Details about Jay Shanken

Access statistics for papers by Jay Shanken.

Last updated 2012-09-20. Update your information in the RePEc Author Service.

Short-id: psh114

Working Papers

2009

1. Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
   Also in Working Paper, Federal Reserve Bank of Atlanta (2009) View citations (7)

2007

2. Estimating and testing beta pricing models: Alternative methods and their performance in simulations
   CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics View citations (16)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2006) View citations (4)
   See also Journal Article in Journal of Financial Economics (2007)

2006

3. A Skeptical Appraisal of Asset-Pricing Tests
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (42)
   See also Journal Article in Journal of Financial Economics (2010)

2002

4. Mutual Fund Performance with Learning Across Funds
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (17)
   See also Journal Article in Journal of Financial Economics (2005)

2001

5. Risk, Mispricing, and Asset Allocation: Conditioning on Dividend Yield
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)

2000

6. Estimation Risk, Market Efficiency, and the Predictability of Returns
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)

1990

7. Macroeconomics Variables and Asset Pricing: Further Results
   Working Papers, Rochester, Business - Managerial Economics Research Center View citations (4)

Journal Articles

2012

1. Payout yield, risk, and mispricing: A Bayesian analysis
   Journal of Financial Economics, 2012, 105, (1), 131-152

2010

2. A skeptical appraisal of asset pricing tests
   Journal of Financial Economics, 2010, 96, (2), 175-194 View citations (13)
   See also Working Paper (2006)

2007

3. Estimating and testing beta pricing models: Alternative methods and their performance in simulations
   Journal of Financial Economics, 2007, 84, (1), 40-86 View citations (23)
   See also Working Paper (2007)

2006

4. Economic forces and the stock market revisited
   Journal of Empirical Finance, 2006, 13, (2), 129-144 View citations (11)

2005

5. Mutual fund performance with learning across funds
   Journal of Financial Economics, 2005, 78, (3), 507-552 View citations (12)
   See also Working Paper (2002)

2003

6. Time-series coefficient variation in value-relevance regressions: a discussion of Core, Guay, and Van Buskirk and new evidence
   Journal of Accounting and Economics, 2003, 34, (1-3), 69-87 View citations (2)

2002

7. Learning, Asset-Pricing Tests, and Market Efficiency
   Journal of Finance, 2002, 57, (3), 1113-1145 View citations (22)

1997

8. Book-to-market, dividend yield, and expected market returns: A time-series analysis
   Journal of Financial Economics, 1997, 44, (2), 169-203 View citations (84)

1995

9. Another Look at the Cross-Section of Expected Stock Returns
   Journal of Finance, 1995, 50, (1), 185-224 View citations (55)
10. IN DEFENSE OF BETA
    Journal of Applied Corporate Finance, 1995, 8, (1), 53-59
11. Problems in measuring portfolio performance An application to contrarian investment strategies
    Journal of Financial Economics, 1995, 38, (1), 79-107 View citations (41)

1994

12. Lack of timeliness and noise as explanations for the low contemporaneuos return-earnings association
    Journal of Accounting and Economics, 1994, 18, (3), 289-324 View citations (13)

1993

13. FUNDAMENTALS LARGELY EXPLAIN STOCK PRICE VOLATILITY
    Journal of Applied Corporate Finance, 1993, 6, (2), 81-87

1992

14. On the Estimation of Beta-Pricing Models
    Review of Financial Studies, 1992, 5, (1), 1-33 View citations (121)
15. Stock return variation and expected dividends: A time-series and cross-sectional analysis
    Journal of Financial Economics, 1992, 31, (2), 177-210 View citations (20)
16. The Current State of the Arbitrage Pricing Theory
    Journal of Finance, 1992, 47, (4), 1569-74 View citations (17)

1990

17. Intertemporal asset pricing: An Empirical Investigation
    Journal of Econometrics, 1990, 45, (1-2), 99-120 View citations (108)

1989

18. A Test of the Efficiency of a Given Portfolio
    Econometrica, 1989, 57, (5), 1121-52 View citations (238)

1987

19. A Bayesian approach to testing portfolio efficiency
    Journal of Financial Economics, 1987, 19, (2), 195-215 View citations (22)
20. Multivariate proxies and asset pricing relations: Living with the Roll critique
    Journal of Financial Economics, 1987, 18, (1), 91-110 View citations (38)
21. Nonsynchronous Data and the Covariance-Factor Structure of Returns
    Journal of Finance, 1987, 42, (2), 221-31 View citations (5)
22. Subperiod aggregation and the power of multivariate tests of portfolio efficiency
    Journal of Financial Economics, 1987, 19, (2), 389-394 View citations (12)

1986

23. On Exclusion of Assets from Tests of the Mean Variance Efficiency of the Market Portfolio: An Extension
    Journal of Finance, 1986, 41, (2), 331-37 View citations (1)
24. Testing Portfolio Efficiency When the Zero-Beta Rate Is Unknown: A Note
    Journal of Finance, 1986, 41, (1), 269-76 View citations (19)

1985

25. Multi-Beta CAPM or Equilibrium-APT? A Reply [An Empirical Investigation of the Arbitrage Pricing Theory] [The Arbitrage Pricing Theory: Is It Testable?]
    Journal of Finance, 1985, 40, (4), 1189-96
26. Multivariate tests of the zero-beta CAPM
    Journal of Financial Economics, 1985, 14, (3), 327-348 View citations (56)

1982

27. The Arbitrage Pricing Theory: Is It Testable?
    Journal of Finance, 1982, 37, (5), 1129-40 View citations (23)