Ravi Jagannathan
Ravi Jagannathan

FINANCE
Chicago Mercantile Exchange/John F. Sandner Professor of Finance
Co-Director, Financial Institutions and Markets Research

Print Overview

Dr. Ravi Jagannathan is 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 (2012-1015) 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.  



Areas of Expertise
Asset Pricing (Equity Markets/Stock Market, Investments and Portfolio Choice)
Derivative Securities and Markets (Futures, Options, Commodities)
Econometrics
Economic Theory
Equity Markets (Stock Market) (Includes: Asset Pricing, Investments and Portfolio Choice)
Financial Engineering
Investments and Portfolio Choice (Includes: Asset Pricing, Equity Markets/Stock Market)
Money Management/Asset Management (Hedge Funds)
Risk Management

Print Vita
Education
PhD, 1983, Financial Economics, Carnegie Mellon University
MS, 1981, Financial Economics, Carnegie Mellon University
MBA, 1972, Indian Institute of Management
BE, 1970, Mechanical Engineering, University of Madras, India

Academic Positions
Chicago Mercantile Exchange Distinguished Professor of Finance, Kellogg School of Management, Northwestern University, 1997-present
Special Term Professor, Shanghai Advanced Institute of Finance, 2012-2015
Special Term Professor, Indian School of Business, 2012-2014
Visiting Professor, Marshall School of Business, University of Southern California, 2006-2006
Adjunct Professor of Finance, School of Business and Management, Hong Kong University of Science and Technology, 1998-2005
Visitng Professor, School of Business and Management, Hong Kong University of Science and Technology, 1994-1995
Piper Jaffray Professor of Finance, Carlson School of Management, University of Minnesota, 1993-1997
Adjunct Professor of Finance, Columbia Business School, Columbia University, 1992-1992
Associate Professor, Carlson School of Management, University of Minnesota, 1989-1993
Visiting Assistant Professor, Carlson School of Management, University of Minnesota, 1986-1988
Assistant Professor, Kellogg School of Management, Northwestern University, 1983-1989

Other Professional Experience
Referee, Econometrica
Referee, Journal of Finance
Referee, Review of Financial Studies
President, Western Finance Association, 2004-2005
President, Society for Financial Studies, 2002-2005

Grants and Awards
Elected Incoming President, Society for Financial Econometrics, 2015-2017
Graham & Dodd, Murray, Greenwald prize for Value Investing, GAMCO Asset Management and Columbia Business School
My work with Hansen mentioned prominently in the Nobel Economics Prize "Scientific Background", http://www.nobelprize.org/nobel_prizes/economic-sciences/laureates/2013/advanced-economicsciences2013.pdf
Nominated to stand for election for President, Society for Financial Econometrics
Fellow, Society for Financial Econometrics, 2012

Editorial Positions
ad hoc reviewer, Journal of Financial Economics
ad hoc reviewer, quarterly journal of economics
Advisory Board, Quarterly Journal of Finance, 2011-present
Advisory Board, Journal of Financial Econometrics, 2000-Present
Advisory Board, Journal of Investment Consulting, 2010-present
Board of Editorial Advisers, Journal of Investment Management, 2003-present
Associate Editor, Review of Quantitative Finance and Accounting, 1994-present
Editorial Board, (President) Western Finance Association, 2004-2005
Editorial Board, (President) Society for Financial Studies, 2002-2005
Associate Editor, Review of Quantitative Finance and Accounting, 1994
Ad-hoc Reviewer, Journal of Finance
Ad-hoc Reviewer, Econometrica
Ad-hoc Reviewer, Review of Financial Studies
Ad-hoc Reviewer, Management Science
Editorial Board, (Referee) Journal of Finance, Review of Financial Studies, Econometrica

Print Research
Research Interests
Capital markets, valuation of financial assets, derivative securities and risk management, portfolio performance evaluation

Articles
Jagannathan, Ravi and Morten Sorensen. Forthcoming. The Public Market Equivalent and Private Equity Performance. Financial Analysts Journal Accepted for Publication.
Jagannathan, Ravi and Srikant Marakani. Forthcoming. Price Dividend Ratio Factors: Proxies for Long Run Risk. Review of Asset Pricing Studies.
Jagannathan, Ravi, Andrei Jirnyi and Ann Sherman. Forthcoming. Share Auctions of Initial Public Offerings.
Jagannathan, Ravi, Mudit Kapoor and Ernst Schaumburg. 2013. Causes of the Great Recession of 2007-9: The Financial Crisis Was the Symptom Not the Disease!. Journal of Financial Intermediation. 22(1): 4-29.
Jagannathan, Ravi, ArikBen Dor, Iwan Meier and Zhe Xu. 2012. What Drives the Tracking Error of Hedge Fund Clones?. The Journal of Alternative Investments. 15(1): 54-74.
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.
Jagannathan, Ravi and Alexey Malakhov. 2010. Do Hot Hands Exist Among Hedge Fund Managers? An Empirical Evaluation. Journal of Finance.
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, ArikBen, 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?. 31
Jagannathan, Ravi, Georgios Skoulakis and Zhenyu Wang. 2002. Generalized Method Moments in Finance. Journal of Business & Economic Statistics. 20(4)
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, Gopal Basak and Steve Guoqiang Sun. 2002. A Test for Mean Variance Efficiency When Shortselling is Prohibited. Journal of Economic Dynamics and Control. 26: 1195-1215.
Jagannathan, Ravi and Shaker Srinivasan. 1999. Does product market competion reduce agency costs?. North American Journal of Finance. 10: 387-399.
Huddart, Steven, Ravi Jagannathan and Jane Saly. 1999. Valuing the Reload Features of Executive Stock Options. Accounting Horizons. 13(3): 219-240.
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.
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.
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.
Hansen, LarsPeter and Ravi Jagannathan. 1997. Assessing specification errors in stochastic discount factor models. Journal of Finance. 52(2): 557-590.
Jagannathan, Ravi and Zhenyu Wang. 1996. The Conditional CAPM and the Cross-Section of Expected Returns. Journal of Finance. 51(1): 3-53.
Boyd, John and Ravi Jagannathan. 1994. Ex-Dividend Price Behavior of Common Stocks. Review of Financial Studies. 7(4): 711-741.
Glosten, Lawrence R. and Ravi Jagannathan. 1994. A Contingent Claims Framework for Analyzing the Performance of Portfolio Managers. Journal of Empirical Finance. 1: 133-160.
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, LarsPeter 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.
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.
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 and Thomas R. Palfrey. 1989. The Effects of Insider Trading Disclosures on Speculative Activity and Futures Prices. Economic Inquiry. 27(3): 411-430.
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 and Narayana Kocherlakota. 1996. Why Should Older People Invest Less in Stocks than Younger People?: An Economic Analysis of Financial Planners' Advice. Federal Reserve Bank of Minneapolis Quarterly Review. 20(3): 11-23.
Jagannathan, Ravi and Ellen R. McGrattan. 1995. The CAPM Debate. Federal Reserve Bank of Minneapolis Quarterly Review. 19(4): 2-17.
Jagannathan, Ravi and Zhenyu Wang. 1993. The CAPM is Alive and Well. Federal Reserve Bank of Minneapolis Staff Report. No. 165.
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.
Jagannathan, Ravi. 1989. Review of "Options: Theory, Strategy, and Applications" by Peter Ritchkin. Journal of Finance. 44(1): 222-223.
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, vol. 59, London: Risk Publications, 1999.
Breen, WilliamRavi 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.
Working Papers
Jagannathan, Ravi, Zhi Da and Jianfeng Shen. 2014. Growth Expectations, Dividend Yields, and Future Stock Returns.
Jagannathan, Ravi. 2014. Momentum Trading, Return Chasing, and Predictable Crashes.
Jagannathan, RaviDavid A Matsa, Vefa Tarhan and Iwan Meier. 2014. Why do firms use high discount rates?.
Jagannathan, Ravi, Kent Daniel and Soohun Kim. 2014. Tail Risk in Momentum Strategy Returns.
Jagannathan, Ravi, Zhi Da and Jianfeng Shen. 2014. Investor Optimism, Sales Fixation and Firm Life Cycle.
Jagannathan, Ravi and Suman Banerjee. 2014. Destabilizing Commodity Market Speculation.
Jagannathan, Ravi. 2014. Momentum Cycles and Limits to Arbitrage: Evidence from the Stock Exchanges of Victorian England and the Post-Depression United States.
Engleberg, Joey, Paul Gao and Ravi Jagannathan. 2009. An Anatomy of Pairs Trading: The Role of Idiosyncratic News, Common Information, and Liquidity..
Book Chapters
Korajczyk, Robert and Ravi Jagannathan. Forthcoming. "Market Timing." Springer.
Jagannathan, Ravi, Georgios Skoulakis and Zhenyu Wang. Forthcoming. "Analysis of Large Cross Section of Security Returns." In Handbooks Economics, Elsevier/North-Holland.
Chari, V. V. and Ravi Jagannathan. 2000. "Banking Panics, Information and Rational Expectation Equilibrium." In The Regulation and Supervision of Banks, edited by Maximilian J.B. Hall, Cheltenham Glos, UK: Edward Elgar Publishing Limited.
Dor, ArikBen and Ravi Jagannathan. 2003. "Style Analysis: Asset Allocation and Performance Evaluation." In Handbook of Equity Style Management, edited by T. Daniel Coggin and Frank J. Fabozzi, 1-46. Wiley, 3rd edition.
Jagannathan, Ravi and Wayne Ferson. 1996. "Econometric Evaluation of Asset Pricing Models." In Handbook of Statistics: Statistical Methods in Finance, Elsevier Science Publishers B.V..
Jagannathan, Ravi. 1996. "Econometric Evaluation of Asset Pricing Models." In Handbook of Statistics, edited by G.S. Maddala, Elsevier Science Publishers.
Jagannathan, Ravi. 1996. "Relation between the slopes of the conditional and unconditional mean-standard deviation fronteirs of asset returns." In Modern Portfolio Theory and Applications: Inquiries into Asset Valuation Problems, edited by S. Saitou, K. Sawaki, and K. Kubota, 1-8. Osaka, Japan: Center for Academic Societies.
Cases
Jagannathan, Ravi and Zhi Da. 2007. Convertible Bonds of Countrywide Financial Corporation. Case 5-307-509 (KEL323).
Jagannathan, Ravi, Pengjie Gao and Eric Green. 2007. Extraordinary Value Partners, LLC. Case 5-307-508 (KEL325).

 
Print Teaching
Teaching Interests
Investments, options and futures, and econometric theory for finance
Full-Time / Part-Time MBA
Value Investing (FINC-444-0)
This course will introduce you to the traditional Graham, Dodd and Buffett value investing framework as it has evolved over time (Fundamental VI) and the quantitative value investing framework (Quant VI). We will discuss the methods used for identifying and evaluating potential investment opportunities taking into account the fact that for every security you buy or sell there is another investor in the market who is taking the opposite position and you could be wrong. The learning objectives are: (a) Develop an in depth understanding of the Fundamental VI framework and a working knowledge of the Quant VI framework. (b) Understand the value investing philosophy, and apply it in practice through analysis of financial data and integrative thinking that helps assess the risks and rewards. (c) Present the analysis effectively in an organized manner and develop the ability to effectively work in teams by defining individuals¿ roles and tasks and managing conflicts for successful completion of group projects.

Doctoral
Econometrics of Financial Markets (FINC-488-0)
This course will cover topics in the empirical capital markets literature and related econometric methods. The topics will include stock return predictability and asset pricing anomalies; factor models in large cross sections; portfolio performance evaluation and attribution; and initial public offerings. The econometric methods will include GMM and applications that illustrate the use of instruments to address simultaneity, endogeneity, and measurement errors, use of GMM in event studies, maximum likelihood methods, multifractal and hidden Markov models that facilitate parsimonious modeling of stochastic processes of interest. Course grade will be based on homeworks, class presentation, and a final exam.