Zobrazeno 1 - 10
of 180
pro vyhledávání: '"Ravi Jagannathan"'
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::80c080f1fc43514337a2e27595290c6d
https://doi.org/10.2139/ssrn.4320577
https://doi.org/10.2139/ssrn.4320577
Autor:
Ravi Jagannathan
Publikováno v:
Journal of Financial Econometrics. 20:1-17
I show that frequent batch auctions for stocks have the potential to reduce the severity of stock price crashes when they occur. For a given sequence of orders from a continuous electronic limit order book market, matching orders using one-second apa
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d99f1e592fcc624200d57246b28dc428
https://doi.org/10.1093/jjfinec/nbz038
https://doi.org/10.1093/jjfinec/nbz038
Publikováno v:
The Journal of Finance. 74:2689-2696
This note corrects an error in the proof of Proposition 2 of “Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraint Helps” that appeared in the Journal of Finance, August 2003.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4e0a2f30932b9d9039b656cc4f834648
https://doi.org/10.1111/jofi.12824
https://doi.org/10.1111/jofi.12824
Publikováno v:
The Journal of Finance. 74:2107-2116
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8181d3bbb7b38da79d5ecc31392ca148
https://doi.org/10.1111/jofi.12786
https://doi.org/10.1111/jofi.12786
Publikováno v:
Journal of Financial Markets. 59:100646
We study the role mutual funds play in the recovery from fast intraday crashes based on data from the National Stock Exchange of India for a single large stock. During normal times, trading activity and liquidity provision by mutual funds is negligib
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9421167b6d273d844bb74fc7cf6391c9
https://doi.org/10.1016/j.finmar.2021.100646
https://doi.org/10.1016/j.finmar.2021.100646
Autor:
Ravi Jagannathan, Binying Liu
Publikováno v:
The Journal of Finance. 74:401-448
We show that, in a frictionless and efficient market, an asset pricing model that better describes investors' behavior should better forecast stock index returns. We propose a dividend model that predicts, out-of-sample, 31.3% of the variation in ann
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8aa3e0792d88bdf584f83b7560d79763
https://doi.org/10.1111/jofi.12731
https://doi.org/10.1111/jofi.12731
Autor:
Ravi Jagannathan, Yang Zhang
We show that superior performance relative to peers during stressful times identifies higher quality firms as measured by conventional historical financial statement based measures as well as default probability measures. Quality measured this way is
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e2121e9a75ddb14c4ec4ab009bae69a2
https://doi.org/10.3386/w27859
https://doi.org/10.3386/w27859
