Ravi Jagannathan
CME Group/John F. Sandner Chair of Finance Co-Director, Financial Institutions and Markets Research Center at Kellogg School of Management
Biography
Kellogg School of Management
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 has appointments as Special Terms professor at Shanghai Advanced Institute of Finance, Shanghai Jiao Tong University (2012+) and the Indian School of Business (2012-2014) and Finance Area Coordinator at the Indian School of Business (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). His Ph.D dissertation received the Alexander Henderson award for excellence in economics.
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 the President 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. He received the 2014 Graham & Dodd, Murray, Greenwald Prize for Value Investing.
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
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
Professional Experience
- President, Society for Financial Econometrics, 2015-2017
- Director, Financial Management Association, 2013-2015
- President, Financial Intermediation Research Society, 2010-2011
- Member, IASB, Expert Advisory Panel on “Fair value measurement of financial instruments when markets become distressed or illiquid", 2008-2008
- Member, Financial Economists Roundtable, 2008-present
- Member, Executive Committee, Society for Financial Studies, 2005-2005
- President, Society for Financial Studies, 2002-2005
- President, Western Finance Association, 2004-2005
- Program Chair, Western Finance Association, 2004-2004
- Member, Option Valuation Group, FASB, 2003-2004
- Vice President, Western Finance Association, 2003-2003
- Director, American Finance Association, 2002-2004
- Vice President, Society for Financial Studies, 1999-2002
- Member, Share-based Payment Advisory Group, IASB, 2002-2002
- Director, American Finance Association, 1998-2000
- Director, Western Finance Association, 1997-2000
- President, Society for Financial Studies, 2002-2005
Awards
- Fellow of the Financial Management Association
- Graham & Dodd, Murray, Greenwald prize for Value Investing, GAMCO Asset Management and Columbia Business School
- Alexander Henderson Award for excellence in economics
Editorial Positions
- Advisory Board, Quarterly Journal of Finance, 2011-present
- Advisory Board, Journal of Investment Consulting, 2010-present
- Co-Editor, Journal of Financial Econometrics, 2008-2009
- Associate Editor, Journal of Portfolio Management, 2004-2009
- Associate Editor, Finance Letters, 2003-2009
- Editorial Board, Editorial Advisor, Journal of Investment Management, 2003
- Department Editor, Department Editor of Finance, Management Science, 2001-
- Advisory Board, Journal of Financial Econometrics, 2000-Present
- Associate Editor, Financial Management, 1999-2009
- Executive Editor, Review of Financial Studies, 1996-
- Associate Editor, Management Science, 1994-2001
- Editor, Review of Financial Studies, 1994-1996
- Associate Editor, Journal of Finance, 1994-1996
- Associate Editor, Review of Quantitative Finance and Accounting, 1994-present
Videos
Asset Pricing
Read about executive education
Cases
Jagannathan, Ravi and Tongshu Ma. 2003. Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps. Journal of Finance. 58(4): 1651-1684.
Green and Hollifield (1992) argue that the presence of a dominant factor would result in extreme negative weights in mean-variance efficient portfolios even in the absence of estimation errors. In that case, imposing no-short-sale constraints should hurt, whereas empirical evidence is often to the contrary. We reconcile this apparent contradiction. We explain why constraining portfolio weights to be nonnegative can reduce the risk in estimated optimal portfolios even when the constraints are wrong. Surprisingly, with no-short-sale constraints in place, the sample covariance matrix performs as well as covariance matrix estimates based on factor models, shrinkage estimators, and daily data.
Jagannathan, Ravi and Zhi Da. 2007. Convertible Bonds of Countrywide Financial Corporation. Case 5-307-509 (KEL323).
Late in the afternoon on Friday, October 22, 2004, the trading floor at First Convergence Inc. was relatively quiet, as most traders had left for the weekend. However, Mary Lucas, a junior trader, was still sitting in front of her Bloomberg terminal, browsing through the recent trading activities of a few convertible bonds the firm held. First Convergence Inc. was a hedge fund specializing in convertible arbitrage that had been founded by three Wall Street traders in 2002. Lucas had joined the firm only recently after getting her MBA. Prior to starting at the firm, she had known little about convertible bonds. Now she stayed late almost every day in order to learn as much about the business as possible. Suddenly, she noticed something unusual about the trading of a convertible bond issued by Countrywide Financial Corporation (NYSE:CFC). Although the average daily trading volume on this bond had been only three thousand during the previous month, it had shot up to fifty thousand in the last three days. Lucas remembered this particular bond. In fact, First Convergence was actually holding a slightly different convertible bond (known as the liquid yield option note or LYON) issued by the same company. On August 20, Countrywide had offered to exchange the new convertible bond for the original LYON. First Convergence had accepted the exchange offer, thus ending up with the new convertible bond. At that time, Lucas was asked to help evaluate the offer, so she was familiar with the features of both bonds. "What's happening?" she asked herself. She quickly checked the recent price movement on Countrywide's stock. The stock had plunged 11.5 percent on Wednesday, October 20, after the company announced an earning below analysts' expectations. On the same day, trading on the convertible shot up. These two events must be related. But how? Is there a potential investment opportunity?
Jagannathan, Ravi, Pengjie Gao and Eric Green. 2007. Extraordinary Value Partners, LLC. Case 5-307-508 (KEL325).
Sun Charities has an endowment of $100 million. Parker, the Chief Investment Officer of Sun Charities, has an opportunity to invest in Extraordinary Value Partners (EVP), a hedge fund. He is considering investing $10 million in EVP. How should he evaluate the investment opportunity? Learning Objective: Application of return-based style analysis to evaluate the performance of a long-short equities hedge fund. Use of mean-variance portfolio optimization for deciding how much to invest in the long-short fund.
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