Ravi Jagannathan

Kellogg Graduate School of Management
Northwestern University
2001 Sheridan Road
Leverone/Anderson Complex
Evanston, IL 60208-2001
Tel: 847/491-8338
Fax: 847/491-5719

E-Mail: EmailAddress: hidden: you can email any NBER-related person as first underscore last at nber dot org
NBER Program Affiliations: AP
NBER Affiliation: Research Associate

NBER Working Papers and Publications

December 2017Stock Price Crashes: Role of Capital Constrained Traders
with Mila Getmansky, Loriana Pelizzon, Ernst Schaumburg, Darya Yuferova: w24098
November 2017Environmental, Social, and Governance Criteria: Why Investors are Paying Attention
with Ashwin Ravikumar, Marco Sammon: w24063
September 2015Dividend Dynamics, Learning, and Expected Stock Index Returns
with Binying Liu: w21557

forthcoming in the Journal of Finance

November 2014Momentum Trading, Return Chasing, and Predictable Crashes
with Benjamin Chabot, Eric Ghysels: w20660
October 2014Growth Expectations, Dividend Yields, and Future Stock Returns
with Zhi Da, Jianfeng Shen: w20651
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

Published: R. Jagannathan & S. Marakani, 2015. "Price-Dividend Ratio Factor Proxies for Long-Run Risks," Review of Asset Pricing Studies, vol 5(1), pages 1-47.

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

Published: Jagannathan, Ravi, Mudit Kapoor and Ernst Schaumburg. 2013. Causes of the Great Recession of 2007-9: The Financial Crisis Was the Symptom Not the Disease! . Journal of Financial Intermediation. 22(1): 4-29.

April 2009CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence
with Zhi Da, Re-Jin Guo: w14889

Published: Journal of Financial Economics Volume 103, Issue 1, January 2012, Pages 204–220 Cover image CAPM for estimating the cost of equity capital: Interpreting the empirical evidence ☆ Zhi Daa, 1, E-mail the corresponding author, Re-Jin Guob, 2, E-mail the corresponding author, Ravi Jagannathanc, d, citation courtesy of

December 2008Informed Trading, Liquidity Provision, and Stock Selection by Mutual Funds
with Zhi Da, Pengjie Gao: w14609

Published: Da, Zhi, Re-Jin Guo and Ravi Jagannathan. 2012. CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence. Journal of Financial Economics. 103(1): 204-220.

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

Published: “Impatient Trading, Liquidity Provision, and Stoc k Selection by Mutual Funds” (with Pengjie Gao and Ravi Jagannathan), Review of Financial Studies , Vol 24, 675-720 (2011)

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

Do Hot Hands Exist Among Hedge Fund Managers? An Empirical Evaluation.” forthcoming in Journal of Finance 2009 citation courtesy of

January 2005Consumption Risk and the Cost of Equity Capital
with Yong Wang: w11026

Forthcoming in the August 2007 issue of the Journal of Finance under the title, "Lazy Investors, Discretionary Consumption, and the Cross Section of Stock Returns."

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

Published: Dor, Arik Ben, Ravi Jagannathan, and Iwan Meier. "Understanding Mutual Fund and Hedge Fund Styles Using Return-Based Style Analysis." Journal of Investment Management 1, 1 (1st Quarter 2003): 94-134.

May 2002Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps
with Tongshu Ma: w8922

Published: Ravi Jagannathan & Tongshu Ma, 2003. "Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps," Journal of Finance, American Finance Association, vol. 58(4), pages 1651-1684, 08. citation courtesy of

January 2002Do We Need CAPM for Capital Budgeting?
with Iwan Meier: w8719

Published: Ravi Jagannathan & Iwan Meier, 2002. "Do We Need CAPM for Capital Budgeting?," Financial Management, Financial Management Association, vol. 31(4), Winter. citation courtesy of

December 2001An Evaluation of Multi-Factor CIR Models Using LIBOR, Swap Rates, and Cap and Swaption Prices
with Andrew Kaplin, Steve Guoqiang Sun: w8682

Published: Jagannathan, Ravi & Kaplin, Andrew & Sun, Steve, 2003. "An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 113-146. citation courtesy of

March 2001The Declining U.S. Equity Premium
with Ellen R. McGrattan, Anna Scherbina: w8172

Published: Ravi Jagannathan & Ellen R. McGrattan & Anna Scherbina., 2000. "The declining U.S. equity premium," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Fall, pages 3-19. citation courtesy of

January 2001The Stock Market's Reaction to Unemployment News: Why Bad News is Usually Good for Stocks
with John H. Boyd, Jian Hu: w8092

Published: John H. Boyd & Jian Hu & Ravi Jagannathan, 2005. "The Stock Market's Reaction to Unemployment News: Why Bad News Is Usually Good for Stocks," Journal of Finance, American Finance Association, vol. 60(2), pages 649-672, 04. citation courtesy of

Empirical Evaluation of Asset Pricing Models: A Comparison of the SDF and Beta Methods
with Zhenyu Wang: w8098

Published: Jagannathan, Ravi and Zhenyu Wang. "Empirical Evaluation Of Asset-Pricing Models: A Comparison Of The SDF And Beta Methods," Journal of Finance, 2002, v57(5,Oct), 2337-2367. citation courtesy of

January 2000Does Product Market Competition Reduce Agency Costs?
with Shaker B. Srinivasan: w7480

Published: North American Journal of Economics and Finance (special Finance Issue), Volume: 10 Issue: 2 Pages: 387-399 (1999) citation courtesy of

March 1999Valuing the Reload Features of Executive Stock Options
with Steven Huddart, Jane Saly: w7020

Published: Accounting Horizons, Vol. 13, no. 3 (September 1999): 219-240.

February 1994Assessing Specification Errors in Stochastic Discount Factor Models
with Lars Peter Hansen: t0153

Published: Journal of Finance, Vol. 52, no. 2 (June 1997): 557-590.

August 1990Ex-Day Behavior of Japanese Stock Prices: New Insights from New Methodology
with Fumio Hayashi: w3421

Published: Journal of the Japanese and International Economies, 4(3): 401-427, December 1990. citation courtesy of

May 1990Implications of Security Market Data for Models of Dynamic Economies
with Lars Peter Hansen: t0089

Published: Journal of Political Economy, Vol. 99, No. 2, pp. 225-262, (1991).

NBER Videos

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

Contact Us