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Do hot hands persist among hedge fund managers? : An empirical evaluation
Jagannathan, Ravi; Malachov, Aleksej; Novikov, Dmitry - 2006
Persistent link: https://www.econbiz.de/10003293759
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Do Hot Hands Exist Among Hedge Fund Managers? An Empirical Evaluation
Jagannathan, Ravi - 2009
We examine whether hot hands exist among hedge fund managers. In measuring performance persistence, we use hedge fund style benchmarks. This allows us to identify managers with valuable skills, and also to control for option-like features inherent in returns from hedge fund strategies. We take...
Persistent link: https://www.econbiz.de/10012767433
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Do Hot Hands Exist Among Hedge Fund Managers? An Empirical Evaluation
Jagannathan, Ravi - 2006
We examine whether hot hands exist among hedge fund managers. In measuring performance persistence, we use hedge fund style benchmarks. This allows us to identify managers with valuable skills, and also to control for option-like features inherent in returns from hedge fund strategies. We take...
Persistent link: https://www.econbiz.de/10012466656
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An Intangibles-Adjusted Profitability Factor
Jagannathan, Ravi; Korajczyk, Robert A.; Wang, Kai - National Bureau of Economic Research - 2023
earnings when measuring the return on equity of firms while constructing the profitability factor in the Fama and French (2015 …) five factor model. The profitability factor we construct has significant alpha relative to many extant multi-factor asset …-pricing models, including the standard Fama-French five factor model. When the profitability factor in the Fama and French (2015 …
Persistent link: https://www.econbiz.de/10014247989
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An Intangibles-Adjusted Profitability Factor
Jagannathan, Ravi; Korajczyk, Robert A.; Wang, Kai - 2023
earnings when measuring the return on equity of firms while constructing the profitability factor in the Fama and French (2015 …) five factor model. The profitability factor we construct has significant alpha relative to many extant multi-factor asset …-pricing models, including the standard Fama-French five factor model. When the profitability factor in the Fama and French (2015 …
Persistent link: https://www.econbiz.de/10014355664
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A Firm's Cost of Capital
Jagannathan, Ravi - 2018
To create value, a firm must invest in projects that provide a return greater than the cost of capital. The cost of capital is not observed and its estimation requires assumptions on investors' consumption, savings, and portfolio decisions. We review the academic literature on firms' cost of...
Persistent link: https://www.econbiz.de/10012931092
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A firm's cost of capital
Jagannathan, Ravi; Liberti, José; Liu, Binying; Meier, Iwan - In: Annual review of financial economics 9 (2017), pp. 259-282
Persistent link: https://www.econbiz.de/10011908082
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Seasonalities in security returns : the case of earnings announcements
Chari, Varadarajan V.; Jagannathan, Ravi; Ofer, Aharon R. - 1987
Persistent link: https://www.econbiz.de/10000737836