Ravi Jagannathan : Citation Profile


Are you Ravi Jagannathan?

Northwestern University

26

H index

46

i10 index

8427

Citations

RESEARCH PRODUCTION:

51

Articles

58

Papers

1

Chapters

RESEARCH ACTIVITY:

   50 years (1974 - 2024). See details.
   Cites by year: 168
   Journals where Ravi Jagannathan has often published
   Relations with other researchers
   Recent citing documents: 478.    Total self citations: 38 (0.45 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pja91
   Updated: 2024-07-05    RAS profile: 2024-04-05    
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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:

faff, robert (45)

Robotti, Cesare (36)

Chang, Chia-Lin (34)

GUPTA, RANGAN (33)

Engle, Robert (29)

Bollerslev, Tim (28)

zhang, xiaoyan (28)

Bekaert, Geert (28)

Ang, Andrew (27)

Guidolin, Massimo (27)

Teräsvirta, Timo (26)

Cites to:

French, Kenneth (33)

Campbell, John (32)

Fama, Eugene (31)

Hansen, Lars (27)

Shleifer, Andrei (26)

Titman, Sheridan (21)

merton, robert (18)

Pedersen, Lasse (17)

Grinblatt, Mark (17)

Shanken, Jay (17)

Sherman, Ann (15)

Main data


Where Ravi Jagannathan has published?


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

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc38
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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2024.

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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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2023Business cycle and realized losses in the consumer credit industry. (2023). Vrins, Frederic ; Roccazzella, Francesco ; Distaso, Walter. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2023007.

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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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2024Adversarial Estimation of Riesz Representers. (2020). Syrgkanis, Vasilis ; Singh, Rahul ; Newey, Whitney ; Chernozhukov, Victor. In: Papers. RePEc:arx:papers:2101.00009.

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2024Frequency-Dependent Higher Moment Risks. (2021). Baruník, Jozef ; Kurka, Josef. In: Papers. RePEc:arx:papers:2104.04264.

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2024An 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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2024Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

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2024Estimating the Time-Varying Structures of the Fama-French Multi-Factor Models. (2022). Noda, Akihiko. In: Papers. RePEc:arx:papers:2208.01270.

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2024The law of one price in mean-variance hedging. (2022). Czichowsky, Christoph ; Vcern, Alevs. In: Papers. RePEc:arx:papers:2210.15613.

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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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2024Co-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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2024Large 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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2023Understand Waiting Time in Transaction Fee Mechanism: An Interdisciplinary Perspective. (2023). Zhang, Fan. In: Papers. RePEc:arx:papers:2305.02552.

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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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2024DeepVol: 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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2024The impact of Facebook-Cambridge Analytica data scandal on the USA tech stock market: An event study based on clustering method. (2024). Wan, Yinan ; Jeleskovic, Vahidin. In: Papers. RePEc:arx:papers:2402.14206.

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2024Navigating Complexity: Constrained Portfolio Analysis in High Dimensions with Tracking Error and Weight Constraints. (2024). Caner, Mehmet ; Li, Yingying ; Fan, Qingliang. In: Papers. RePEc:arx:papers:2402.17523.

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2024The impact of geopolitical risk on the international agricultural market: Empirical analysis based on the GJR-GARCH-MIDAS model. (2024). Zhou, Wei-Xing ; Dai, Peng-Fei. In: Papers. RePEc:arx:papers:2404.01641.

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2024Estimating Contagion Mechanism in Global Equity Market with Time-Zone Effect. (2024). Chen, Muzi ; Huang, Difang ; Wu, Boyao. In: Papers. RePEc:arx:papers:2404.04335.

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2024A Comparison of Cryptocurrency Volatility-benchmarking New and Mature Asset Classes. (2024). Lenz, Jimmie ; Brini, Alessio. In: Papers. RePEc:arx:papers:2404.04962.

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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 impact of ESG news on the volatility of the Portuguese stock market—Does it change during recessions?. (2023). Catalolopes, Margarida ; Zanatto, Cassio ; Carrilhonunes, Ines ; Pina, Joaquim P. In: Business Strategy and the Environment. RePEc:bla:bstrat:v:32:y:2023:i:8:p:5821-5832.

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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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2024Nonparametric portfolio efficiency measurement with higher moments. (2024). Kruger, Jens J. In: Publications of Darmstadt Technical University, Institute for Business Studies (BWL). RePEc:dar:wpaper:144371.

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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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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]
article24
2005Reforming the Bookbuilding Process for IPOs In: Journal of Applied Corporate Finance.
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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]
article3850
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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This paper has nother version. Agregated cites: 3850
paper
1996 The Conditional CAPM and the Cross-Section of Expected Returns. In: Journal of Finance.
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article874
1996The conditional CAPM and the cross-section of expected returns.(1996) In: Staff Report.
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This paper has nother version. Agregated cites: 874
paper
1997 Assessing Specification Errors in Stochastic Discount Factor Models. In: Journal of Finance.
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article373
1994Assessing specification errors in stochastic discount factor models.(1994) In: Staff Report.
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This paper has nother version. Agregated cites: 373
paper
1994Assessing Specification Errors in Stochastic Discount Factor Models.(1994) In: NBER Technical Working Papers.
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This paper has nother version. Agregated cites: 373
paper
2002Empirical Evaluation of Asset?Pricing Models: A Comparison of the SDF and Beta Methods In: Journal of Finance.
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article50
2001Empirical Evaluation of Asset Pricing Models: A Comparison of the SDF and Beta Methods.(2001) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 50
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2003Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps In: Journal of Finance.
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article608
2002Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps.(2002) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 608
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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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article387
2001The Stock Markets Reaction to Unemployment News: Why Bad News is Usually Good for Stocks.(2001) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 387
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2007Lazy Investors, Discretionary Consumption, and the Cross?Section of Stock Returns In: Journal of Finance.
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article102
2010Do Hot Hands Exist among Hedge Fund Managers? An Empirical Evaluation In: Journal of Finance.
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article109
2006Do Hot Hands Exist Among Hedge Fund Managers? An Empirical Evaluation.(2006) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 109
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2019Dividend Dynamics, Learning, and Expected Stock Index Returns In: Journal of Finance.
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article13
2015Dividend Dynamics, Learning, and Expected Stock Index Returns.(2015) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 13
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2019Corrigendum for Dividend Dynamics, Learning, and Expected Stock Index Returns In: Journal of Finance.
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article13
2019A Note on “Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps” In: Journal of Finance.
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article0
2009Avoiding the Next Crisis In: The Economists' Voice.
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article7
2014Momentum Trading, Return Chasing, and Predictable Crashes In: CEPR Discussion Papers.
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paper17
2014Momentum Trading, Return Chasing and Predictable Crashes.(2014) In: Working Paper Series.
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This paper has nother version. Agregated cites: 17
paper
2014Momentum Trading, Return Chasing, and Predictable Crashes.(2014) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 17
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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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article41
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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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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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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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1990Implications of Security Market Data for Models of Dynamic Economies.(1990) In: NBER Technical Working Papers.
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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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1987Seasonalities in security returns: the case of earnings announcements In: Staff Report.
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1979Erratum to A Minimax Ordering Policy for the Infinite Stage Dynamic Inventory Problem In: Management Science.
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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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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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2002Understanding Mutual Fund and Hedge Fund Styles Using Return Based Style Analysis In: NBER Working Papers.
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2005UNDERSTANDING MUTUAL FUND AND HEDGE FUND STYLES USING RETURN-BASED STYLE ANALYSIS.(2005) In: World Scientific Book Chapters.
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