• JAGANNATHAN, Ravi

    Distinguished Visiting Professor

  • Email:

    rjaganna@northwestern.edu

  • 　　

    　　

  • Support Staff:

    Iris Lei

  • Support Staff Email:

    hlei@saif.sjtu.edu.cn

  • Research Interests

    Pricing of Financial Assets, Financial Markets and Institutions, and Portfolio Performance Evaluation.

Dr. Ravi Jagannathan is a Distinguished Visiting Professor at Shanghai Advanced Institute of Finance, Shanghai Jiao Tong University. He is aslo the Chicago Mercantile Exchange/John F. Sandner Professor of Finance at Northwestern University's Kellogg School of Management and Co-Director of the Financial Institutions and Markets Research Center at the Kellogg School (1997 - present). He has previously held positions as Piper Jaffray Professor of Finance (1993 - 1997) and Associate Professor of Finance (1989 - 1993) at the University of Minnesota's Carlson School of Management, Assistant Professor of finance at Northwestern University's Kellogg School (1983 - 1989), and as a Distinguished Visiting Professor at the Hong Kong University of Science and Technology (1994 - 1995), and had appointments as Special Terms professor at Shanghai Advanced Institute of Finance, Shanghai Jiao Tong University (2012-2021) and the Indian School of Business (2012-2014).
Ravi received a Ph.D. in Financial Economics (1983) and an M.S. in Financial Economics (1981) from Carnegie Mellon University, an M.B.A. from the Indian Institute of Management at Ahmedabad (1972), and a B.E. in Mechanical Engineering from the University of Madras (1970).


Ravi has served on the editorial boards of leading academic journals, and is a former executive editor of the Review of Financial Studies. He has served as a member of the Board of Directors of the American Finance Association and the Western Finance Association and is a past President of the Western Finance Association, the Society of Financial Studies, and the Financial Intermediation Research Society. He is a research associate of the National Bureau of Economics Research, a fellow of the Society for Financial Econometrics, and a member of the Board of Directors of the Financial Management Association. He is a special term professor at the Indian School of Business and the Shanghai Advanced Institute of Finance. He is the President Elect of the Society for Financial Econometrics.


Ravi's research interests are in the areas of asset pricing, capital markets, and financial institutions. 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. He is noted for his contributions to the development of the Hansen-Jagannathan bound, and the Hansen-Jagannathan distance that summarizes what is missing in an asset pricing model, the TGARCH volatility model, a contingent claims framework for evaluating the performance of actively managed portfolios, and the role of portfolio weight constraints in estimating vast covariance matrices with precision.


Journal Publications

1. Jagannathan, Ravi, 2022, On Frequent Batch Auctions for Stocks, Journal of Financial Econometrics, 20(1), 1-17.

2. Jagannathan, Ravi, Loriana Pelizzon, Ernst Schaumburg, Mila Getmansky Sherman, and Darya Yuferova, 2022, Recovery from fast crashes: Role of mutual funds, Journal of Financial Markets, 59, 100646.

3. Jagannathan, Ravi, Binying Liu, and Jiaqi Zhang, 2019, Corrigendum for Dividend Dynamics, Learning, and Expected Stock Index Returns, Journal of Finance, 74(4), 2107-2116.

4. Jagannathan, Ravi, and Binying Liu, 2019, Dividend Dynamics, Learning, and Expected Stock Index Returns, Journal of Finance, 74(1), 401-448.

5. Jagannathan, Ravi, Tongshu Ma, and Jiaqi Zhang, 2019, A Note on "Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps", Journal of Finance, 74(5), 2689-2696.

6. Jagannathan, Ravi, Ashwin Ravikumar, and Marco Sammon, 2018, ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CRITERIA: WHY INVESTORS SHOULD CARE, Journal of Investment Management, 16(1), 18-31.

7. Jagannathan, Ravi, José Liberti, Binying Liu, and Iwan Meier, 2017, A Firm's Cost of Capital, Annual Review of Financial Economics, 9, 259-282.

8. Jagannathan, Ravi, David A. Matsa, Iwan Meier, and Vefa Tarhan, 2016, Why do firms use high discount rates?, Journal of Financial Economics, 120(3), 445-463.

9. Jagannathan, Ravi, Andrei Jirnyi, and Ann Guenther Sherman, 2015, Share auctions of initial public offerings: Global evidence, Journal of Financial Intermediation, 24(3), 283-311.

10. Jagannathan, Ravi, and Srikant Marakani, 2015, Price-dividend ratio factor proxies for long-run risks, Review of Asset Pricing Studies, 5(1), 1-47.

11. Sorensen, Morten, and Ravi Jagannathan, 2015, The Public Market Equivalent and Private Equity Performance, Financial Analysts Journal, 71(4), 43-50.

12. Jagannathan, Ravi, Mudit Kapoor, and Ernst Schaumburg, 2013, Causes of the great recession of 2007-2009: The financial crisis was the symptom not the disease!, Journal of Financial Intermediation, 22(1), 4-29.

13. 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.

14. Dor, Arik Ben, Ravi Jagannathan, Iwan Meier, and Zhe Xu, 2012, What drives the tracking error of hedge fund clones?, Journal of Alternative Investments, 15(2), 54-74.

15. 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.

16. Da, Zhi, Pengjie Gao, and Ravi Jagannathan, 2011, Impatient trading, liquidity provision, and stock selection by mutual funds, Review of Financial Studies, 24(3), 675-720.

17. Jagannathan, Ravi, Alexey Malakhov, and Dmitry Novikov, 2010, Do hot hands exist among hedge fund managers? An empirical evaluation, Journal of Finance, 65(1), 217-255.

18. Jagannathan, Ravi, Ernst Schaumburg, and Guofu Zhou, 2010, Cross-sectional asset pricing tests, Annual Review of Financial Economics, 2, 49-74.

19. Boyd, John H., Ravi Jagannathan, and Sungkyu Kwak, 2009, What Caused the Current Financial Mess and What Can We Do about It?, Journal of Investment Management, 4.

20. Basak, Gopal K., Ravi Jagannathan, and Tongshu Ma, 2009, Jackknife estimator for tracking error variance of optimal portfolios, Management Science, 55(6), 990-1002.

21. Jagannathan, Ravi, and John H. Boyd, 2009, Avoiding the Next Crisis, Economists' Voice, 6(7), .

22. Jagannathan, Ravi, and Yong Wang, 2007, Lazy investors, discretionary consumption, and the cross-section of stock returns, Journal of Finance, 62(4), 1623-1661.

23. Boyd, John H., Jian Hu, and Ravi Jagannathan, 2005, The stock market's reaction to unemployment news: Why bad news Is usually good for stocks, Journal of Finance, 60(2), 649-672.

24. Jagannathan, Ravi, and Ann E. Sherman, 2005, Reforming the Bookbuilding Process for IPOs, Journal of Applied Corporate Finance, 17(1), 67-72.

25. Jagannathan, Ravi, Andrew Kaplin, and Steve Sun, 2003, An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices, Journal of Econometrics, 116(1-2), 113-146.

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

27. Basak, Gopal, Ravi Jagannathan, and Guoqiang Sun, 2002, A direct test for the mean variance efficiency of a portfolio, Journal of Economic Dynamics and Control, 26(7-8), 1195-1215.

28. 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.

29. Meier, Iwan, and Ravi Jagannathan, 2002, Do we need CAPM for capital budgeting?, Financial Management, 31(4), 55-77.

30. Jagannathan, Ravi, Georgios Skoulakis, and Zhenyu Wang, 2002, Generalized method of moments: Applications in finance, Journal of Business and Economic Statistics, 20(4), 470-481.

31. Jagannathan, Ravi, Ellen R. McGrattan, and Anna Scherbina, 2000, The Declining U.S. Equity Premium, Quarterly Review, 24(4), 3-19.

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

33. Saly, P. Jane, Ravi Jagannathan, and Steven J. Huddart, 1999, Valuing the reload features of executive stock options, Accounting Horizons, 13(3), 219-240.

34. 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.

35. 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.

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

37. 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.

38. Jagannathan, Ravi, Gopal K. Basak, and Guaqiang Sun, 1998, A Test of Mean-Variance Efficiency When Short Selling is Prohibited, SSRN Electronic Journal.

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

40. Ferson, Wayne E., and Ravi Jagannathan, 1996, Econometric evaluation of asset pricing models, Handbook of Statistics, 14, 1-33.

41. Jagannathan, Ravi, and Narayana Kocherlakota, 1996, Why Should Older People Invest Less in Stocks Than Younger People?, Quarterly Review, 20(3), 11-15.

42. Jagannathan, Ravi, and Zhenyu Wang, 1996, The conditional CAPM and the cross-section of expected returns, Journal of Finance, 51(1), 3-53.

43. Jagannathan, Ravi, and Ellen R. McGrattan, 1995, The CAPM Debate, Quarterly Review, 19(4), 2-17.

44. Glosten, L. R., and R. Jagannathan, 1994, A contingent claim approach to performance evaluation, Journal of Empirical Finance, 1(2), 133-160.

45. 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.

46. Hansen, LP, and Ravi Jagannathan, 1991, Implications of Security Market Data for Models of Dynamic Economies, Journal of Political Economy, 99(2), 225-262.

47. Chari, V. V., Ravi Jagannathan, and Larry Jones, 1990, Price stability and futures trading in commodities, Quarterly Journal of Economics, 105(2), 527-534.

48. 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(4), 401-427.

49. Chari, V. V., and Ravi Jagannathan, 1990, The Simple Analytics of Commodity Futures Markets: Do They Stabilize Prices? Do They Raise Welfare?, Quarterly Review, 14(3), 12-24.

50. CHARI, V. V., and RAVI JAGANNATHAN, 1989, Adverse Selection in a Model of Real Estate Lending, Journal of Finance, 44(2), 499-508.

51. 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.

52. JAGANNATHAN, RAVI, and THOMAS R. PALFREY, 1989, EFFECTS OF INSIDER TRADING DISCLOSURES ON SPECULATIVE ACTIVITY AND FUTURE PRICES, Economic Inquiry, 27(3), 411-430.

53. Chari, V. V., Ravi Jagannathan, and Aharon R. Ofer, 1988, Seasonalities in security returns. The case of earnings announcements, Journal of Financial Economics, 21(1), 101-121.

54. CHARI, V. V., and RAVI JAGANNATHAN, 1988, Banking Panics, Information, and Rational Expectations Equilibrium, Journal of Finance, 43(3), 749-761.

55. Jagannathan, Ravi, and Robert A. Korajczyk, 1986, Assessing the Market Timing Performance of Managed Portfolios, Journal of Business, 59(2), 217-235.

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

57. 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.

58. Jagannathan, Ravi, 1984, Call options and the risk of underlying securities, Journal of Financial Economics, 13(3), 425-434.

Working Papers

1. Jagannathan, Ravi, and Kai Wan, 2020, Price Destabilizing Speculation: The Role of Strategic Limit Orders.

2. Jagannathan, Ravi, Shumiao Ouyang, and Jiaheng Yu, 2020, Life Cycle Cash Flows of Ventures.

3. Jagannathan, Ravi, Chun Chang, and Guoxiong Zhang, 2019, Access to Public Capital.

4. Zhang, Yang, and Ravi Jagannathan, 2019, A return-based measure of firm quality.

5. Kent Daniel, Ravi Jagannathan, Soohun Kim, 2019, A Hidden Markov Model of Momentum.

6. Jagannathan, Ravi, Loriana Pelizzon, Ernst Schaumburg, Mila Getmansky Sherman, Darya Yuferova, 2019, Liquidity Provision: Normal Times versus Crashes.

7. Ben Chabot, Eric Ghysels, and Ravi Jagannathan, 2014, Momentum Trading, Return Chasing, and Predictable Crashes.

8. Da, Zhi, Ravi Jagannathan, and Jianfeng Shen, 2014, Growth Expectations, Dividend Yields, and Future Stock Returns.

9. Da, Zhi, Ravi Jagannathan, and Jianfeng Shen, 2013, Investor Optimism, Sales Fixation, and Firm Life Cycle.

10. Chabot, Benjamin, Eric Ghysels, and Ravi Jagannathan, 2009, Momentum Cycles and Limits to Arbitrage: Evidence from the Stock Exchanges of Victorian England and the Post-Depression United States.

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