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

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CITATIONS
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261

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 (8,176)
Citation 2

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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 1,350 (11,144)
Citation 5

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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 75 (280,353)
Citation 5

Abstract:

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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 (11,340)
Citation 1

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4.
Downloads 1,229 ( 13,232)
Citation 153

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 1,190 (13,663)
Citation 153

Abstract:

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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 39 (384,624)
Citation 153

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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 1,003 (17,712)
Citation 7

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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 36 (396,403)
Citation 7

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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 (20,084)
Citation 8

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7.
Downloads 747 ( 27,771)

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
Emory University - Goizueta Business School and Emory University - Goizueta Business School
Downloads 725 (28,526)

Abstract:

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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 22 (465,267)
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8.
Downloads 689 ( 30,992)

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 674 (31,507)

Abstract:

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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 15 (506,299)
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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 (54,461)
Citation 34

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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 27 (437,341)
Citation 34

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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, UGA and Emory University - Goizueta Business School
Downloads 435 (55,673)
Citation 12

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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, UGA and Emory University - Goizueta Business School
Downloads 26 (442,676)
Citation 12

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11.
Downloads 455 ( 53,266)
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 420 (58,131)
Citation 34

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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 35 (400,442)
Citation 34

Abstract:

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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 (12,736)
Citation 1

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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: 48 Posted: 04 Aug 2017 Last Revised: 14 Nov 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 (139,427)

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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

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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

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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

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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

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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

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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

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20.

Statistical Methods in Tests of Portfolio Efficiency: A Synthesis

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

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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

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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

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