Jay A. Shanken

Emory University - Goizueta Business School

1300 Clifton Road

Atlanta, GA 30322-2722

United States

National Bureau of Economic Research (NBER)

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SCHOLARLY PAPERS

22

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Scholarly Papers (22)

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

Number of pages: 61 Posted: 15 Jan 2015 Last Revised: 14 Jan 2019

Tarun Chordia, Amit Goyal and Jay A. Shanken

Emory University - Department of Finance, University of Lausanne and Emory University - Goizueta Business School

Downloads 3,291 (7,818)

Citation 40

Abstract:

Comparing Asset Pricing Models

Downloads 1,776 (20,796)

Citation 136

Comparing Asset Pricing Models

Journal of Finance, Forthcoming

Number of pages: 60 Posted: 22 Oct 2015 Last Revised: 06 Dec 2017

Francisco Barillas and Jay A. Shanken

University of New South Wales and Emory University - Goizueta Business School

Downloads 1,705 (21,710)

Citation 2

Abstract:

Comparing Asset Pricing Models

NBER Working Paper No. w21771

Number of pages: 54 Posted: 07 Dec 2015 Last Revised: 28 Jun 2023

Francisco Barillas and Jay A. Shanken

University of New South Wales and Emory University - Goizueta Business School

Downloads 71 (694,125)

Citation 134

Abstract:

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 1,749 (21,279)

Citation 3

Abstract:

Estimation Risk, Market Efficiency, and the Predictability of Returns

Downloads 1,536 (25,928)

Citation 1

Estimation Risk, Market Efficiency, and the Predictability of Returns

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 1,413 (28,854)

Abstract:

Estimation Risk, Market Efficiency, and the Predictability of Returns

NBER Working Paper No. w7699

Number of pages: 53 Posted: 17 May 2000 Last Revised: 17 Jul 2022

Jonathan Lewellen and Jay A. Shanken

Dartmouth College - Tuck School of Business and Emory University - Goizueta Business School

Downloads 123 (480,717)

Citation 1

Abstract:

A Skeptical Appraisal of Asset Pricing Tests

Downloads 1,469 (27,699)

Citation 76

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 1,362 (30,444)

Citation 9

Abstract:

A Skeptical Appraisal of Asset-Pricing Tests

NBER Working Paper No. w12360

Number of pages: 44 Posted: 20 Jul 2006 Last Revised: 02 Jan 2023

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 107 (535,392)

Citation 67

Abstract:

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

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 1,447 (28,353)

Citation 6

Abstract:

Model Comparison with Sharpe Ratios

Rotman School of Management Working Paper No. 3013149

Number of pages: 51 Posted: 04 Aug 2017 Last Revised: 13 Mar 2019

Francisco Barillas, Raymond Kan, Cesare Robotti and Jay A. Shanken

University of New South Wales, University of Toronto - Rotman School of Management, Imperial College Business School and Emory University - Goizueta Business School

Downloads 1,366 (30,950)

Citation 19

Abstract:

Which Alpha?

Number of pages: 28 Posted: 27 May 2015 Last Revised: 11 Sep 2016

Francisco Barillas and Jay A. Shanken

University of New South Wales and Emory University - Goizueta Business School

Downloads 1,256 (34,262)

Abstract:

Which Alpha?

NBER Working Paper No. w21698

Number of pages: 22 Posted: 09 Nov 2015 Last Revised: 16 Apr 2023

Francisco Barillas and Jay A. Shanken

University of New South Wales and Emory University - Goizueta Business School

Downloads 69 (705,153)

Citation 35

Abstract:

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

Downloads 1,117 (41,435)

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

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 1,044 (44,857)

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: 07 Sep 2022

Jay A. Shanken and Ane Tamayo

Emory University - Goizueta Business School and London School of Economics & Political Science (LSE)

Downloads 73 (683,443)

Abstract:

10.

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 1,006 (48,006)

Citation 19

Abstract:

11.

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

Downloads 785 (67,393)

Citation 31

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, Warwick Business School and Emory University - Goizueta Business School

Downloads 644 (85,801)

Citation 26

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 Last Revised: 12 Feb 2023

Raymond Kan, Cesare Robotti and Jay A. Shanken

University of Toronto - Rotman School of Management, Warwick Business School and Emory University - Goizueta Business School

Downloads 141 (430,459)

Citation 5

Abstract:

12.

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

Downloads 651 (85,775)

Citation 255

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 - John M. Olin Business School

Downloads 506 (116,261)

Citation 80

Abstract:

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 Last Revised: 11 Dec 2022

Jay A. Shanken and Guofu Zhou

Emory University - Goizueta Business School and Washington University in St. Louis - John M. Olin Business School

Downloads 145 (420,761)

Citation 175

Abstract:

13.

Mutual Fund Performance with Learning Across Funds

Downloads 535 (109,975)

Citation 15

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 463 (129,434)

Citation 3

Abstract:

Mutual Fund Performance with Learning Across Funds

NBER Working Paper No. w9392

Number of pages: 46 Posted: 14 Dec 2002 Last Revised: 01 Sep 2022

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 72 (688,763)

Citation 12

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

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:

16.

Learning, Asset-Pricing Tests, and Market Efficiency

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

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:

18.

Another Look at the Cross-Section of Expected Stock Returns

Posted: 14 Apr 1999

Jay A. Shanken and Richard G. Sloan

Emory University - Goizueta Business School and University of Southern California - Leventhal School of Accounting

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 Southern California - Leventhal School of Accounting

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

Daniel W. Collins, S.P. Kothari, Jay A. Shanken and Richard G. Sloan

University of Iowa - Department of Accounting, Massachusetts Institute of Technology (MIT) - Sloan School of Management, Emory University - Goizueta Business School and University of Southern California - Leventhal School of Accounting

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:

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Jay A. Shanken

Emory University - Goizueta Business School

National Bureau of Economic Research (NBER)

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Scholarly Papers (22)

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