Narasimhan Jegadeesh
Dean's Distinguished Chair of Finance | Emory University, Goizueta Business School
Atlanta, GA, UNITED STATES
Links (1)
Biography
Narasimhan Jegadeesh is the Dean's Distinguished Chair in Finance at the Goizueta Business School. He has also been on the faculty at the University of Illinois at Urbana-Champaign and the University of California at Los Angeles. He has published extensively in the Journal of Finance, the Journal of Financial Economics, the Review of Financial Studies and other leading academic finance journals. His research has been discussed in several publications including Businessweek, The Economist, Forbes, Kiplinger's Personal Investments, Money, New York Times, and Smart Money.
Education (3)
Columbia University: PhD, Finance 1987
Indian Institute of Management: MBA, Postgraduate Diploma in Management 1980
Indian Institute of Technology: BTech, Mechanical Engineering 1978
Areas of Expertise (3)
Market Analysis
Stock Market and Investments
Market Momentum
Publications (9)
Closing auctions: Nasdaq versus NYSE
Journal of Financial Economics2022 Closing auction volume steadily increased over the last decade, and it reached a peak of about 10% of the total trading volume in 2019. We examine the price impact and resiliency of closing auctions, and we compare closing auction liquidity in Nasdaq and the NYSE...
What Do Fund Flows Reveal about Asset Pricing Models and Investor Sophistication? Get access Arrow
The Review of Financial Studies2021 Recent evidence indicates that market model alphas are stronger predictors of mutual fund flows than alphas with other models. Some recent papers have interpreted this evidence to mean that CAPM is the best asset pricing model, but some others have interpreted it as evidence against investor sophistication. We evaluate the merits of these mutually exclusive interpretations...
Empirical tests of asset pricing models with individual assets: Resolving the errors-in-variables bias in risk premium estimation
Journal of Financial Economics2019 To attenuate an inherent errors-in-variables bias, portfolios are widely employed to test asset pricing models; but portfolios might mask relevant risk- or return-related features of individual stocks. We propose an instrumental variables approach that allows the use of individual stocks as test assets, yet delivers consistent estimates of ex post risk premiums...
Cross-Sectional and Time-Series Tests of Return Predictability: What Is the Difference? Get access Arrow
The Review of Financial Studies2018 We compare the performance of time-series (TS) and cross-sectional (CS) strategies based on past returns. While CS strategies are zero-net investment long/short strategies, TS strategies take on a time-varying net long investment in risky assets...
Buyers versus Sellers: Who Initiates Trades, and When?
Journal of Financial and Quantitative Analysis2016 Models that examine investors’ motivations to trade often make opposite predictions about the relation between trading decisions and past returns. We find that, in the aggregate, both buyer- and seller-initiated trades increase with past returns. The difference between buyer- and seller-initiated trades is negatively related to short horizon returns but positively related to returns over longer horizons...
Risk and Expected Returns of Private Equity Investments: Evidence Based on Market Prices
The Review of Financial Studies2015 We estimate the risk and expected return of private equity using market prices of publicly traded funds of funds holding unlisted private equity funds and of publicly traded private equity funds participating directly in private equity transactions...
Word Power: A New Approach for Content Analysis
Journal of Financial Economics2013 We present a new approach for content analysis to quantify document tone. We find a significant relation between our measure of the tone of 10-Ks and market reaction for both negative and positive words...
Buy-side trades and sell-side recommendations: Interactions and information content
Journal of Financial Markets2012 We examine the performance of buy-side institutional investor trades and sell-side brokerage analyst stock recommendations, as well as their interactions...
Momentum
SSRN Electronic Journal2011 There is substantial evidence that indicates that stocks that perform the best (worst) over a three to 12 month period tend to continue to perform well (poorly) over the subsequent three to 12 months. This article reviews the momentum literature and discusses some of the explanations for this phenomenon...
Research Spotlight
In the News (8)
Wall Street’s Real Earnings Surprise
Barron’s online
2017-09-15
Companies surpassing both revenue and earnings estimates tend to outperform the market over time by more than companies beating on earnings alone.
Snapchat Will Be a Stock Market Dog
Fortune online
2017-03-06
The negative outlook for Snap’s shares is notable not just because it’s a hot IPO, but also because Wall Street analysts are usually a pretty optimistic bunch.
Rising Anxiety That Stocks Are Overpriced
The New York Times online
2015-08-27
There is much scholarly literature on momentum, starting in 1993 with a bombshell paper by Narasimhan Jegadeesh and Sheridan Titman...
Buffett Grabs Apple (AAPL); Can It Still Be a Momentum Stock?
Heavy online
2017-02-15
Apple is looking like a long-term hold more than a momentum trade because it’s still reacting to earnings and there’s still very much up in the air.
Are You Ignoring This Predictive Stock Indicator?
Nasdaq
2015-05-13
Once of the most famous academic studies on RS was completed in 1993 by Narasimhan Jegadeesh and Sheridan Titman...
Lessons From a Hot Market
The Wall Street Journal online
2013-12-13
Narasimhan Jegadeesh of Emory University and Sheridan Titman of the University of Texas at Austin, found in a 2011 paper that U.S. stocks that perform the best over a three-to-12-month period tend to continue on the same path over the following three to 12 months...
An ETF That Buys High and Sells Higher
Seeking Alpha online
2011-08-10
Narasimhan Jegadeesh and Sheridan Titman are credited by academics for discovering momentum, though practitioners had been exploiting it for decades by the time the duo's study came out in 1993...
Swedroe: Why Momentum Is Struggling
ETF online
2016-09-19
Initial research on momentum, however, was published by Narasimhan Jegadeesh and Sheridan Titman, authors of the 1993 study “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency,"...
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