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Dividend Dynamics, Learning, and Expected Stock Index Returns

JAGANNATHAN, RAVI; LIU, BINYING - In: The Journal of Finance 74 (2018) 1, pp. 401-448

Persistent link: https://www.econbiz.de/10012094238

Corrigendum for Dividend Dynamics, Learning, and Expected Stock Index Returns

JAGANNATHAN, RAVI; LIU, BINYING; ZHANG, JIAQI - In: The Journal of Finance 74 (2019) 4, pp. 2107-2116

Persistent link: https://www.econbiz.de/10012094293

A Note on “Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps''

JAGANNATHAN, RAVI; MA, TONGSHU; ZHANG, JIAQI - In: The Journal of Finance (2019)

Persistent link: https://www.econbiz.de/10012094301

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/10011460679