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Research Areas
Macro Finance Security Markets
Jagannathan, Ravi

Professor
Northwestern University

rjagannathan@saif.sjtu.edu.cn

Educational Background

PhD, Financial Economics, Carnegie Mellon University

Experience

Ravi Jagannathan is the Chicago Mercantile Exchange/John F. Sandner Professor at the Kellogg School of Management, Northwestern University, and a research associate of the National Bureau of Economic Research. Before joining the Kellogg faculty, professor Jagannathan was the Piper Jaffray Professor of Finance at the Carlson School of Management at the University of Minnesota. Concurrent with his position at the University of Minnesota he has served as a Distinguished Visiting Professor at the Hong Kong University of Science and Technology.

Honors / Achievements

Member of the Board of Directors of the American Finance Association

Short BIO

Professor Jagannathan's research interests are in the areas of asset pricing, capital markets, financial institutions, and portfolio performance evaluation. His articles have appeared in leading academic journals, including the Journal of Political Economy, Journal of Financial Economics, Journal of Finance, and Review of Financial Studies. His research has received extensive coverage in advanced textbooks on finance and economics.
He has participated as an invited faculty member at Financial Management Association doctoral consortiums. He has served on the editorial boards of leading academic journals. He was a member of the Board of Directors of the American Finance Association, and a research associate at the National Bureau of Economics Research, and President of the Society of Financial Studies. He has served on the advisory group on Share Based Compensation at the International Accounting Standards Board. Professor Jagannathan is a member of the American Finance Association, the Western Finance Association, and the Econometrics Society. He has served as a consultant to several companies in the financial services sector.

Publication

  • Jagannathan, Ravi, Mudit Kapoor and Ernst Schaumburg. Forthcoming. Causes of the Great Recession of 2007-9: The Financial Crisis was the Symptom not the Disease!. Journal of Financial Intermediation.

    Jagannathan, Ravi, Srikant Marakani, Hitoshi Takehara and Yong Wang. 2012. Calendar Cycles, Infrequent Decisions and the Cross Section of Stock Returns. Management Science. 58(3): 507-522.

    Da, Zhi, Re-Jin Guo and Ravi Jagannathan. 2012. CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence.Journal of Financial Economics. 103(1): 204-220.

    Da, Zhi, Paul Gao and Ravi Jagannathan. 2011. Impatient Trading, Liquidity Provision, and Stock Selection by Mutual Funds. Review of Financial Studies. 24(3): 675-720.

    Jagannathan, Ravi, Ernst Schaumburg and Guofu Zhou. 2010. Cross-Sectional Asset Pricing Tests. Annual Review of Financial Economics. 2: 49-74.Basak, Gopal, Ravi Jagannathan and Tongshu Ma. 2009. A Jackknife Estimator for Tracking Error Variance of Optimal Portfolios. Management Science. 55(6): 990-1002.

    Jagannathan, Ravi and Tongshu Ma. 2003. Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps. Journal of Finance. 58(4): 1651-1684.

    Dor, Arik Ben, Ravi Jagannathan and Iwan Meier. 2003. Understanding Mutual Funds and Hedge Funds Styles Using Return-Based Style Analysis. Journal of Investment Management. 1(1): 94-134.

    Jagannathan, Ravi and Iwan Meier. 2002. Do We Need CAPM for Capital Budgeting?.

    Jagannathan, Ravi and Zhenyu Wang. 2002. Empirical Evaluation of Asset–Pricing Models: A Comparison of the SDF and Beta Methods. Journal of Finance. 57(5): 2337-2367.

    Jagannathan, Ravi, Georgios Skoulakis and Zhenyu Wang. 2002. Generalized Method Moments in Finance. Journal of Business & Economic Statistics. 20(4)

    Jagannathan, Ravi, Ellen R. McGrattan and Anna Scherbina. 2000. The Declining U.S. Equity Premium. Federal Reserve Bank of Minneapolis Quarterly Review. 24(4): 3-19.

    Jagannathan, Ravi, Ravi Jagannathan, Shaker B. Srinivasan and Shaker B. Srinivasan. 1999. Does Product Market Competition Reduce Agency Costs?. North American Journal of Economics and Finance. 10(2): 387-399.

    Huddart, Steven, Ravi Jagannathan and Jane Saly. 1999. Valuing the Reload Features of Executive Stock Options. Accounting Horizons. 13(3): 219-240.

    Frank, Murray and Ravi Jagannathan. 1998. Why do stock prices drop by less than the value of the dividend? Evidence from a country without taxes. Journal of Financial Economics. 47(2): 161-188.

    Jagannathan, Ravi and Zhenyu Wang. 1998. A note on the asymptotic covariance in Fama-MacBeth regression. Journal of Finance. 53(2): 799-801.

    Jagannathan, Ravi, Keiichi Kubota and Hitoshi Takehara. 1998. Relationship between labor-income risk and average return: Empirical evidence from the Japanese stock market. Journal of Business. 71(3): 319-347.

    Jagannathan, Ravi and Zhenyu Wang. 1998. An Asymptotic Theory for Estimating Beta-Pricing Models Using Cross-Sectional Regression. Journal of Finance. 53(4): 1285-1309.

    Hansen, Lars Peter and Ravi Jagannathan. 1997. Assessing specification errors in stochastic discount factor models. Journal of Finance. 52(2): 557-590.

    Jagannathan, Ravi and Narayana Kocherlakota. 1996. Why Should Older People Invest Less in Stocks than Younger People?: An Economic Analysis of Finacial Planners' Advice. Federal Reserve Bank of Minneapolis Quarterly Review. 20(3): 11-23.

    Jagannathan, Ravi and Zhenyu Wang. 1996. The Conditional CAPM and the Cross-Section of Expected Returns. Journal of Finance. 51(1): 3-53.

    Jagannathan, Ravi and Ellen R. McGrattan. 1995. The CAPM Debate. Federal Reserve Bank of Minneapolis Quarterly Review. 19(4): 2-17.

    Glosten, Lawrence R. and Ravi Jagannathan. 1994. A Contingent Claim Approach to Performance Evaluation. Journal of Empirical Finance. 1(2): 133-160.

    Boyd, John and Ravi Jagannathan. 1994. Ex-Dividend Price Behavior of Common Stocks. Review of Financial Studies. 7(4): 711-741.

    Jagannathan, Ravi and Zhenyu Wang. 1993. The CAPM is Alive and Well. Federal Reserve Bank of Minneapolis Staff Report 165.

    Glosten, Lawrence R., Ravi Jagannathan and David E. Runkle. 1993. On the relation between the expected value and the volatility of the nominal excess return on stocks. Journal of Finance. 48(5): 1779-1801.

    Hansen, Lars Peter and Ravi Jagannathan. 1991. Implications of security market data for models of dynamic economies. Journal of Political Economy. 99(2): 225-262.

    Hayashi, Fumio and Ravi Jagannathan. 1990. Ex-day behavior of Japanese stock prices: New insights from new methodology.Journal of the Japanese and International Economies. 4(3): 401-427.

    Chari, V.V., Ravi Jagannathan and Larry E. Jones. 1990. Price Stability and Futures Trading in Commodities. Quarterly Journal of Economics. 105(2): 527-534.

    Chari, V.V. and Ravi Jagannathan. 1990. The simple analytics of commodity futures markets: Do they stabilize prices? Do they raise welfare. Federal Reserve Bank of Minneapolis Quarterly Review. 14(3): 12-24.

    Chari, V.V. and Ravi Jagannathan. 1989. Adverse Selection in a Model of Real Estate Lending. Journal of Finance. 44(2): 499-508.

    Jagannathan, Ravi. 1989. Review of "Options: Theory, Strategy, and Applications" by Peter Ritchkin. Journal of Finance. 44(1): 222-223.

     Breen, William, Lawrence R. Glosten and Ravi Jagannathan. 1989. Economic Significance of Predictable Variations in Stock Index Returns. Journal of Finance. 44(5): 1177-1189.

    Jagannathan, Ravi and Thomas R. Palfrey. 1989. The Effects of Insider Trading Disclosures on Speculative Activity and Futures Prices. Economic Inquiry. 27(3): 411-430.

    Chari, V.V. and Ravi Jagannathan. 1988. Banking Panics, Information and Rational Expectation Equilibrium. Journal of Finance. 43(3): 761-763.

    Chari, V.V., Ravi Jagannathan and Aharon Ofer. 1988. Seasonalities in Security Returns: the Case of Earnings Announcements.Journal of Financial Economics. 21(1): 101-121.

    Jagannathan, Ravi and Robert Korajczyk. 1986. Assessing the Market Timing Performance of Managed Portfolios. Journal of Business. 59(2): 217-235.Reprinted in:Asset Pricing and Portfolio Performance. Models, Strategy and Performance Metrics, edited by Robert A. Korajczyk, London: Risk Publications, 1999.

    Breen, William, Ravi Jagannathan and Aharon Ofer. 1986. Correcting for Heteroscedasticity in Tests for Market Timing Ability. Journal of Business. 59(4): 585-598.

    Jagannathan, Ravi. 1985. An Investigation of Commodity Futures Prices Using the Consumption Based Intertemporal Capital Asset Pricing Model. Journal of Finance. 40(1): 175-191.

    Jagannathan, Ravi. 1984. Call Options and the Risk of Underlying Securities. Journal of Financial Economics. 13(3): 425-434

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