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Tail Risk in Momentum Strategy Returns
Jagannathan, Ravi; Daniel, Kent; Kim, Soohun - National Bureau of Economic Research (NBER) - 2012
Price momentum strategies have historically generated high positive returns with little systematic risk. However, these strategies also experience infrequent but severe losses. During 13 of the 978 months in our 1929-2010 sample, losses to a US-equity momentum strategy exceed 20 percent per...
Persistent link: https://www.econbiz.de/10010570537
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The conditional CAPM and the cross-section of expected returns
Jagannathan, Ravi; Wang, Zhenyu - 1995
Persistent link: https://www.econbiz.de/10000933194
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An asymptotic theory for estimating beta-pricing models using cross-sectional regression
Jagannathan, Ravi - In: The journal of finance : the journal of the American … 53 (1998) 4, pp. 1285-1309
Persistent link: https://www.econbiz.de/10001247200
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The conditional CAPM and the cross-section of expected returns
Jagannathan, Ravi; Wang, Zhenyu - 1996
Persistent link: https://www.econbiz.de/10000588919
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CAPM for estimating the cost of equity capital: Interpreting the empirical evidence
Da, Zhi; Guo, Re-Jin; Jagannathan, Ravi - In: Journal of financial economics 103 (2012) 1, pp. 204-220
Persistent link: https://www.econbiz.de/10009492585
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CAPM for estimating the cost of equity capital: Interpreting the empirical evidence
Da, Zhi; Guo, Re-Jin; Jagannathan, Ravi - In: Journal of Financial Economics 103 (2012) 1, pp. 204-220
We argue that the empirical evidence against the capital asset pricing model (CAPM) based on stock returns does not … returns on stocks need not satisfy the CAPM even when expected returns of projects do. We provide empirical support for our … arguments by developing a method for estimating firms' project CAPM betas and project returns. Our findings justify the …
Persistent link: https://www.econbiz.de/10010702354
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Building Castles in the Air: Evidence from Industry IPO Waves
Jagannathan, Ravi; Da, Zhi; Shen, Jianfeng - National Bureau of Economic Research (NBER) - 2012
We provide empirical support for the conventional wisdom that there are times when optimistic investors tend to build their hopes into castles in the air, and pay a large premium over intrinsic value for stocks of firms in the early stages of their life cycles with perceived growth...
Persistent link: https://www.econbiz.de/10010951370
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Investor Optimism, Sales Fixation and Firm Life Cycle
Da, Zhi - 2014
We provide novel evidence supporting the view that stock prices of some firms in the early growth stage of their life cycle are set by optimistic investors fixated on sales growth. We identify these firms as those that went public during an industry IPO waves, had high sales growths but low...
Persistent link: https://www.econbiz.de/10013065070
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Growth Expectations, Dividend Yields, and Future Stock Returns
Jagannathan, Ravi; Da, Zhi; Shen, Jianfeng - National Bureau of Economic Research (NBER) - 2014
According to the dynamic version of the Gordon growth model, the long-run expected return on stocks, stock yield, is the sum of the dividend yield on stocks plus some weighted average of expected future growth rates in dividends. We construct a measure of stock yield based on sell-side analysts'...
Persistent link: https://www.econbiz.de/10010950997
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Market Timing
Jagannathan, Ravi - 2017
The work of Treynor and Mazuy (1966) spawned an extensive literature on returns-based measurement of portfolio performance which distinguishes between a manager's ability to act on information specific to an individual asset (asset selection) and ability to forecast systematic risk premiums and...
Persistent link: https://www.econbiz.de/10012972567