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On the relation between the expected value and the volatility of the nominal excess return on stocks

Glosten, Lawrence R.; Jagannathan, Ravi; Runkle, David E. - 1993

Persistent link: https://www.econbiz.de/10000870606

On the relation between the expected value and the volatility of the nominal excess return on stocks

Glosten, Lawrence R.; Jagannathan, Ravi; Runkle, David E. - 1993 - rev

Persistent link: https://www.econbiz.de/10000142591

Price momentum in stocks : insights from Victorian age data

Chabot, Benjamin; Ghysels, Eric; Jagannathan, Ravi - 2008

Persistent link: https://www.econbiz.de/10003791258

A linear regression approach for determining explicit expressions for option prices for equity option pricing models with dependent volatility and return processes

Jagannathan, Raj - In: Journal of mathematical finance 6 (2016) 2, pp. 303-323

Persistent link: https://www.econbiz.de/10011544516

Tail risk in momentum strategy returns

Daniel, Kent; Jagannathan, Ravi; Kim, Soohun - 2012

Persistent link: https://www.econbiz.de/10009562288

A linear regression approach for determining option pricing for currency-rate diffusion model with dependent stochastic volatility, stochastic interest rate, and return processes

Jagannathan, Raj - In: Journal of mathematical finance 8 (2018) 1, pp. 161-177

Persistent link: https://www.econbiz.de/10011846254

Day Traders, Noise, and Cost of Immediacy

Dalvi, Manoj; Deuskar, Prachi; Glosten, Lawrence R.; … - National Bureau of Economic Research - 2023

We identify different roles traders play using data with trader identities for all transactions in SENSEX-index stocks on the Bombay Stock Exchange from January 2005 to December 2011. Individual day traders (IDT) are identified as "noise traders", who play an important role in the market...

Persistent link: https://www.econbiz.de/10014250145