Jay A. Shanken

Emory University - Goizueta Business School

1300 Clifton Road

Atlanta, GA 30322-2722

United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

22

DOWNLOADS
Rank 2,576

SSRN RANKINGS

Top 2,576

in Total Papers Downloads

11,550

CITATIONS
Rank 2,130

SSRN RANKINGS

Top 2,130

in Total Papers Citations

263

Scholarly Papers (22)

1.

Market Efficiency, Rational Expectations, and Estimation Risk

Number of pages: 47 Posted: 16 Aug 1998
Jonathan Lewellen and Jay A. Shanken
Dartmouth College - Tuck School of Business and Emory University - Goizueta Business School
Downloads 1,633 (7,960)
Citation 2

Abstract:

Estimation Risk, Market Efficiency, and the Predictability of Returns

Simon School of Business Working Paper No. FR 00-16
Number of pages: 49 Posted: 19 Dec 2000
Jay A. Shanken and Jonathan Lewellen
Emory University - Goizueta Business School and Dartmouth College - Tuck School of Business
Downloads 1,348 (10,829)
Citation 5

Abstract:

Estimation Risk, Market Efficiency, and the Predictability of Returns

NBER Working Paper No. w7699
Number of pages: 53 Posted: 17 May 2000
Jonathan Lewellen and Jay A. Shanken
Dartmouth College - Tuck School of Business and Emory University - Goizueta Business School
Downloads 74 (276,200)
Citation 5

Abstract:

3.

Beta and Book-to-Market: Is the Glass Half Full or Half Empty?

Simon School of Business Working Paper FR 97-20
Number of pages: 12 Posted: 21 Sep 1998
S.P. Kothari and Jay A. Shanken
Massachusetts Institute of Technology (MIT) - Sloan School of Management and Emory University - Goizueta Business School
Downloads 1,320 (11,057)
Citation 1

Abstract:

4.
Downloads 1,223 ( 12,914)
Citation 154

A Skeptical Appraisal of Asset Pricing Tests

AFA 2007 Chicago Meetings Paper, EFA 2006 Zurich Meetings Paper
Number of pages: 44 Posted: 17 Mar 2006 Last Revised: 24 Feb 2009
Jonathan Lewellen, Stefan Nagel and Jay A. Shanken
Dartmouth College - Tuck School of Business, University of Chicago - Booth School of Business and Emory University - Goizueta Business School
Downloads 1,185 (13,298)
Citation 154

Abstract:

asset pricing tests, stock returns, cross section

A Skeptical Appraisal of Asset-Pricing Tests

NBER Working Paper No. w12360
Number of pages: 44 Posted: 20 Jul 2006 Last Revised: 03 Sep 2010
Jonathan Lewellen, Stefan Nagel and Jay A. Shanken
Dartmouth College - Tuck School of Business, University of Chicago - Booth School of Business and Emory University - Goizueta Business School
Downloads 38 (380,227)
Citation 154

Abstract:

Risk, Mispricing, and Asset Allocation: Conditioning on Dividend Yield

London Business School Accounting Subject Area No. 032; Simon Business School Working Paper No. FR 01-21; AFA 2002 Atlanta Meetings
Number of pages: 57 Posted: 02 Dec 2001
Jay A. Shanken and Ane Tamayo
Emory University - Goizueta Business School and London School of Economics & Political Science (LSE)
Downloads 1,001 (17,207)
Citation 7

Abstract:

Risk, Mispricing, and Asset Allocation: Conditioning on Dividend Yield

NBER Working Paper No. w8666
Number of pages: 56 Posted: 14 Dec 2001 Last Revised: 25 Oct 2010
Jay A. Shanken and Ane Tamayo
Emory University - Goizueta Business School and London School of Economics & Political Science (LSE)
Downloads 35 (392,149)
Citation 7

Abstract:

6.

Dividend Yield, Risk, and Mispricing: A Bayesian Analysis

London Business School Accounting Subject Area Working Paper
Number of pages: 55 Posted: 20 May 2004
Jay A. Shanken and Ane Tamayo
Emory University - Goizueta Business School and London School of Economics & Political Science (LSE)
Downloads 912 (19,606)
Citation 8

Abstract:

7.
Downloads 648 ( 32,848)

Comparing Asset Pricing Models

Journal of Finance, Forthcoming
Number of pages: 59 Posted: 22 Oct 2015 Last Revised: 17 Feb 2017
Francisco Barillas and Jay A. Shanken
Emory University - Goizueta Business School and Emory University - Goizueta Business School
Downloads 627 (33,864)

Abstract:

Comparing Asset Pricing Models

NBER Working Paper No. w21771
Number of pages: 54 Posted: 07 Dec 2015
Francisco Barillas and Jay A. Shanken
Emory University - Goizueta Business School and Emory University - Goizueta Business School
Downloads 21 (462,021)
  • Add to Cart

Abstract:

8.
Downloads 639 ( 33,419)

Which Alpha?

Number of pages: 28 Posted: 27 May 2015 Last Revised: 11 Sep 2016
Francisco Barillas and Jay A. Shanken
Emory University - Goizueta Business School and Emory University - Goizueta Business School
Downloads 625 (33,942)

Abstract:

Which Alpha?

NBER Working Paper No. w21698
Number of pages: 22 Posted: 09 Nov 2015
Francisco Barillas and Jay A. Shanken
Emory University - Goizueta Business School and Emory University - Goizueta Business School
Downloads 14 (502,978)
  • Add to Cart

Abstract:

Estimating and Testing Beta Pricing Models: Alternative Methods and Their Performance in Simulations

Number of pages: 61 Posted: 21 Jan 2006
Jay A. Shanken and Guofu Zhou
Emory University - Goizueta Business School and Washington University in St. Louis - Olin School of Business
Downloads 443 (52,971)
Citation 35

Abstract:

Fama and MacBeth, two-pass procedure, GLS, GMM

Estimating and Testing Beta Pricing Models: Alternative Methods and Their Performance in Simulations

NBER Working Paper No. w12055
Number of pages: 59 Posted: 08 May 2006
Jay A. Shanken and Guofu Zhou
Emory University - Goizueta Business School and Washington University in St. Louis - Olin School of Business
Downloads 26 (433,733)
Citation 35

Abstract:

Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology

Journal of Finance, Forthcoming
Number of pages: 101 Posted: 22 Apr 2012 Last Revised: 05 Jul 2014
Raymond Kan, Cesare Robotti and Jay A. Shanken
University of Toronto - Rotman School of Management, Imperial College Business School and Emory University - Goizueta Business School
Downloads 430 (54,922)
Citation 13

Abstract:

Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology

NBER Working Paper No. w15047
Number of pages: 62 Posted: 08 Jun 2009
Raymond Kan, Cesare Robotti and Jay A. Shanken
University of Toronto - Rotman School of Management, Imperial College Business School and Emory University - Goizueta Business School
Downloads 26 (433,733)
Citation 13

Abstract:

11.
Downloads 453 ( 52,121)
Citation 34

Mutual Fund Performance with Learning Across Funds

Number of pages: 54 Posted: 06 Jun 2003
Christopher S. Jones and Jay A. Shanken
University of Southern California - Marshall School of Business - Finance and Business Economics Department and Emory University - Goizueta Business School
Downloads 419 (56,724)
Citation 34

Abstract:

mutual funds, asset allocation, Bayesian analysis, asset pricing

Mutual Fund Performance with Learning Across Funds

NBER Working Paper No. w9392
Number of pages: 46 Posted: 14 Dec 2002 Last Revised: 31 Oct 2010
Christopher S. Jones and Jay A. Shanken
University of Southern California - Marshall School of Business - Finance and Business Economics Department and Emory University - Goizueta Business School
Downloads 34 (396,256)
Citation 34

Abstract:

12.

Cross-Sectional Asset Pricing with Individual Stocks: Betas versus Characteristics

Number of pages: 50 Posted: 15 Jan 2015
Tarun Chordia, Amit Goyal and Jay A. Shanken
Emory University - Department of Finance, University of Lausanne and Emory University - Goizueta Business School
Downloads 419 (14,061)
Citation 1

Abstract:

Asset Pricing, Individual Stocks, Factor Loadings, Characteristics, Errors-in-Variables

13.

Model Comparison with Sharpe Ratios

Rotman School of Management Working Paper No. 3013149
Number of pages: 47 Posted: 04 Aug 2017
Emory University - Goizueta Business School, University of Toronto - Rotman School of Management, Imperial College Business School and Emory University - Goizueta Business School
Downloads 0 (206,351)

Abstract:

14.

Economic Forces and the Stock Market Revisited

Journal of Empirical Finance, Forthcoming
Posted: 22 Feb 2006
Jay A. Shanken and Mark Weinstein
Emory University - Goizueta Business School and University of Southern California - Marshall School of Business - Finance and Business Economics Department

Abstract:

15.

Asset Allocation with Inflation-Protected Bonds

Financial Analysts Journal, Vol. 60, No. 1, pp. 54-70, January/February 2004
Posted: 13 Feb 2004
S.P. Kothari and Jay A. Shanken
Massachusetts Institute of Technology (MIT) - Sloan School of Management and Emory University - Goizueta Business School

Abstract:

Portfolio Management, asset allocation, Debt Investments, return or yield measures, Economics

16.

Learning, Asset-Pricing Tests, and Market Efficiency

Journal of Finance, Vol. 57, pp. 1113-1145, 2002
Posted: 03 Jan 2004
Jonathan Lewellen and Jay A. Shanken
Dartmouth College - Tuck School of Business and Emory University - Goizueta Business School

Abstract:

17.

Time-series Coefficient Variation in Value-Relevance Regressions: A Discussion of Core, Guay, and Van Buskirk and New Evidence

Journal of Accounting & Economics, Vol. 34, Nos. 1-3, pp. 69-87, January 2003
Posted: 05 Nov 2002
S.P. Kothari and Jay A. Shanken
Massachusetts Institute of Technology (MIT) - Sloan School of Management and Emory University - Goizueta Business School

Abstract:

Value Relevance, Correlated Omitted Variable Bias, Growth Expectations and Discount Rates

18.

Another Look at the Cross-Section of Expected Stock Returns

Journal of Finance, Vol. 50, No. 1, March 1995
Posted: 14 Apr 1999
Jay A. Shanken and Richard G. Sloan
Emory University - Goizueta Business School and University of California, Berkeley - Accounting Group

Abstract:

19.

The CAPM: 'Reports of My Death Have Been Greatly Exaggerated'

FR 95-21
Posted: 20 Jul 1998
S.P. Kothari, Jay A. Shanken and Richard G. Sloan
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Emory University - Goizueta Business School and University of California, Berkeley - Accounting Group

Abstract:

20.

Statistical Methods in Tests of Portfolio Efficiency: A Synthesis

Posted: 15 Jul 1998
Jay A. Shanken
Emory University - Goizueta Business School

Abstract:

21.

Lack Of Timeliness And Noise As Explanations For The Low Contemporaneous Return-Earnings Association

Rochester Working Paper No. FR 94-03
Posted: 25 Apr 1998
University of Iowa - Department of Accounting, Massachusetts Institute of Technology (MIT) - Sloan School of Management, Emory University - Goizueta Business School and University of California, Berkeley - Accounting Group

Abstract:

22.

Book-to-Market, Dividend Yield, and Expected Market Returns: A Time-Series Analysis

Working Paper FR 95-13
Posted: 25 Apr 1998
S.P. Kothari and Jay A. Shanken
Massachusetts Institute of Technology (MIT) - Sloan School of Management and Emory University - Goizueta Business School

Abstract: