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Valuing the reload features of executive stock options
Huddart{{}}, Steven; Jagannathan, Ravi; Saly, Jane - 1999
Persistent link: https://www.econbiz.de/10001376937
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The simple analytics of commodity futures markets : do they stabilize prices? Do they raise welfare?
Chari, Varadarajan V. - In: Federal Reserve Bank of Minneapolis quarterly review 14 (1990) 3, pp. 12-24
Persistent link: https://www.econbiz.de/10001101234
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Risk reduction in large portfolios : why imposing the wrong constraints helps
Jagannathan, Ravi; Ma, Tongshu - 2002
Persistent link: https://www.econbiz.de/10001667500
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The declining U.S. equity premium
Jagannathan, Ravi; McGrattan, Ellen R.; Scherbina, Anna - 2001
Persistent link: https://www.econbiz.de/10001567350
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An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices
Jagannathan, Ravi; Kaplin, Andrew; Sun, Steve - In: Journal of econometrics 116 (2003) 1/2, pp. 113-146
Persistent link: https://www.econbiz.de/10001772145
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Price stability and futures trading in commodities
Chari, Varadarajan V. - In: The quarterly journal of economics 105 (1990) 2, pp. 527-534
Persistent link: https://www.econbiz.de/10001092012
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Implications of security market data for models of dynamic economies
Hansen, Lars Peter; Jagannathan, Ravi - 1990
Persistent link: https://www.econbiz.de/10000791221
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Ex-day behavior of Japanese stock prices : new insights from new methodology
Hayashi, Fumio - In: NIRA research output 5 (1992) 4, pp. 37-52
Persistent link: https://www.econbiz.de/10001139834
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Assessing specification errors in stochastic discount factor models
Hansen, Lars Peter; Jagannathan, Ravi - 1994
Persistent link: https://www.econbiz.de/10000910153
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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