EconPapers    
Economics at your fingertips  
 

Details about Jay Shanken

E-mail:
Homepage:http://www.goizueta.emory.edu/faculty/JayShanken/
Workplace:National Bureau of Economic Research (NBER), (more information at EDIRC)
Goizueta Business School, Emory University, (more information at EDIRC)

Access statistics for papers by Jay Shanken.

Last updated 2014-03-25. Update your information in the RePEc Author Service.

Short-id: psh114


Jump to Journal Articles

Working Papers

2015

  1. Comparing Asset Pricing Models
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (3)
  2. Which Alpha?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (2)

2009

  1. Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (10)
    Also in FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2009) Downloads View citations (38)

    See also Journal Article in Journal of Finance (2013)

2007

  1. 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 Downloads View citations (48)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2006) Downloads

    See also Journal Article in Journal of Financial Economics (2007)

2006

  1. A Skeptical Appraisal of Asset-Pricing Tests
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (20)
    See also Journal Article in Journal of Financial Economics (2010)

2002

  1. Mutual Fund Performance with Learning Across Funds
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (22)
    See also Journal Article in Journal of Financial Economics (2005)

2001

  1. Risk, Mispricing, and Asset Allocation: Conditioning on Dividend Yield
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (2)

2000

  1. Estimation Risk, Market Efficiency, and the Predictability of Returns
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (2)

1990

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

Journal Articles

2013

  1. Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology
    Journal of Finance, 2013, 68, (6), 2617-2649 Downloads View citations (33)
    See also Working Paper (2009)

2012

  1. Payout yield, risk, and mispricing: A Bayesian analysis
    Journal of Financial Economics, 2012, 105, (1), 131-152 Downloads View citations (4)

2010

  1. A skeptical appraisal of asset pricing tests
    Journal of Financial Economics, 2010, 96, (2), 175-194 Downloads View citations (186)
    See also Working Paper (2006)

2007

  1. Estimating and testing beta pricing models: Alternative methods and their performance in simulations
    Journal of Financial Economics, 2007, 84, (1), 40-86 Downloads View citations (57)
    See also Working Paper (2007)

2006

  1. Economic forces and the stock market revisited
    Journal of Empirical Finance, 2006, 13, (2), 129-144 Downloads View citations (29)

2005

  1. Mutual fund performance with learning across funds
    Journal of Financial Economics, 2005, 78, (3), 507-552 Downloads View citations (25)
    See also Working Paper (2002)

2003

  1. 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 Downloads View citations (4)

2002

  1. Learning, Asset-Pricing Tests, and Market Efficiency
    Journal of Finance, 2002, 57, (3), 1113-1145 Downloads View citations (74)

1997

  1. Book-to-market, dividend yield, and expected market returns: A time-series analysis
    Journal of Financial Economics, 1997, 44, (2), 169-203 Downloads View citations (158)

1995

  1. Another Look at the Cross-Section of Expected Stock Returns
    Journal of Finance, 1995, 50, (1), 185-224 Downloads View citations (113)
  2. IN DEFENSE OF BETA
    Journal of Applied Corporate Finance, 1995, 8, (1), 53-59 Downloads
  3. Problems in measuring portfolio performance An application to contrarian investment strategies
    Journal of Financial Economics, 1995, 38, (1), 79-107 Downloads View citations (63)

1994

  1. Lack of timeliness and noise as explanations for the low contemporaneuos return-earnings association
    Journal of Accounting and Economics, 1994, 18, (3), 289-324 Downloads View citations (44)

1993

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

1992

  1. On the Estimation of Beta-Pricing Models
    Review of Financial Studies, 1992, 5, (1), 1-33 Downloads View citations (283)
  2. Stock return variation and expected dividends: A time-series and cross-sectional analysis
    Journal of Financial Economics, 1992, 31, (2), 177-210 Downloads View citations (30)
  3. The Current State of the Arbitrage Pricing Theory
    Journal of Finance, 1992, 47, (4), 1569-74 Downloads View citations (21)

1990

  1. Intertemporal asset pricing: An Empirical Investigation
    Journal of Econometrics, 1990, 45, (1-2), 99-120 Downloads View citations (163)

1989

  1. A Test of the Efficiency of a Given Portfolio
    Econometrica, 1989, 57, (5), 1121-52 Downloads View citations (391)

1987

  1. A Bayesian approach to testing portfolio efficiency
    Journal of Financial Economics, 1987, 19, (2), 195-215 Downloads View citations (30)
  2. Multivariate proxies and asset pricing relations: Living with the Roll critique
    Journal of Financial Economics, 1987, 18, (1), 91-110 Downloads View citations (56)
  3. Nonsynchronous Data and the Covariance-Factor Structure of Returns
    Journal of Finance, 1987, 42, (2), 221-31 Downloads View citations (14)
  4. Subperiod aggregation and the power of multivariate tests of portfolio efficiency
    Journal of Financial Economics, 1987, 19, (2), 389-394 Downloads View citations (13)

1986

  1. 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 Downloads View citations (2)
  2. Testing Portfolio Efficiency When the Zero-Beta Rate Is Unknown: A Note
    Journal of Finance, 1986, 41, (1), 269-76 Downloads View citations (27)

1985

  1. 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 Downloads
  2. Multivariate tests of the zero-beta CAPM
    Journal of Financial Economics, 1985, 14, (3), 327-348 Downloads View citations (85)

1982

  1. The Arbitrage Pricing Theory: Is It Testable?
    Journal of Finance, 1982, 37, (5), 1129-40 Downloads View citations (33)
 
Page updated 2017-08-17