Ravi Jagannathan : Citation Profile

Northwestern University

26

H index

46

i10 index

8694

Citations

RESEARCH PRODUCTION:

51

Articles

58

Papers

1

Chapters

RESEARCH ACTIVITY:

   50 years (1974 - 2024). See details.
   Cites by year: 173
   Journals where Ravi Jagannathan has often published
   Relations with other researchers
   Recent citing documents: 354.    Total self citations: 38 (0.44 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pja91
   Updated: 2025-04-12    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)

GUPTA, RANGAN (36)

Chang, Chia-Lin (34)

Engle, Robert (29)

Bollerslev, Tim (29)

zhang, xiaoyan (28)

Bekaert, Geert (28)

Guidolin, Massimo (27)

Teräsvirta, Timo (27)

Ang, Andrew (27)

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

Production by document typearticlechapterpaper1980198119821983198419851986198719881989199019911992199319941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320240510Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published197419751976197719781979198019811982198319841985198619871988198919901991199219931994199519961997199819992000200120022003200420052006200720082009201020112012201320142015201620172018201920202021202220232024050100150Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received19861987198819891990199119921993199419951996199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202420250250500750Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year197819791980198119821983198419851986198719881989199019911992199319941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320240k2k4k6kCitations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 26Most cited documents123456789101112131415161718192021222324252627280k2k4k6kNumber of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution2013082013092013102013112013122014012014022014032014042014052014062014072014082014092014102014112014122015012015022015032015042015052015062015072015082015092015102015112015122016012016022016032016042016052016062016072016082016092016102016112016122017012017022017032017042017052017062017072017082017092017102017112017122018012018022018032018042018052018062018072018082018092018102018112018122019012019022019032019042019052019062019072019082019092019102019112019122020012020022020032020042020052020062020072020082020092020102020112020122021012021022021032021042021052021062021072021082021092021102021112021122022012022022022032022042022052022062022072022082022092022102022112022122023012023022023032023042023052023062023072023082023092023102023112023122024012024022024032024042024052024062024072024082024092024102024112024122025012025022025032025040102030h-index Highcharts.comExport to raster or vector imagePrint the chart

Where Ravi Jagannathan has published?

Journals with more than one article published# docs
Journal of Finance12
Quarterly Review4
Journal of Financial Economics4
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 (2025 and 2024)

Year  ↓Title of citing document  ↓
2024Modeling Asymmetric Effects of Exchange Rate Fluctuations on Agricultural Trade Balance: Evidence from Iran and Iraq. (2024). Falsafian, Azadeh ; Hamad, Mudhafar Ahmed. In: AGRIS on-line Papers in Economics and Informatics. RePEc:ags:aolpei:348977.

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2024.

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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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2024Geometric insights into robust portfolio construction with gearing. (2021). Gebbie, Tim ; Dalmeyer, Lara. In: Papers. RePEc:arx:papers:2107.06194.

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2024Kernel Minimum Divergence Portfolios. (2021). Szab, Zolt'An ; Chamakh, Linda. In: Papers. RePEc:arx:papers:2110.09516.

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2025Option Pricing with Time-Varying Volatility Risk Aversion. (2022). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2204.06943.

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2025Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

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2024Application of Hawkes volatility in the observation of filtered high-frequency price process in tick structures. (2022). Lee, Kyungsub. In: Papers. RePEc:arx:papers:2207.05939.

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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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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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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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2024Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices. (2023). Barigozzi, Matteo ; Dzuverovic, Emilija. In: Papers. RePEc:arx:papers:2305.08488.

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2025DeepVol: 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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2025Uses 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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2025Regressions under Adverse Conditions. (2023). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2311.13327.

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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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2024Double Descent in Portfolio Optimization: Dance between Theoretical Sharpe Ratio and Estimation Accuracy. (2024). Zhang, Terry ; Yang, Yanrong ; Lu, Yonghe. In: Papers. RePEc:arx:papers:2411.18830.

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2025Advancing Portfolio Optimization: Adaptive Minimum-Variance Portfolios and Minimum Risk Rate Frameworks. (2025). Rachev, Svetlozar T ; Jaffri, Ali ; Shirvani, Abootaleb ; Jha, Ayush ; Fabozzi, Frank J. In: Papers. RePEc:arx:papers:2501.15793.

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2025Growing the Efficient Frontier on Panel Trees. (2025). Feng, Guanhao ; He, Jingyu ; Cong, Lin William. In: Papers. RePEc:arx:papers:2501.16730.

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2025Decision-informed Neural Networks with Large Language Model Integration for Portfolio Optimization. (2025). Lee, Yongjae ; Zohren, Stefan ; Kong, Yaxuan ; Hwang, Yoontae. In: Papers. RePEc:arx:papers:2502.00828.

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2025Improving volatility forecasts of the Nikkei 225 stock index using a realized EGARCH model with realized and realized range-based volatilities. (2025). Chang, Yaming. In: Papers. RePEc:arx:papers:2502.02695.

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2025The Uncertainty of Machine Learning Predictions in Asset Pricing. (2025). Neuhierl, Andreas ; Ma, Xinjie ; Liao, Yuan ; Schilling, Linda. In: Papers. RePEc:arx:papers:2503.00549.

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2025Forecasting realized volatility in the stock market: a path-dependent perspective. (2025). Liu, Xiangdong ; Hong, Shaopeng ; Fu, Sicheng. In: Papers. RePEc:arx:papers:2503.00851.

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2025Assessing Uncertainty in Stock Returns: A Gaussian Mixture Distribution-Based Method. (2025). Wang, Yanlong ; Xu, Jian ; Huang, Shao-Lun ; Sun, Danny Dongning ; Zhang, Xiao-Ping. In: Papers. RePEc:arx:papers:2503.06929.

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2025From Deep Learning to LLMs: A survey of AI in Quantitative Investment. (2025). Guo, Jian ; Cao, Bokai ; Wang, Saizhuo ; Lin, Xinyi ; Zhang, Haohan ; Wu, Xiaojun ; Ni, Lionel M. In: Papers. RePEc:arx:papers:2503.21422.

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2024.

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2024.

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2024.

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2024.

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2024.

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2024Can corporate environmental, social, and governance performance influence foreign institutional investors to hold shares? Evidence from China. (2024). Zhong, Junhao ; Tang, Sha ; Feng, Juzhang. In: Business Strategy and the Environment. RePEc:bla:bstrat:v:33:y:2024:i:5:p:4310-4330.

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2024Asset Pricing and Machine Learning: A critical review. (2024). Bagnara, Matteo. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:38:y:2024:i:1:p:27-56.

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2024Foreign Exchange Fixings and Returns around the Clock. (2024). Mueller, Philippe ; Whelan, Paul ; Krohn, Ingomar. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:1:p:541-578.

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2024Monetary Policy and Asset Price Overshooting: A Rationale for the Wall/Main Street Disconnect. (2024). Caballero, Ricardo ; Simsek, Alp. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:3:p:1719-1753.

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2024.

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2024Modeling Conditional Factor Risk Premia Implied by Index Option Returns. (2024). Orowski, Piotr ; Jacobs, Kris ; Fournier, Mathieu. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:3:p:2289-2338.

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2024.

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2024Putting the Price in Asset Pricing. (2024). Polk, Christopher ; Cho, Thummim. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:6:p:3943-3984.

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2024.

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2025The Theoretical Properties of Novel Risk-Based Asset Allocation Strategies using Portfolio Volatility and Kurtosis. (2025). Riso, Luigi ; Braga, Maria Debora ; Zoia, Maria Grazia. In: DISCE - Working Papers del Dipartimento di Politica Economica. RePEc:ctc:serie5:dipe0044.

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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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2024Asymmetric beta-binomial GARCH models for time series with bounded support. (2024). Zhang, Rui. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:470:y:2024:i:c:s0096300324000286.

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2024Risks and risk premia in the US Treasury market. (2024). Sarno, Lucio ; Zinna, Gabriele ; Li, Junye. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:158:y:2024:i:c:s016518892300194x.

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2024Estimation of expected return integrating real-time asset prices implied information and historical data. (2024). Li, Zhongfei ; Huang, YI ; Zhu, Shushang ; Wang, Shikun. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:167:y:2024:i:c:s0165188924001234.

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2024Quantile interdependence and network connectedness between Chinas green financial and energy markets. (2024). Zhao, Longfeng ; Zhou, Yueyi ; Gao, Yang. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:81:y:2024:i:c:p:1148-1177.

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2024Does exchange rate volatility affect the impact of appreciation and depreciation on the trade balance? A nonlinear bivariate approach. (2024). Bosupeng, Mpho ; Naranpanawa, Athula. In: Economic Modelling. RePEc:eee:ecmode:v:130:y:2024:i:c:s0264999323004042.

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2024Benefits of diversification in EU capital markets: Evidence from stock portfolios. (2024). Jehle, Camille ; Gosse, Jean-Baptiste. In: Economic Modelling. RePEc:eee:ecmode:v:135:y:2024:i:c:s0264999324000816.

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2024The return on everything and the business cycle in production economies. (2024). Fehrle, Daniel ; Heiberger, Christopher. In: Economic Modelling. RePEc:eee:ecmode:v:136:y:2024:i:c:s0264999324000981.

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2024Decoding market reactions: The certification role of EU-wide stress tests. (2024). Ongena, Steven ; Marques, Aurea ; Durrani, Agha. In: Economic Modelling. RePEc:eee:ecmode:v:139:y:2024:i:c:s0264999324001858.

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2025A long short-term memory enhanced realized conditional heteroskedasticity model. (2025). Kohn, Robert ; Tran, Minh-Ngoc ; Wang, Chao ; Liu, Chen. In: Economic Modelling. RePEc:eee:ecmode:v:142:y:2025:i:c:s0264999324002797.

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2024Does pension fund ownership reduce market manipulation? Evidence from China. (2024). Ur, Faheem ; Ma, Xiang ; Zhu, Xingting ; Liu, Bin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pa:s1062940823001249.

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2024Volatility spillovers across the spot and futures oil markets after news announcements. (2024). Gkillas, Konstantinos ; Floros, Christos ; Apostolakis, George N ; Wohar, Mark. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pa:s1062940823001250.

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2024Improving volatility forecasts: Evidence from range-based models. (2024). Fiszeder, Piotr ; Fadziski, Marcin ; Molnar, Peter. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pb:s1062940823001420.

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2024Dynamic robust portfolio selection under market distress. (2024). Olmo, Jose ; Jiang, Yifu ; Atwi, Majed. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pb:s1062940823001602.

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2024The valuation of real options for risky barrier to entry with hybrid stochastic and local volatility and stochastic investment costs. (2024). Yoon, Ji-Hun ; Shin, Yong Hyun ; Kim, Donghyun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s106294082300181x.

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2024How macroeconomic conditions affect systemic risk in the short and long-run?. (2024). Kurter, Zeynep O. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s106294082400007x.

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2024Forecasting volatility of stock indices: Improved GARCH-type models through combined weighted volatility measure and weighted volatility indicators. (2024). Ng, Kooi Huat ; Koh, You Beng ; de Khoo, Zhi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000378.

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2024The amplifying role of geopolitical Risks, economic policy Uncertainty, and climate risks on Energy-Stock market volatility spillover across economic cycles. (2024). Borjigin, Sumuya ; Hu, Zinan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000391.

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2024Heterogeneous beliefs with information processing capacity constraints and asset pricing in a monetary economy. (2024). Hu, Duni ; Wang, Hailong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000688.

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2024Forecasting conditional volatility based on hybrid GARCH-type models with long memory, regime switching, leverage effect and heavy-tail: Further evidence from equity market. (2024). Luo, YI ; Huang, Yirong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000731.

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2024Hedging investment-grade and high-yield bonds with credit VIX. (2024). Alsagr, Naif ; Bouri, Elie. In: Economics Letters. RePEc:eee:ecolet:v:237:y:2024:i:c:s0165176524001137.

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2024A residual bootstrap for conditional Value-at-Risk. (2024). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623002701.

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2024Asset splitting algorithm for ultrahigh dimensional portfolio selection and its theoretical property. (2024). Yang, Songshan ; Wen, Jiawei ; Li, Changcheng ; Cai, Zhanrui. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407622000902.

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2024Time-varying minimum variance portfolio. (2024). Fan, Qingliang (Michael) ; Zhong, Wei ; Yang, Yanrong ; Wu, Ruike. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407622001646.

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2024Robustifying Markowitz. (2024). Zhivotovskiy, Nikita ; Hardle, Wolfgang Karl ; Klochkov, Yegor ; Petukhina, Alla. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407623000180.

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2024Realized regression with asynchronous and noisy high frequency and high dimensional data. (2024). Zhang, Lan ; Mykland, Per A ; Chen, Dachuan. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s030440762300132x.

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

Works by Ravi Jagannathan:

Year  ↓Title  ↓Type  ↓Cited  ↓
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]		article25
2005Reforming the Bookbuilding Process for IPOs In: Journal of Applied Corporate Finance.
[Full Text][Citation analysis]		article13
1985 An Investigation of Commodity Futures Prices Using the Consumption-based Intertemporal Capital Asset Pricing Model. In: Journal of Finance.
[Full Text][Citation analysis]		article44
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]		article4001
1993On the relation between the expected value and the volatility of the nominal excess return on stocks.(1993) In: Staff Report.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4001		paper
1996 The Conditional CAPM and the Cross-Section of Expected Returns. In: Journal of Finance.
[Full Text][Citation analysis]		article882
1996The conditional CAPM and the cross-section of expected returns.(1996) In: Staff Report.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 882		paper
1997 Assessing Specification Errors in Stochastic Discount Factor Models. In: Journal of Finance.
[Full Text][Citation analysis]		article378
1994Assessing specification errors in stochastic discount factor models.(1994) In: Staff Report.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 378		paper
1994Assessing Specification Errors in Stochastic Discount Factor Models.(1994) In: NBER Technical Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 378		paper
2002Empirical Evaluation of Asset‐Pricing Models: A Comparison of the SDF and Beta Methods In: Journal of Finance.
[Full Text][Citation analysis]		article50
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 nother version. Agregated cites: 50		paper
2003Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps In: Journal of Finance.
[Full Text][Citation analysis]		article644
2002Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps.(2002) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 644		paper
2005The Stock Markets Reaction to Unemployment News: Why Bad News Is Usually Good for Stocks In: Journal of Finance.
[Full Text][Citation analysis]		article395
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: 395		paper
2007Lazy Investors, Discretionary Consumption, and the Cross‐Section of Stock Returns In: Journal of Finance.
[Full Text][Citation analysis]		article108
2010Do Hot Hands Exist among Hedge Fund Managers? An Empirical Evaluation In: Journal of Finance.
[Full Text][Citation analysis]		article112
2006Do Hot Hands Exist Among Hedge Fund Managers? An Empirical Evaluation.(2006) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 112		paper
2019Dividend Dynamics, Learning, and Expected Stock Index Returns In: Journal of Finance.
[Full Text][Citation analysis]		article17
2015Dividend Dynamics, Learning, and Expected Stock Index Returns.(2015) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 17		paper
2019Corrigendum for Dividend Dynamics, Learning, and Expected Stock Index Returns In: Journal of Finance.
[Full Text][Citation analysis]		article17
2019A Note on “Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps” In: Journal of Finance.
[Full Text][Citation analysis]		article0
2009Avoiding the Next Crisis In: The Economists' Voice.
[Full Text][Citation analysis]		article7
2014Momentum Trading, Return Chasing, and Predictable Crashes In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper20
2014Momentum Trading, Return Chasing and Predictable Crashes.(2014) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20		paper
2014Momentum Trading, Return Chasing, and Predictable Crashes.(2014) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20		paper
2002A direct test for the mean variance efficiency of a portfolio In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article41
1999Does product market competition reduce agency costs? In: The North American Journal of Economics and Finance.
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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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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 In: Discussion Paper / Institute for Empirical Macroeconomics.
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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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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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1994THE CAPM IS ALIVE AND WELL.(1994) In: Finance.
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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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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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2015Price-Dividend Ratio Factor Proxies for Long-Run Risks.(2015) In: The 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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2020Return to Venture Capital in the Aggregate 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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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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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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1986Assessing the Market Timing Performance of Managed Portfolios. In: The Journal of Business.
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