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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15,587

SSRN CITATIONS
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Top 452

in Total Papers Citations

599

CROSSREF CITATIONS

1,487

Scholarly Papers (22)

1.

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 2,520 (7,556)
Citation 40

Abstract:

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

2.

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 1,705 (14,196)
Citation 3

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3.
Downloads 1,529 ( 16,750)
Citation 76

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 1,491 (17,085)
Citation 2

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Comparing Asset Pricing Models

NBER Working Paper No. w21771
Number of pages: 54 Posted: 07 Dec 2015 Last Revised: 27 Dec 2021
Francisco Barillas and Jay A. Shanken
University of New South Wales and Emory University - Goizueta Business School
Downloads 38 (584,064)
Citation 50

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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 1,384 (19,102)

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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 Last Revised: 15 Jan 2022
Jonathan Lewellen and Jay A. Shanken
Dartmouth College - Tuck School of Business and Emory University - Goizueta Business School
Downloads 88 (388,130)
Citation 1

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5.

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 1,404 (19,064)
Citation 6

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6.
Downloads 1,349 ( 20,243)
Citation 319

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 1,279 (21,547)
Citation 7

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: 11 Apr 2021
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 70 (443,688)
Citation 67

Abstract:

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7.
Downloads 1,127 ( 26,399)
Citation 29

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 1,092 (27,250)

Abstract:

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Which Alpha?

NBER Working Paper No. w21698
Number of pages: 22 Posted: 09 Nov 2015 Last Revised: 16 Apr 2022
Francisco Barillas and Jay A. Shanken
University of New South Wales and Emory University - Goizueta Business School
Downloads 35 (601,445)
Citation 12

Abstract:

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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 1,011 (30,430)

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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: 07 Mar 2022
Jay A. Shanken and Ane Tamayo
Emory University - Goizueta Business School and London School of Economics & Political Science (LSE)
Downloads 44 (552,194)

Abstract:

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9.

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 958 (33,312)
Citation 18

Abstract:

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10.

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
University of New South Wales, University of Toronto - Rotman School of Management, Imperial College Business School and Emory University - Goizueta Business School
Downloads 909 (35,860)
Citation 19

Abstract:

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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, Warwick Business School and Emory University - Goizueta Business School
Downloads 533 (71,578)
Citation 32

Abstract:

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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 Last Revised: 12 Feb 2022
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 43 (557,272)
Citation 5

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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 - John M. Olin Business School
Downloads 464 (84,899)
Citation 80

Abstract:

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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 Last Revised: 11 Dec 2021
Jay A. Shanken and Guofu Zhou
Emory University - Goizueta Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 38 (584,064)
Citation 31

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13.
Downloads 481 ( 81,964)
Citation 48

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 441 (90,077)
Citation 3

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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: 02 Mar 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 40 (573,133)
Citation 12

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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

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

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

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

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

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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 Southern California - Leventhal School of Accounting

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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 Southern California - Leventhal School of Accounting

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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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