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Price Dividend Ratio Factors : Proxies for Long Run Risk

Jagannathan, Ravi - 2011

through principal component analysis of the covariance matrix of log price dividend ratios of twenty five equity portfolios … formed on Size and Book-to-Market. We identify two price-dividend ratio factor proxies for economy wide long run risk, one … returns alone. The price dividend ratio factors perform better than the stock index price dividend ratio and the corporate …

Persistent link: https://www.econbiz.de/10012461173

Do hot hands exist among hedge fund managers? : an empirical evaluation

Jagannathan, Ravi; Malachov, Aleksej; Novikov, Dmitry - In: The journal of finance : the journal of the American … 65 (2010) 1, pp. 217-255

Persistent link: https://www.econbiz.de/10003923941

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

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

Do Hot Hands Exist Among Hedge Fund Managers? An Empirical Evaluation

Jagannathan, Ravi - 2009

Persistent link: https://www.econbiz.de/10012767433

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

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

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

Banking panics, information and rational expectations equilibrium

Chari, Varadarajan V.; Jagannathan, Ravi - 1984

Persistent link: https://www.econbiz.de/10000708899

Implications of security market data for models of dynamic economies

Hansen, Lars Peter; Jagannathan, Ravi - 1990

Persistent link: https://www.econbiz.de/10000791221