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A class of asset pricing models governed by subordinate processes that signal economic shocks

Jagannathan, Raj - In: Journal of economic dynamics & control 32 (2008) 12, pp. 3820-3846

Persistent link: https://www.econbiz.de/10003804746

The analysis of the cross-section of security returns

Jagannathan, Ravi; Skoulakis, Georgios; Wang, Zhenyu - 2010

Persistent link: https://www.econbiz.de/10003900742

Lazy investors, discretionary consumption, and the cross-section of stock returns

Jagannathan, Ravi; Wang, Yong - In: The journal of finance : the journal of the American … 62 (2007) 4, pp. 1623-1661

Persistent link: https://www.econbiz.de/10003522397

Empirical evaluation of asset-pricing models : a comparison of the SDF and beta methods

Jagannathan, Ravi; Wang, Zhenyu - In: The journal of finance : the journal of the American … 57 (2002) 5, pp. 2337-2368

Persistent link: https://www.econbiz.de/10001709440

The declining US equity premium

Jagannathan, Ravi; McGrattan, Ellen R.; Scherbina, Anna - In: Federal Reserve Bank of Minneapolis quarterly review 24 (2000) 3, pp. 3-19

Persistent link: https://www.econbiz.de/10001570585

Empirical evaluation of asset pricing models : a comparison of the SDF and beta methods

Jagannathan, Ravi; Wang, Zhenyu - 2001

Persistent link: https://www.econbiz.de/10001548712

The declining U.S. equity premium

Jagannathan, Ravi; McGrattan, Ellen R.; Scherbina, Anna - 2001

Persistent link: https://www.econbiz.de/10001567350

Momentum trading, return chasing, and predictable crashes

Chabot, Benjamin; Ghysels, Eric; Jagannathan, Ravi - 2014

We combine self-collected historical data from 1867 to 1907 with CRSP data from 1926 to 2012, to examine the risk and return over the past 140 years of one of the most popular mechanical trading strategies - momentum. We find that momentum has earned abnormally high risk-adjusted returns - a...

Persistent link: https://www.econbiz.de/10010442553

Momentum trading, return chasing, and predictable chrashes

Chabot, Benjamin; Ghysels, Eric; Jagannathan, Ravi - 2014

Persistent link: https://www.econbiz.de/10010440192

Momentum trading, return chasing, and predictable crashes

Chabot, Benjamin; Ghysels, Eric; Jagannathan, Ravi - 2014

Persistent link: https://www.econbiz.de/10010441388