NBER Publications by Ravi Jagannathan

Contact and additional information for this authorAll papers and publicationsWorking Papers onlyWorking Papers with publication info

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 papers and publicationsWorking Papers onlyWorking Papers with publication info


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