Ravi Jagannathan

About

Ravi Jagannathan is the CME Group/John F. Sandner Chair of Finance at Northwestern University's Kellogg School of Management and serves as Co-Director of the Financial Institutions and Markets Research Center at Kellogg. He has held academic positions including Piper Jaffray Professor of Finance and Associate Professor of Finance at the University of Minnesota's Carlson School of Management, as well as Assistant Professor of finance at Northwestern University's Kellogg School. His international academic appointments include Distinguished Visiting Professor at the Hong Kong University of Science and Technology, Special Terms professor at Shanghai Jiao Tong University’s Shanghai Advanced Institute of Finance, and the Indian School of Business, where he also served as Area Leader for Finance, Economics, and Public Policy. Jagannathan received his Ph.D. in Financial Economics and an M.S. from Carnegie Mellon University, an M.B.A. from the Indian Institute of Management at Ahmedabad, and a B.E. in Mechanical Engineering from the University of Madras. His research interests encompass asset pricing, capital markets, portfolio performance evaluation, and financial institutions. He is recognized for contributions such as the Hansen-Jagannathan bound, Hansen-Jagannathan distance, TGARCH/GJR volatility model, and the Conditional Capital Asset Pricing Model (Conditional CAPM). Jagannathan has served on editorial boards of leading academic journals, been a member and past president of…

Research topics

• Environmental science
• Geography
• Climatology
• Mathematics
• Finance
• Financial system
• Economics
• Business
• Meteorology
• Monetary economics

Selected publications

• An Intangibles-Adjusted Profitability Factor

  National Bureau of Economic Research · 2023-03-01 · 8 citations

  reportOpen access1st authorCorresponding
  PublisherDOI

• Recovery from fast crashes: Role of mutual funds

  Journal of Financial Markets · 2021 · 8 citations

  1st authorCorresponding

  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 negligible compared to other traders at around 4% of overall activity. Nevertheless, for the two intraday market-wide crashes in our sample, price recovery took place only after mutual funds moved in. Market stability may require the presence of well-capital…

  DOI

• Crop Micrometeorology

  CRC Press eBooks · 2022 · 5 citations

  DOI

• Globalization and Profitability of US Firms: The Role of Intangibles

  National Bureau of Economic Research · 2024-03-01 · 3 citations

  reportOpen access

  China's admission into the WTO in 2001 heralded a new era of globalization, increasing both import competition in domestic markets and foreign opportunities for US firms. In the aggregate, the average annual profitability of US public firms during the post globalization period (2003-2019) increased by 11.5% of the corresponding pre-globalization period (1984-2002) profitability. This increase in overall aggregate profitability was primarily driven by foreign profitability increasing by 47.4% for…

  PublisherOA PDFDOI

• Day Traders, Noise, and Cost of Immediacy

  National Bureau of Economic Research · 2023-04-01 · 2 citations

  reportOpen accessSenior author

  We identify different roles traders play using data with trader identities for all transactions in SENSEX-index stocks on the Bombay Stock Exchange from January 2005 to December 2011.Individual day traders (IDT) are identified as "noise traders", who play an important role in the market microstructure literature.We measure the impact of their activity on market liquidity and trading of other market participants.IDT contribute 10% to volume while losing 3.2 bp (73% of the half-spread) on average…

  PublisherDOI

Frequent coauthors

• Tongshu Ma

  129 shared

• Zhi Da

  127 shared

• Re‐Jin Guo

  University of Illinois Chicago

  68 shared

• Alexey Malakhov

  University of Arkansas at Fayetteville

  65 shared

• Dmitry A. Novikov

  64 shared

• Hitoshi Takehara

  Tokyo Institute of Technology

  57 shared

• Pengjie Gao

  57 shared

• Keiichi Kubota

  Tokyo Institute of Technology

  55 shared

Awards & honors

• Alexander Henderson Award for excellence in economics
• Graham & Dodd, Murray, Greenwald Prize for Value Investing

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