.

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2020Adversarial Estimation of Riesz Representers. (2020). Syrgkanis, Vasilis ; Singh, Rahul ; Newey, Whitney ; Chernozhukov, Victor. In: Papers. RePEc:arx:papers:2101.00009.

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2021Uncertainty Network Risk and Currency Returns. (2021). Baruník, Jozef ; Babiak, Mykola. In: Papers. RePEc:arx:papers:2101.09738.

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2021Time-varying properties of asymmetric volatility and multifractality in Bitcoin. (2021). Takaishi, Tetsuya. In: Papers. RePEc:arx:papers:2102.07425.

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2020Media Attention vs. Sentiment as Drivers of Conditional Volatility Predictions: An Application to Brexit. (2020). Pedio, Manuela ; Guidolin, Massimo. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp20145.

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2020Learning, Equilibrium Trend, Cycle, and Spread in Bond Yields. (2020). Zhao, Guihai. In: Staff Working Papers. RePEc:bca:bocawp:20-14.

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2020Short-Term Predictability of Stock Market Indexes following Large Drawdowns and Drawups. (2020). Brandi, Vinicius Ratton. In: Working Papers Series. RePEc:bcb:wpaper:529.

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2020Effects of Monetary Policy News on Financial Assets: evidence from Brazil on a bivariate VAR-GARCH model (2006-17). (2020). de Melo, Andre ; Noronha, George Augusto ; de Carvalho, Osmani Teixeira ; DA SILVA, TARCISO GOUVEIA . In: Working Papers Series. RePEc:bcb:wpaper:536.

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2020Robust Identification of Investor Beliefs. (2020). Hansen, Peter G ; Chen, Xiaohong. In: Working Papers. RePEc:bfi:wpaper:2020-69.

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2020The discrete and differential impact of monetary policy. (2020). McCredie, Bronwyn. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:3:p:2919-2937.

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2020The role of the national institutional environment in IFRS convergence: a new approach. (2020). Patel, Chris ; Cao, June. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:4:p:3367-3406.

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2020Effects of investor tax heterogeneity on stock prices and trading behaviour around the ex?dividend day: the case of Australia. (2020). Yin, Xiangkang ; Anh, Nguyen Ngoc ; Zhao, Jing. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:4:p:3775-3812.

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2020Estimating the rank of a beta matrix: a GMM approach. (2020). Wang, Qin ; Ren, YU. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:4:p:4147-4173.

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2020Social media bots and stock markets. (2020). Talavera, Oleksandr ; Tran, VU ; Fan, Rui. In: European Financial Management. RePEc:bla:eufman:v:26:y:2020:i:3:p:753-777.

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2020Innovations in financing: The impact of anchor investors in Indian IPOs. (2020). Chakrabarti, Binay Bhushan ; Bhattacharya, Arnab ; Petrova, Milena ; Ghosh, Chinmoy. In: European Financial Management. RePEc:bla:eufman:v:26:y:2020:i:4:p:1059-1106.

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2020Mispriced index option portfolios. (2020). Perrakis, Stylianos ; Czerwonko, Michal ; Constantinides, George M. In: Financial Management. RePEc:bla:finmgt:v:49:y:2020:i:2:p:297-330.

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2020How much should portfolios shrink?. (2020). Han, Chulwoo. In: Financial Management. RePEc:bla:finmgt:v:49:y:2020:i:3:p:707-740.

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2020Term structure determinants of time‐varying risk of 1‐year bond returns. (2020). Khanapure, Revansiddha Basavaraj. In: The Financial Review. RePEc:bla:finrev:v:55:y:2020:i:3:p:365-384.

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2020Capturing hedge fund risk factor exposures: Hedge fund return replication with ETFs. (2020). Li, Yongjia ; Duanmu, Jun ; Malakhov, Alexey. In: The Financial Review. RePEc:bla:finrev:v:55:y:2020:i:3:p:405-431.

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2020Market Excess Returns, Variance and the Third Cumulant. (2020). Zhao, Huimin ; Chang, Eric C ; Zhang, Jin E. In: International Review of Finance. RePEc:bla:irvfin:v:20:y:2020:i:3:p:605-637.

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2020Consumption Fluctuations and Expected Returns. (2020). Priestley, Richard ; Moller, Stig V ; Atanasov, Victoria. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:3:p:1677-1713.

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2020Cash Flow News and Stock Price Dynamics. (2020). Pettenuzzo, Davide ; Sabbatucci, Riccardo ; Timmermann, Allan. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:4:p:2221-2270.

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2020The hot hand in professional darts. (2020). Deutscher, Christian ; Leosbarajas, Vianey ; Langrock, Roland ; Otting, Marius. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:183:y:2020:i:2:p:565-580.

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2020Freight rates in downside and upside markets: pricing of own and spillover risks from other shipping segments. (2020). Savva, Christos ; Tsouknidis, Dimitris ; Theodossiou, Panayiotis. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:183:y:2020:i:3:p:1097-1119.

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2020Two‐Step Estimation for Time Varying Arch Models. (2020). Yang, Lijian ; Shao, Qin ; Liu, Rong ; Zhang, Yuanyuan. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:41:y:2020:i:4:p:551-570.

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2020The role of uncertainty on agricultural futures markets momentum trading and volatility. (2020). Czudaj, Robert ; Robert, Czudaj. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:24:y:2020:i:3:p:39:n:3.

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2021The Stock Market, Labor-Income Risk and Unemployment in the US: Empirical Findings and Policy Implications. (2021). Celebi, Kaan. In: EIIW Discussion paper. RePEc:bwu:eiiwdp:disbei291.

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2020Persistence in the Realized Betas: Some Evidence for the Spanish Stock Market. (2020). Gil-Alana, Luis ; Martin-Valmayor, Miguel ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8171.

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2020The Overnight Drift. (2020). Boyarchenko, Nina ; Larsen, Lars C ; Whelan, Paul. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14462.

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2020Household Finance. (2020). Gomes, Francisco J ; Haliassos, Michael ; Ramadorai, Tarun. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14502.

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2020European gasoline markets: price transmission asymmetries in mean and variance. (2020). Escribano, Alvaro ; Torrado, Maria. In: UC3M Working papers. Economics. RePEc:cte:werepe:29633.

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2020Robust Identification of Investor Beliefs. (2020). Hansen, Peter G ; Chen, Xiaohong. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2236.

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2020Conditional capital asset pricing model, long-run risk, and stock valuation. (2020). Gueyie, Jean-Pierre ; Assogbavi, Tov ; Bergeron, Claude. In: Economics Bulletin. RePEc:ebl:ecbull:eb-19-01100.

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2020Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios: a General Dynamic Factor Approach. (2020). Hallin, Marc ; Trucios, Carlos. In: Working Papers ECARES. RePEc:eca:wpaper:2013/315983.

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2020The effect of possible EU diversification requirements on the risk of banks’ sovereign bond portfolios. (2020). Craig, Ben ; Paterlini, Sandra ; Giuzio, Margherita. In: Working Paper Series. RePEc:ecb:ecbwps:20202384.

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2020Risk and return in international corporate bond markets. (2020). Bekaert, Geert ; de Santis, Roberto A. In: Working Paper Series. RePEc:ecb:ecbwps:20202452.

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2020Modeling and Forecasting USD/UGX Volatility through GARCH Family Models: Evidence from Gaussian, T and GED Distributions. (2020). Erkekoglu, Hatice ; Deng, Adire Simon ; Majok, Aweng Peter. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2020-02-31.

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2020Volatility Modelling for Tourism Sector Stocks in Borsa Istanbul. (2020). Elik, Gulah Gener. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2020-03-20.

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2020Dynamic Linkages Between the Oil Spot, Oil Futures, and Stock Markets: Evidence from Dubai. (2020). Alawi, Suha Mahmoud ; Lamouchi, Rim Ammar. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2020-01-50.

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2020The Effect of Energy Cryptos on Efficient Portfolios of Key Energy Listed Companies in the S&P Composite 1500 Energy Index. (2020). Gurrib, Ikhlaas ; Kamalov, Firuz ; Elsharief, Elgilani. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2020-02-22.

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2020Does the Choice of the Multivariate GARCH Model on Volatility Spillovers Matter? Evidence from Oil Prices and Stock Markets in G7 Countries. (2020). Dritsakis, Nikolaos ; Kartsonakis-Mademlis, Dimitrios. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2020-05-21.

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2020The Impact of COVID-19 on Price Volatility of Crude Oil and Natural Gas Listed on Multi Commodity Exchange of India. (2020). Sarea, Adel M ; Mohapatra, Latasha ; Hawaldar, Iqbal Thonse ; Meher, Bharat Kumar. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2020-05-49.

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2020Disruptive innovation, innovation adoption and incumbent market value: The case of Airbnb. (2020). Sharma, Abhinav ; Nicolau, Juan L ; Zach, Florian J. In: Annals of Tourism Research. RePEc:eee:anture:v:80:y:2020:i:c:s0160738319301756.

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2021Robust recovery of low-rank matrices with non-orthogonal sparse decomposition from incomplete measurements. (2021). Maly, Johannes ; Fornasier, Massimo ; Naumova, Valeriya. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:392:y:2021:i:c:s009630032030655x.

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2020Equity premium puzzle — Evidence from Poland. (2020). Zygmanowski, Piotr ; Liwiski, Pawe ; Maruszewski, Janusz ; Gemra, Kamil ; Ukowski, Micha. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:28:y:2020:i:c:s2214635020303257.

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2020Nonlinear and time-varying risk premia. (2020). Cai, Zongwu ; Mi, Xianhua ; Ma, Chaoqun. In: China Economic Review. RePEc:eee:chieco:v:62:y:2020:i:c:s1043951x2030064x.

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2020Differences of opinion, institutional bids, and IPO underpricing. (2020). Gao, Shenghao ; Yan, Xuemin ; Meng, Qingbin ; Brockman, Paul. In: Journal of Corporate Finance. RePEc:eee:corfin:v:60:y:2020:i:c:s0929119918300282.

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2020Climate risk: The price of drought. (2020). Truong, Cameron ; Ha, Thu ; Huynh, Thanh D. In: Journal of Corporate Finance. RePEc:eee:corfin:v:65:y:2020:i:c:s0929119920301942.

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2020Large-scale minimum variance portfolio allocation using double regularization. (2020). Liao, Yin ; Bian, Zhicun ; Zhang, Xueyong ; Shi, Jing ; Oneill, Michael. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:116:y:2020:i:c:s016518892030107x.

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2020Factor Investing for the Long Run. (2020). Tarelli, Andrea ; Lioui, Abraham. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:117:y:2020:i:c:s0165188920301287.

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2020Investor overconfidence and the security market line: New evidence from China. (2020). Li, Youwei ; Han, Xing. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:117:y:2020:i:c:s0165188920301299.

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2020Pricing equity-bond covariance risk: Between flight-to-quality and fear-of-missing-out. (2020). Wagner, Niklas ; Perras, Patrizia. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:121:y:2020:i:c:s0165188920301779.

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2020Time to build and bond risk premia. (2020). Li, Kai ; Huang, Fuzhe ; Guo, Bin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:121:y:2020:i:c:s0165188920301925.

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2020Asymmetric effects of unanticipated monetary shocks on stock prices: Emerging market evidence. (2020). Canh, Nguyen ; Maiti, Moinak ; Thanh, Su Dinh ; Dinhthanh, SU. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:65:y:2020:i:c:p:40-55.

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2020Financialization of agricultural commodities: Evidence from China. (2020). Ouyang, Ruolan ; Zhang, Xuan. In: Economic Modelling. RePEc:eee:ecmode:v:85:y:2020:i:c:p:381-389.

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2020Safe haven, hedge and diversification for G7 stock markets: Gold versus bitcoin. (2020). Krištoufek, Ladislav ; Roubaud, David ; Bouri, Elie ; Hussain, Syed Jawad. In: Economic Modelling. RePEc:eee:ecmode:v:87:y:2020:i:c:p:212-224.

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2020Financial frictions and the futures pricing puzzle. (2020). Taamouti, Abderrahim ; ap Gwilym, Rhys ; Rahman, Hamid ; el Alaoui, Abdelkader O ; Ebrahim, Shahid M. In: Economic Modelling. RePEc:eee:ecmode:v:87:y:2020:i:c:p:358-371.

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2020Mixed data sampling expectile regression with applications to measuring financial risk. (2020). Yu, Keming ; Jiang, Cuixia ; Chen, LU ; Xu, Qifa. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:469-486.

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2020Further empirical evidence on the forecasting of volatility with smooth transition exponential smoothing. (2020). Choo, Wei-Chong ; Taylor, James W ; Liu, Min. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:651-659.

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2021A consumption-based asset pricing model with disappointment aversion and uncertainty shocks. (2021). Guo, Zhaoxuan ; Xia, Bobo ; Li, Kaifeng. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:235-243.

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2021BitCoin: A new basket for eggs?. (2021). Tao, Ran ; Su, Chi-Wei ; Qin, Meng. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:896-907.

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2020States of psychological anchors and price behavior of Japanese yen futures. (2020). Wang, Yu-Chun ; Lu, Yang-Cheng ; Lee, Yun-Huan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818302912.

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2020A much robust and updated evidences of the alternative real-estate based asset pricing. (2020). Shi, QI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818303978.

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2020Disagreements with noisy signals and asset pricing. (2020). Cheng, Fengchao ; Ma, Chaoqun ; Hu, Duni ; Wang, Hailong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818305424.

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2020Modelling conditional skewness: Heterogeneous beliefs, short sale restrictions and market declines. (2020). Shum, Wai Yan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819300774.

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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.
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article13
2002Generalized Method of Moments: Applications in Finance. In: Journal of Business & Economic Statistics.
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2005Reforming the Bookbuilding Process for IPOs In: Journal of Applied Corporate Finance.
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1985 An Investigation of Commodity Futures Prices Using the Consumption-based Intertemporal Capital Asset Pricing Model. In: Journal of Finance.
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1993 On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks. In: Journal of Finance.
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1993On the relation between the expected value and the volatility of the nominal excess return on stocks.(1993) In: Staff Report.
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1996 The Conditional CAPM and the Cross-Section of Expected Returns. In: Journal of Finance.
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1996The conditional CAPM and the cross-section of expected returns.(1996) In: Staff Report.
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1997 Assessing Specification Errors in Stochastic Discount Factor Models. In: Journal of Finance.
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1994Assessing specification errors in stochastic discount factor models.(1994) In: Staff Report.
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1994Assessing Specification Errors in Stochastic Discount Factor Models.(1994) In: NBER Technical Working Papers.
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2003Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps In: Journal of Finance.
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article92
2002Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps.(2002) In: NBER Working Papers.
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2005The Stock Markets Reaction to Unemployment News: Why Bad News Is Usually Good for Stocks In: Journal of Finance.
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2001The Stock Markets Reaction to Unemployment News: Why Bad News is Usually Good for Stocks.(2001) In: NBER Working Papers.
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paper
2007Lazy Investors, Discretionary Consumption, and the Cross‐Section of Stock Returns In: Journal of Finance.
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article67
2010Do Hot Hands Exist among Hedge Fund Managers? An Empirical Evaluation In: Journal of Finance.
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2006Do Hot Hands Exist Among Hedge Fund Managers? An Empirical Evaluation.(2006) In: NBER Working Papers.
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2019Dividend Dynamics, Learning, and Expected Stock Index Returns In: Journal of Finance.
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2015Dividend Dynamics, Learning, and Expected Stock Index Returns.(2015) In: NBER Working Papers.
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2019Corrigendum for Dividend Dynamics, Learning, and Expected Stock Index Returns In: Journal of Finance.
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article6
2019A Note on “Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps” In: Journal of Finance.
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2009Avoiding the Next Crisis In: The Economists' Voice.
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2014Momentum Trading, Return Chasing, and Predictable Crashes In: CEPR Discussion Papers.
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paper12
2014Momentum Trading, Return Chasing and Predictable Crashes.(2014) In: Working Paper Series.
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2014Momentum Trading, Return Chasing, and Predictable Crashes.(2014) In: NBER Working Papers.
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2002A direct test for the mean variance efficiency of a portfolio In: Journal of Economic Dynamics and Control.
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1999Does product market competition reduce agency costs? In: The North American Journal of Economics and Finance.
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2000Does Product Market Competition Reduce Agency Costs?.(2000) In: NBER Working Papers.
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2003An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices In: Journal of Econometrics.
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2001An Evaluation of Multi-Factor CIR Models Using LIBOR, Swap Rates, and Cap and Swaption Prices.(2001) In: NBER Working Papers.
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1994A contingent claim approach to performance evaluation In: Journal of Empirical Finance.
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1993A contingent claim approach to performance evaluation.(1993) In: Staff Report.
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2012CAPM for estimating the cost of equity capital: Interpreting the empirical evidence In: Journal of Financial Economics.
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2009CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence.(2009) In: NBER Working Papers.
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2016Why do firms use high discount rates? In: Journal of Financial Economics.
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1984Call options and the risk of underlying securities In: Journal of Financial Economics.
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1998Why do stock prices drop by less than the value of the dividend? Evidence from a country without taxes In: Journal of Financial Economics.
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1997Why do stock prices drop by less than the value of the dividend? Evidence from a country without taxes.(1997) In: Staff Report.
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paper
2013Causes of the great recession of 2007–2009: The financial crisis was the symptom not the disease! In: Journal of Financial Intermediation.
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article7
2015Share auctions of initial public offerings: Global evidence In: Journal of Financial Intermediation.
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1990Ex-day behavior of japanese stock prices: New insights from new methodology In: Journal of the Japanese and International Economies.
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article4
1990Ex-day behavior of Japanese stock prices: new insights from new methodology.(1990) In: Discussion Paper / Institute for Empirical Macroeconomics.
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1990Ex-Day Behavior of Japanese Stock Prices: New Insights from New Methodology.(1990) In: NBER Working Papers.
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1997Relationship between labor-income risk and average return: empirical evidence from the Japanese stock market In: Discussion Paper / Institute for Empirical Macroeconomics.
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paper49
1998Relationship between Labor-Income Risk and Average Return: Empirical Evidence from the Japanese Stock Market..(1998) In: The Journal of Business.
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article
1990Implications of security market data for models of dynamic economies In: Discussion Paper / Institute for Empirical Macroeconomics.
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paper638
1990Implications of Security Market Data for Models of Dynamic Economies.(1990) In: NBER Technical Working Papers.
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paper
1991Implications of Security Market Data for Models of Dynamic Economies..(1991) In: Journal of Political Economy.
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1990The simple analytics of commodity futures markets: do they stabilize prices? Do they raise welfare? In: Quarterly Review.
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1995The CAPM debate In: Quarterly Review.
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1996Why should older people invest less in stock than younger people? In: Quarterly Review.
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2000The declining U.S. equity premium In: Quarterly Review.
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2001The Declining U.S. Equity Premium.(2001) In: NBER Working Papers.
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1987Seasonalities in security returns: the case of earnings announcements In: Staff Report.
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1993The CAPM is alive and well In: Staff Report.
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1994THE CAPM IS ALIVE AND WELL.(1994) In: Finance.
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1994Ex-dividend price behavior of common stocks In: Staff Report.
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1994Ex-dividend price behavior of common stocks.(1994) In: Working Papers.
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1994Ex-dividend Price Behavior of Common Stocks..(1994) In: Review of Financial Studies.
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1996Econometric evaluation of asset pricing models In: Staff Report.
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2002Do We Need CAPM for Capital Budgeting? In: Financial Management.
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2002Do We Need CAPM for Capital Budgeting?.(2002) In: NBER Working Papers.
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1974A Sequential Algorithm for a Class of Programming Problems with Nonlinear Constraints In: Management Science.
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1978A Minimax Ordering Policy for the Infinite Stage Dynamic Inventory Problem In: Management Science.
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1979Erratum to A Minimax Ordering Policy for the Infinite Stage Dynamic Inventory Problem In: Management Science.
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1985Use of Sample Information in Stochastic Recourse and Chance-Constrained Programming Models In: Management Science.
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article6
1985An Algorithm for a Class of Nonconvex Programming Problems with Nonlinear Fractional Objectives In: Management Science.
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1987Note---Response In: Management Science.
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2009Jackknife Estimator for Tracking Error Variance of Optimal Portfolios In: Management Science.
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2012Calendar Cycles, Infrequent Decisions, and the Cross Section of Stock Returns In: Management Science.
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2004A Jackknife Estimator for Tracking Error Variance of Optimal Portfolios Constructed Using Estimated Inputs1 In: NBER Working Papers.
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2005Consumption Risk and the Cost of Equity Capital In: NBER Working Papers.
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2006Why Do IPO Auctions Fail? In: NBER Working Papers.
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2007When Does a Mutual Funds Trade Reveal its Skill? In: NBER Working Papers.
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2008Price Momentum In Stocks: Insights From Victorian Age Data In: NBER Working Papers.
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2008Informed Trading, Liquidity Provision, and Stock Selection by Mutual Funds In: NBER Working Papers.
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2009Causes of the Great Recession of 2007-9: The Financial Crisis is the Symptom not the Disease! In: NBER Working Papers.
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2009Momentum Cycles and Limits to Arbitrage Evidence from Victorian England and Post-Depression US Stock Markets In: NBER Working Papers.
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2010Why Dont Issuers Choose IPO Auctions? The Complexity of Indirect Mechanisms In: NBER Working Papers.
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2011The Cross-Section of Hurdle Rates for Capital Budgeting: An Empirical Analysis of Survey Data In: NBER Working Papers.
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2011Price Dividend Ratio Factors : Proxies for Long Run Risk In: NBER Working Papers.
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2015Price-Dividend Ratio Factor Proxies for Long-Run Risks.(2015) In: Review of Asset Pricing Studies.
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2012Tail Risk in Momentum Strategy Returns In: NBER Working Papers.
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2012Building Castles in the Air: Evidence from Industry IPO Waves In: NBER Working Papers.
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2014Growth Expectations, Dividend Yields, and Future Stock Returns In: NBER Working Papers.
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2017Environmental, Social, and Governance Criteria: Why Investors are Paying Attention In: NBER Working Papers.
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2017Stock Price Crashes: Role of Slow-Moving Capital In: NBER Working Papers.
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2019On Frequent Batch Auctions for Stocks In: NBER Working Papers.
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2020Life Cycle Cash Flows of Ventures In: NBER Working Papers.
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2020A Return Based Measure of Firm Quality In: NBER Working Papers.
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1999Valuing the Reload Features of Executive Stock Options In: NBER Working Papers.
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paper11
2001Empirical Evaluation of Asset Pricing Models: A Comparison of the SDF and Beta Methods In: NBER Working Papers.
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2002Understanding Mutual Fund and Hedge Fund Styles Using Return Based Style Analysis In: NBER Working Papers.
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paper3
2005UNDERSTANDING MUTUAL FUND AND HEDGE FUND STYLES USING RETURN-BASED STYLE ANALYSIS.(2005) In: World Scientific Book Chapters.
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1984Banking Panics In: Discussion Papers.
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1989Effects of Insider Trading Disclosures on Speculative Activity and Future Prices. In: Economic Inquiry.
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article2
1990Price Stability and Futures Trading in Commodities In: The Quarterly Journal of Economics.
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article8
2011Impatient Trading, Liquidity Provision, and Stock Selection by Mutual Funds In: Review of Financial Studies.
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article18
1986Assessing the Market Timing Performance of Managed Portfolios. In: The Journal of Business.
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1986Correcting for Heteroscedasticity in Tests for Market Timing Ability. In: The Journal of Business.
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2020Recovery from Fast Crashes: Role of Mutual Funds In: SAFE Working Paper Series.
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