NBER Publications by Ravi Jagannathan

Contact and additional information for this authorAll publicationsWorking Papers only

Working Papers and Chapters

November 2012Building Castles in the Air: Evidence from Industry IPO Waves
with Zhi Da, Jianfeng Shen: w18555
June 2012Tail Risk in Momentum Strategy Returns
with Kent Daniel, Soohun Kim: w18169
October 2011Price Dividend Ratio Factors : Proxies for Long Run Risk
with Srikant Marakani: w17484
February 2011The Cross-Section of Hurdle Rates for Capital Budgeting: An Empirical Analysis of Survey Data
with Iwan Meier, Vefa Tarhan: w16770
July 2010Why Don't Issuers Choose IPO Auctions? The Complexity of Indirect Mechanisms
with Andrei Jirnyi, Ann Sherman: w16214
December 2009Momentum Cycles and Limits to Arbitrage Evidence from Victorian England and Post-Depression US Stock Markets
with Benjamin Chabot, Eric Ghysels: w15591
October 2009Causes of the Great Recession of 2007-9: The Financial Crisis is the Symptom not the Disease!
with Mudit Kapoor, Ernst Schaumburg: w15404
April 2009CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence
with Zhi Da, Re-Jin Guo: w14889
December 2008Informed Trading, Liquidity Provision, and Stock Selection by Mutual Funds
with Zhi Da, Pengjie Gao: w14609
November 2008Price Momentum In Stocks: Insights From Victorian Age Data
with Benjamin Chabot, Eric Ghysels: w14500
November 2007When Does a Mutual Fund's Trade Reveal its Skill?
with Zhi Da, Pengjie Gao: w13625
April 2006Why Do IPO Auctions Fail?
with Ann E. Sherman: w12151
February 2006Do Hot Hands Exist Among Hedge Fund Managers? An Empirical Evaluation
with Alexey Malakhov, Dmitry Novikov: w12015
January 2005Consumption Risk and the Cost of Equity Capital
with Yong Wang: w11026
April 2004A Jackknife Estimator for Tracking Error Variance of Optimal Portfolios Constructed Using Estimated Inputs1
with Gopal K. Basak, Tongshu Ma: w10447
August 2002Understanding Mutual Fund and Hedge Fund Styles Using Return Based Style Analysis
with Arik Ben Dor: w9111
May 2002Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps
with Tongshu Ma: w8922
January 2002Do We Need CAPM for Capital Budgeting?
with Iwan Meier: w8719
December 2001An Evaluation of Multi-Factor CIR Models Using LIBOR, Swap Rates, and Cap and Swaption Prices
with Andrew Kaplin, Steve Guoqiang Sun: w8682
March 2001The Declining U.S. Equity Premium
with Ellen R. McGrattan, Anna Scherbina: w8172
January 2001The Stock Market's Reaction to Unemployment News: Why Bad News is Usually Good for Stocks
with John H. Boyd, Jian Hu: w8092
Empirical Evaluation of Asset Pricing Models: A Comparison of the SDF and Beta Methods
with Zhenyu Wang: w8098
January 2000Does Product Market Competition Reduce Agency Costs?
with Shaker B. Srinivasan: w7480
March 1999Valuing the Reload Features of Executive Stock Options
with Steven Huddart, Jane Saly: w7020
February 1994Assessing Specification Errors in Stochastic Discount Factor Models
with Lars Peter Hansen: t0153
August 1990Ex-Day Behavior of Japanese Stock Prices: New Insights from New Methodology
with Fumio Hayashi: w3421
May 1990Implications of Security Market Data for Models of Dynamic Economies
with Lars Peter Hansen: t0089

Contact and additional information for this authorAll publicationsWorking Papers only


National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email:

Contact Us