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

  • Emory University - Goizueta Business School

    • Email
    • Tel: 404-727-4772
SCHOLARLY PAPERS

22

DOWNLOADS
Rank 2,908

SSRN RANKINGS

Top 2,908

in Total Papers Downloads

14,921

SSRN CITATIONS
Rank 454

SSRN RANKINGS

Top 454

in Total Papers Citations

544

CROSSREF CITATIONS

1,497

Scholarly Papers (22)

Actions:
Email selected abstracts
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 2,237 (7,711)
Citation 42

Abstract:

Loading...

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 1,689 (12,108)
Citation 3

Abstract:

Loading...

3.

Estimation Risk, Market Efficiency, and the Predictability of Returns

Downloads 1,464 ( 15,175)
Citation 2

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 1,380 (16,343)

Abstract:

Loading...

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 Oct 2010
Jonathan Lewellen and Jay A. Shanken
Dartmouth College - Tuck School of Business and Emory University - Goizueta Business School
Downloads 84 (354,669)
Citation 1

Abstract:

Loading...

4.

Comparing Asset Pricing Models

Downloads 1,418 ( 15,954)
Citation 71

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 1,383 (16,281)
Citation 2

Abstract:

Loading...

Comparing Asset Pricing Models

NBER Working Paper No. w21771
Number of pages: 54 Posted: 07 Dec 2015
Francisco Barillas and Jay A. Shanken
University of New South Wales and Emory University - Goizueta Business School
Downloads 35 (537,596)
Citation 45

Abstract:

Loading...

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 1,392 (16,428)
Citation 6

Abstract:

Loading...

6.

A Skeptical Appraisal of Asset Pricing Tests

Downloads 1,337 ( 17,491)
Citation 310

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 1,269 (18,570)
Citation 7

Abstract:

Loading...

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 68 (401,018)
Citation 67

Abstract:

Loading...

7.

Which Alpha?

Downloads 1,065 ( 24,529)
Citation 26

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 1,038 (25,051)

Abstract:

Loading...

Which Alpha?

NBER Working Paper No. w21698
Number of pages: 22 Posted: 09 Nov 2015 Last Revised: 16 Apr 2021
Francisco Barillas and Jay A. Shanken
University of New South Wales and Emory University - Goizueta Business School
Downloads 27 (585,114)
Citation 12

Abstract:

Loading...

8.

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

Downloads 1,050 ( 25,058)

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 (26,039)

Abstract:

Loading...

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 39 (516,954)

Abstract:

Loading...

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 955 (28,709)
Citation 18

Abstract:

Loading...

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
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 806 (36,334)
Citation 19

Abstract:

Loading...

11.

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

Downloads 543 ( 61,300)
Citation 39

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 503 (66,584)
Citation 34

Abstract:

Loading...

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 2021
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 40 (511,978)
Citation 5

Abstract:

Loading...

12.

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

Downloads 492 ( 69,197)
Citation 484

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 458 (74,852)
Citation 80

Abstract:

Loading...

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

NBER Working Paper No. w12055
Number of pages: 59 Posted: 08 May 2006 Last Revised: 15 Jun 2020
Jay A. Shanken and Guofu Zhou
Emory University - Goizueta Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 34 (543,147)
Citation 34

Abstract:

Loading...

13.

Mutual Fund Performance with Learning Across Funds

Downloads 473 ( 72,639)
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 434 (79,786)
Citation 3

Abstract:

Loading...

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: 01 Mar 2021
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 39 (516,954)
Citation 12

Abstract:

Loading...

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:

Loading...

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:

Loading...

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

Abstract:

Loading...

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:

Loading...

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

Abstract:

Loading...

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:

Loading...

20.

Statistical Methods in Tests of Portfolio Efficiency: A Synthesis

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

Abstract:

Loading...

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:

Loading...

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:

Loading...