Ravi Jagannathan
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American economist
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Economics
Why Is Ravi Jagannathan Influential?
(Suggest an Edit or Addition)According to Wikipedia, Ravi Jagannathan is an American economist. He is a chaired professor at the Kellogg School of Management at Northwestern University. With the exception of the period 1989–1997 when he was a professor at the University of Minnesota, Jagannathan has been at Kellogg since graduate school.
Ravi Jagannathan's Published Works
Number of citations in a given year to any of this author's works
Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author
Published Works
- On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993) (8484)
- The Conditional CAPM and the Cross-Section of Expected Returns (1996) (2526)
- Implications of Security Market Data for Models of Dynamic Economies (1990) (1635)
- Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps (2002) (1490)
- Assessing Specification Errors in Stochastic Discount Factor Models (1994) (845)
- Economic Significance of Predictable Variations in Stock Index Returns (1989) (624)
- Banking Panics, Information, and Rational Expectations Equilibrium (1988) (613)
- The Stock Market&Apos;S Reaction to Unemployment News: Why Bad News is Usually Good for Stocks (2001) (430)
- Assessing the Market Timing Performance of Managed Portfolios (1985) (407)
- An Asymptotic Theory for Estimating Beta‐Pricing Models Using Cross‐Sectional Regression (1998) (359)
- Lazy Investors, Discretionary Consumption, and the Cross Section of Stock Returns (2005) (321)
- Why do stock prices drop by less than the value of the dividend? Evidence from a country without taxes (1998) (301)
- A contingent claim approach to performance evaluation (1993) (282)
- Why should older people invest less in stock than younger people (1996) (239)
- The Declining U.S. Equity Premium (2000) (201)
- Seasonalities in security returns: The case of earnings announcements (1988) (201)
- CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence (2009) (191)
- Ex-dividend price behavior of common stocks (1994) (188)
- Relationship between Labor-Income Risk and Average Return: Empirical Evidence from the Japanese Stock Market (1998) (151)
- Empirical Evaluation of Asset Pricing Models: A Comparison of the Sdf and Beta Methods (2001) (150)
- On Some Properties of Programming Problems in Parametric form Pertaining to Fractional Programming (1966) (145)
- The CAPM is alive and well (1994) (118)
- Generalized Method of Moments: Applications in Finance (2002) (110)
- Understanding Mutual Fund and Hedge Fund Styles Using Return Based Style Analysis (2002) (99)
- An Anatomy of Pairs Trading: The Role of Idiosyncratic News, Common Information and Liquidity (2008) (97)
- An Investigation of Commodity Futures Prices Using the Consumption‐Based Intertemporal Capital Asset Pricing Model (1985) (94)
- Do We Need CAPM for Capital Budgeting? (2002) (87)
- The Public Market Equivalent and Private Equity Performance (2013) (80)
- Call options and the risk of underlying securities (1984) (79)
- Why Do Firms Use High Discount Rates? (2015) (79)
- Informed Trading, Liquidity Provision, and Stock Selection by Mutual Funds (2008) (75)
- Causes of the Great Recession of 2007-9: The Financial Crisis is the Symptom Not the Disease! (2009) (74)
- The CAPM Debate (1995) (72)
- Adverse Selection in a Model of Real Estate Lending (1989) (71)
- Does Product Market Competition Reduce Agency Costs (1999) (70)
- Why Do IPO Auctions Fail? (2006) (65)
- The Analysis of the Cross-Section of Security Returns (2010) (64)
- A direct test for the mean variance efficiency of a portfolio (2002) (59)
- Correcting for Heteroscedasticity in Tests for Market Timing Ability (1986) (56)
- Share Auctions of Initial Public Offerings: Global Evidence (2015) (51)
- Cross-Sectional Asset Pricing Tests (2010) (47)
- Momentum Trading, Return Chasing, and Predictable Crashes (2014) (46)
- Reforming the Bookbuilding Process for Ipos (2005) (46)
- The Financial Crisis is the Symptom not the Disease (2009) (44)
- Risk Reduction in Large Portfolios: A Role for Portfolio Weight Constraints (2002) (43)
- Generalized Methods of Moments (2002) (40)
- Use of Sample Information in Stochastic Recourse and Chance-Constrained Programming Models (1985) (40)
- Dividend Dynamics, Learning, and Expected Stock Index Returns (2015) (36)
- Jackknife Estimator for Tracking Error Variance of Optimal Portfolios (2009) (35)
- Price Momentum in Stocks: Insights from Victorian Age Data (2008) (32)
- Valuing the Reload Features of Executive Stock Options (1999) (31)
- Consumption Risk and the Cost of Equity Capital (2005) (31)
- Momentum Cycles and Limits to Arbitrage Evidence from Victorian England and Post-Depression Us Stock Markets (2009) (28)
- Why Don’t Issuers Choose IPO Auctions? The Complexity of Indirect Mechanisms (2009) (27)
- Environmental, Social, and Governance Criteria: Why Investors are Paying Attention (2017) (26)
- 1 Econometric evaluation of asset pricing models (1996) (26)
- The Stock Market's Reaction to Unemployment News, Stock-Bond Return Correlations, and the State of the Economy (2006) (25)
- Price Stability and Futures Trading in Commodities (1990) (23)
- A Firm's Cost of Capital (2016) (22)
- Price Dividend Ratio Factors: Proxies for Long Run Risk (2011) (22)
- Why are we in a recession (2009) (21)
- Ex-Day Behavior of Japanese Stock Prices: New Insights from New Methodology (1990) (20)
- Growth Expectations, Dividend Yields, and Future Stock Returns (2014) (20)
- An Algorithm for a Class of Nonconvex Programming Problems with Nonlinear Fractional Objectives (1985) (19)
- Calendar Cycles, Infrequent Decisions and the Cross-Section of Stock Returns (2007) (19)
- What Caused the Current Financial Mess and What Can We Do about It? (2009) (17)
- The Cross-Section of Hurdle Rates for Capital Budgeting: An Empirical Analysis of Survey Data (2011) (17)
- Econometric evaluation of asset pricing models (1996) (15)
- A Note on the Asymptotic Covariance in Fama‐MacBeth Regression (1998) (13)
- Discrete facility location with nonlinear diseconomies in fixed costs (1990) (12)
- THE PROGRAMMING APPROACH IN MULTIPLE CHARACTER STUDIES (1965) (10)
- Assessing the Risk in Sample Minimum Risk Portfolios (2004) (10)
- A SIMPLEX-TYPE ALGORITHM FOR LINEAR AND QUADRATIC PROGRAMMING - A PARAMETRIC PROCEDURE (1966) (9)
- Avoiding the Next Crisis (2009) (9)
- NBER WORKING PAPER SERIES PORTFOLIO CHOICE OVER THE LIFE-CYCLE IN THE PRESENCE OF ‘TRICKLE DOWN’ LABOR INCOME (8)
- LONG RUN RISKS & PRICE/DIVIDEND RATIO FACTORS (2011) (8)
- International Instability and Asset Pricing (2013) (7)
- Out-of-Sample Equity Premium Prediction : Consistently Beating the Historical Average (2008) (7)
- Three essays on the pricing of derivative claims (1983) (6)
- Welcome A Hidden Markov Model of Momentum (2018) (6)
- Does Analyst Bias Drive Stock Return Anomalies ? An Empirical Investigation (2005) (6)
- A METHOD FOR SOLVING A NONLINEAR PROGRAMMING PROBLEM IN SAMPLE SURVEYS (1965) (6)
- Supplement to 'Why Do IPO Auctions Fail?' (2006) (6)
- Evaluating Executive Stock Options Using the Binomial Option Pricing Model (1994) (6)
- What Drives the Tracking Error of Hedge Fund Clones? (2012) (6)
- Building Castles in the Air: Evidence from Industry IPO Waves (2012) (5)
- When Does a Mutual Fund&Apos;S Trade Reveal its Skill? (2007) (5)
- The simple analytics of commodity futures markets: do they stabilize prices? Do they raise welfare? (1990) (5)
- Style Analysis: Asset Allocation and Performance Evaluation (2003) (5)
- Investor Optimism, Sales Fixation and Firm Life Cycle (2013) (4)
- On Frequent Batch Auctions for Stocks (2019) (4)
- EFFECTS OF INSIDER TRADING DISCLOSURES ON SPECULATIVE ACTIVITY AND FUTURE PRICES (1989) (4)
- Destabilizing Commodity Market Speculation (2013) (3)
- Portfolio Insurance , Underdiversification , and Idiosyncratic Risks (2008) (3)
- Stock Price Crashes: Role of Slow-Moving Capital (2017) (3)
- Informational Versus Non-Informational Aspects of Liquidity Risk: The Pricing of Momentum Stocks (2004) (3)
- Liquidity Provision and Market Fragility (2014) (2)
- The CAPM with human capital: Evidence from Japan (1995) (2)
- Recovery from Fast Crashes: Role of Mutual Funds (2020) (2)
- Stock Market Liquidity: Role of Short-term and Long-term Traders (2015) (1)
- A New Explanation for Underdiversification (2008) (1)
- Broker-Dealer Leverage and the Cross-Section of Expected Returns∗ (2011) (1)
- The post-earnings-announcement drift and liquidity: level, risk, and profitability of trading (2005) (1)
- Market Timing (2016) (1)
- The Stock Market's Reaction to Unemployment News: 'Why Bad News is Usually Good for Stocks' (2002) (1)
- A Return Based Measure of Firm Quality (2020) (1)
- A Note on “Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps” (2019) (1)
- Ignoring Reload Features Can Substantially Understate the Value of Executive Stock Options (1998) (1)
- Ipo Pricing and Long Run Performance: Role of Comparable Firms, Valuation Models, and Uncertainty (2007) (1)
- Going for Broke: Restructuring (2013) (0)
- CENTRE FOR ECONOMETRIC ANALYSIS CEA@Cass (2009) (0)
- A Test of Mean-Variance Efficiency When Short Selling is Prohibited (1998) (0)
- Stock Price Crashes: Role of Capital Constrained Traders (2017) (0)
- Stock Market Liquidity: Behavior of Short-Term and Long-Term Traders During Crashes (2015) (0)
- Welcome A Hidden Markov Model of Leverage Dynamics , Tail Risk , and Value-Momentum Correlation (2017) (0)
- Federal Reserve Bank of New York Staff Reports Decomposing Short-Term Return Reversal (2011) (0)
- Return to Venture Capital in the Aggregate (2020) (0)
- An Intangibles-Adjusted Profitability Factor (2023) (0)
- Price Destabilizing Speculation: The Role of Strategic Limit Orders (2023) (0)
- Liquidity Provision: Normal Times vs Crashes (2019) (0)
- Generalized Method of Moments : Applications in Finance Author ( s ) : (2007) (0)
- Convertible Bonds of Countrywide Financial Corporation (2017) (0)
- Welcome Tail Risk in Momentum Strategy Returns (2012) (0)
- Life Cycle Cash Flows of Ventures (2020) (0)
- American Finance Association Lazy Investors , Discretionary Consumption , and the Cross-Section of Stock Returns (2005) (0)
- The Post-Earnings-Announcement Drift and Liquidity : Level , Risk , and Pro fi tability of Trading ∗ Gil Sadka and Ronnie Sadka (2005) (0)
- Franchise Value, Tobin’s Q, and Markups (2023) (0)
- Momentum Trading, Return Chasing and Predictable Crashes (2014) (0)
- NBER WORKING PAPER SERIES LIFE CYCLE CASH FLOWS OF VENTURES (2020) (0)
- Effi cient Estimation of General Equilibrium Models Using Asset Returns and Industry Production Data∗ (2021) (0)
- Day Traders, Noise, and Cost of Immediacy (2023) (0)
- The price behavior of China-related stocks listed in China and Hong Kong (1995) (0)
- Extraordinary Value Partners, LLC (2007) (0)
- Price Stability and Futures Trading in Non-Storable Commodities (1990) (0)
- Discussion: The Loss Aversion/Narrow Framing Approach to the Equity Premium Puzzle1 (2008) (0)
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