Jay Shanken
Names
Identifer
Contact
Affiliations
-
National Bureau of Economic Research (NBER) (weight: 50%)
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Emory University
/ Goizueta Business School (weight: 50%)
Research profile
author of:
- Fundamentals Largely Explain Stock Price Volatility (RePEc:bla:jacrfn:v:6:y:1993:i:2:p:81-87)
by S. P. Kothari & Jay Shanken - In Defense Of Beta (RePEc:bla:jacrfn:v:8:y:1995:i:1:p:53-59)
by S. P. Kothari & Jay Shanken - The Arbitrage Pricing Theory: Is It Testable? (RePEc:bla:jfinan:v:37:y:1982:i:5:p:1129-40)
by Shanken, Jay - Multi-Beta CAPM or Equilibrium-APT? A Reply [An Empirical Investigation of the Arbitrage Pricing Theory] [The Arbitrage Pricing Theory: Is It Testable?] (RePEc:bla:jfinan:v:40:y:1985:i:4:p:1189-96)
by Shanken, Jay - Testing Portfolio Efficiency When the Zero-Beta Rate Is Unknown: A Note (RePEc:bla:jfinan:v:41:y:1986:i:1:p:269-76)
by Shanken, Jay - On Exclusion of Assets from Tests of the Mean Variance Efficiency of the Market Portfolio: An Extension (RePEc:bla:jfinan:v:41:y:1986:i:2:p:331-37)
by Shanken, Jay - Nonsynchronous Data and the Covariance-Factor Structure of Returns (RePEc:bla:jfinan:v:42:y:1987:i:2:p:221-31)
by Shanken, Jay - The Current State of the Arbitrage Pricing Theory (RePEc:bla:jfinan:v:47:y:1992:i:4:p:1569-74)
by Shanken, Jay - Another Look at the Cross-Section of Expected Stock Returns (RePEc:bla:jfinan:v:50:y:1995:i:1:p:185-224)
by Kothari, S P & Shanken, Jay & Sloan, Richard G - Pricing Model Performance and the Two‐Pass Cross‐Sectional Regression Methodology (RePEc:bla:jfinan:v:68:y:2013:i:6:p:2617-2649)
by Raymond Kan & Cesare Robotti & Jay Shanken - Comparing Asset Pricing Models (RePEc:bla:jfinan:v:73:y:2018:i:2:p:715-754)
by Francisco Barillas & Jay Shanken - Estimating and testing beta pricing models: Alternative methods and their performance in simulations (RePEc:cuf:wpaper:275)
by Jay Shanken & Guofu Zhou - Model Comparison with Sharpe Ratios (RePEc:cup:jfinqa:v:55:y:2020:i:6:p:1840-1874_3)
by Barillas, Francisco & Kan, Raymond & Robotti, Cesare & Shanken, Jay - A Test of the Efficiency of a Given Portfolio (RePEc:ecm:emetrp:v:57:y:1989:i:5:p:1121-52)
by Gibbons, Michael R & Ross, Stephen A & Shanken, Jay - Intertemporal asset pricing : An Empirical Investigation (RePEc:eee:econom:v:45:y:1990:i:1-2:p:99-120)
by Shanken, Jay - Economic forces and the stock market revisited (RePEc:eee:empfin:v:13:y:2006:i:2:p:129-144)
by Shanken, Jay & Weinstein, Mark I. - Lack of timeliness and noise as explanations for the low contemporaneuos return-earnings association (RePEc:eee:jaecon:v:18:y:1994:i:3:p:289-324)
by Collins, Daniel W. & Kothari, S. P. & Shanken, Jay & Sloan, Richard G. - Time-series coefficient variation in value-relevance regressions: a discussion of Core, Guay, and Van Buskirk and new evidence (RePEc:eee:jaecon:v:34:y:2003:i:1-3:p:69-87)
by Kothari, S. P. & Shanken, Jay - Payout yield, risk, and mispricing: A Bayesian analysis (RePEc:eee:jfinec:v:105:y:2012:i:1:p:131-152)
by Shanken, Jay & Tamayo, Ane - Multivariate tests of the zero-beta CAPM (RePEc:eee:jfinec:v:14:y:1985:i:3:p:327-348)
by Shanken, Jay - Multivariate proxies and asset pricing relations : Living with the Roll critique (RePEc:eee:jfinec:v:18:y:1987:i:1:p:91-110)
by Shanken, Jay - A Bayesian approach to testing portfolio efficiency (RePEc:eee:jfinec:v:19:y:1987:i:2:p:195-215)
by Shanken, Jay - Subperiod aggregation and the power of multivariate tests of portfolio efficiency (RePEc:eee:jfinec:v:19:y:1987:i:2:p:389-394)
by Gibbons, Michael R. & Shanken, Jay - Stock return variation and expected dividends : A time-series and cross-sectional analysis (RePEc:eee:jfinec:v:31:y:1992:i:2:p:177-210)
by Kothari, S. P. & Shanken, Jay - Problems in measuring portfolio performance An application to contrarian investment strategies (RePEc:eee:jfinec:v:38:y:1995:i:1:p:79-107)
by Ball, Ray & Kothari, S. P. & Shanken, Jay - Book-to-market, dividend yield, and expected market returns: A time-series analysis (RePEc:eee:jfinec:v:44:y:1997:i:2:p:169-203)
by Kothari, S. P. & Shanken, Jay - Mutual fund performance with learning across funds (RePEc:eee:jfinec:v:78:y:2005:i:3:p:507-552)
by Jones, Christopher S. & Shanken, Jay - Estimating and testing beta pricing models: Alternative methods and their performance in simulations (RePEc:eee:jfinec:v:84:y:2007:i:1:p:40-86)
by Shanken, Jay & Zhou, Guofu - A skeptical appraisal of asset pricing tests (RePEc:eee:jfinec:v:96:y:2010:i:2:p:175-194)
by Lewellen, Jonathan & Nagel, Stefan & Shanken, Jay - Pricing model performance and the two-pass cross-sectional regression methodology (RePEc:fip:fedawp:2009-11)
by Raymond Kan & Cesare Robotti & Jay Shanken - Macroeconomics Variables and Asset Pricing : Further Results (RePEc:fth:robume:91-05)
by Shanken, J. & Weinstein, M.I. - Estimating and Testing Beta Pricing Models: Alternative Methods and their Performance in Simulations (RePEc:nbr:nberwo:12055)
by Jay Shanken & Guofu Zhou - A Skeptical Appraisal of Asset-Pricing Tests (RePEc:nbr:nberwo:12360)
by Jonathan Lewellen & Stefan Nagel & Jay Shanken - Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology (RePEc:nbr:nberwo:15047)
by Raymond Kan & Cesare Robotti & Jay Shanken - Which Alpha? (RePEc:nbr:nberwo:21698)
by Francisco Barillas & Jay Shanken - Comparing Asset Pricing Models (RePEc:nbr:nberwo:21771)
by Francisco Barillas & Jay Shanken - Estimation Risk, Market Efficiency, and the Predictability of Returns (RePEc:nbr:nberwo:7699)
by Jonathan Lewellen & Jay Shanken - Risk, Mispricing, and Asset Allocation: Conditioning on Dividend Yield (RePEc:nbr:nberwo:8666)
by Jay Shanken & Ane Tamayo - Mutual Fund Performance with Learning Across Funds (RePEc:nbr:nberwo:9392)
by Christopher S. Jones & Jay Shanken - Which Alpha? (RePEc:oup:rfinst:v:30:y:2017:i:4:p:1316-1338.)
by Francisco Barillas & Jay Shanken - On the Estimation of Beta-Pricing Models (RePEc:oup:rfinst:v:5:y:1992:i:1:p:1-33)
by Shanken, Jay