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Jay Shanken

Personal Details

First Name:Jay
Middle Name:
Last Name:Shanken
Suffix:
RePEc Short-ID:psh114
https://www.goizueta.emory.edu/faculty/JayShanken/
Terminal Degree:1983 Department of Economics; Tepper School of Business Administration; Carnegie Mellon University (from RePEc Genealogy)

Affiliation

(50%) National Bureau of Economic Research (NBER)

Cambridge, Massachusetts (United States)
https://www.nber.org/
RePEc:edi:nberrus (more details at EDIRC)

(50%) Goizueta Business School
Emory University

Atlanta, Georgia (United States)
https://goizueta.emory.edu/
RePEc:edi:bsemous (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Francisco Barillas & Jay Shanken, 2015. "Which Alpha?," NBER Working Papers 21698, National Bureau of Economic Research, Inc.
  2. Francisco Barillas & Jay Shanken, 2015. "Comparing Asset Pricing Models," NBER Working Papers 21771, National Bureau of Economic Research, Inc.
  3. Raymond Kan & Cesare Robotti & Jay Shanken, 2009. "Pricing model performance and the two-pass cross-sectional regression methodology," FRB Atlanta Working Paper 2009-11, Federal Reserve Bank of Atlanta.
  4. Jay Shanken & Guofu Zhou, 2006. "Estimating and Testing Beta Pricing Models: Alternative Methods and their Performance in Simulations," NBER Working Papers 12055, National Bureau of Economic Research, Inc.
  5. Jonathan Lewellen & Stefan Nagel & Jay Shanken, 2006. "A Skeptical Appraisal of Asset-Pricing Tests," NBER Working Papers 12360, National Bureau of Economic Research, Inc.
  6. Christopher S. Jones & Jay Shanken, 2002. "Mutual Fund Performance with Learning Across Funds," NBER Working Papers 9392, National Bureau of Economic Research, Inc.
  7. Jay Shanken & Ane Tamayo, 2001. "Risk, Mispricing, and Asset Allocation: Conditioning on Dividend Yield," NBER Working Papers 8666, National Bureau of Economic Research, Inc.
  8. Jonathan Lewellen & Jay Shanken, 2000. "Estimation Risk, Market Efficiency, and the Predictability of Returns," NBER Working Papers 7699, National Bureau of Economic Research, Inc.
  9. Shanken, J. & Weinstein, M.I., 1990. "Macroeconomics Variables and Asset Pricing : Further Results," Papers 91-05, Rochester, Business - Managerial Economics Research Center.

Articles

  1. Barillas, Francisco & Kan, Raymond & Robotti, Cesare & Shanken, Jay, 2020. "Model Comparison with Sharpe Ratios," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 55(6), pages 1840-1874, September.
  2. Francisco Barillas & Jay Shanken, 2018. "Comparing Asset Pricing Models," Journal of Finance, American Finance Association, vol. 73(2), pages 715-754, April.
  3. Francisco Barillas & Jay Shanken, 2017. "Which Alpha?," The Review of Financial Studies, Society for Financial Studies, vol. 30(4), pages 1316-1338.
  4. Raymond Kan & Cesare Robotti & Jay Shanken, 2013. "Pricing Model Performance and the Two‐Pass Cross‐Sectional Regression Methodology," Journal of Finance, American Finance Association, vol. 68(6), pages 2617-2649, December.
  5. Shanken, Jay & Tamayo, Ane, 2012. "Payout yield, risk, and mispricing: A Bayesian analysis," Journal of Financial Economics, Elsevier, vol. 105(1), pages 131-152.
  6. Lewellen, Jonathan & Nagel, Stefan & Shanken, Jay, 2010. "A skeptical appraisal of asset pricing tests," Journal of Financial Economics, Elsevier, vol. 96(2), pages 175-194, May.
  7. Shanken, Jay & Zhou, Guofu, 2007. "Estimating and testing beta pricing models: Alternative methods and their performance in simulations," Journal of Financial Economics, Elsevier, vol. 84(1), pages 40-86, April.
  8. Shanken, Jay & Weinstein, Mark I., 2006. "Economic forces and the stock market revisited," Journal of Empirical Finance, Elsevier, vol. 13(2), pages 129-144, March.
  9. Jones, Christopher S. & Shanken, Jay, 2005. "Mutual fund performance with learning across funds," Journal of Financial Economics, Elsevier, vol. 78(3), pages 507-552, December.
  10. Kothari, S. P. & Shanken, Jay, 2003. "Time-series coefficient variation in value-relevance regressions: a discussion of Core, Guay, and Van Buskirk and new evidence," Journal of Accounting and Economics, Elsevier, vol. 34(1-3), pages 69-87, January.
  11. Kothari, S. P. & Shanken, Jay, 1997. "Book-to-market, dividend yield, and expected market returns: A time-series analysis," Journal of Financial Economics, Elsevier, vol. 44(2), pages 169-203, May.
  12. S. P. Kothari & Jay Shanken, 1995. "In Defense Of Beta," Journal of Applied Corporate Finance, Morgan Stanley, vol. 8(1), pages 53-59, March.
  13. Kothari, S P & Shanken, Jay & Sloan, Richard G, 1995. "Another Look at the Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 50(1), pages 185-224, March.
  14. Ball, Ray & Kothari, S. P. & Shanken, Jay, 1995. "Problems in measuring portfolio performance An application to contrarian investment strategies," Journal of Financial Economics, Elsevier, vol. 38(1), pages 79-107, May.
  15. Collins, Daniel W. & Kothari, S. P. & Shanken, Jay & Sloan, Richard G., 1994. "Lack of timeliness and noise as explanations for the low contemporaneuos return-earnings association," Journal of Accounting and Economics, Elsevier, vol. 18(3), pages 289-324, November.
  16. S. P. Kothari & Jay Shanken, 1993. "Fundamentals Largely Explain Stock Price Volatility," Journal of Applied Corporate Finance, Morgan Stanley, vol. 6(2), pages 81-87, June.
  17. Shanken, Jay, 1992. "The Current State of the Arbitrage Pricing Theory," Journal of Finance, American Finance Association, vol. 47(4), pages 1569-1574, September.
  18. Kothari, S. P. & Shanken, Jay, 1992. "Stock return variation and expected dividends : A time-series and cross-sectional analysis," Journal of Financial Economics, Elsevier, vol. 31(2), pages 177-210, April.
  19. Shanken, Jay, 1992. "On the Estimation of Beta-Pricing Models," The Review of Financial Studies, Society for Financial Studies, vol. 5(1), pages 1-33.
  20. Shanken, Jay, 1990. "Intertemporal asset pricing : An Empirical Investigation," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 99-120.
  21. Gibbons, Michael R & Ross, Stephen A & Shanken, Jay, 1989. "A Test of the Efficiency of a Given Portfolio," Econometrica, Econometric Society, vol. 57(5), pages 1121-1152, September.
  22. Shanken, Jay, 1987. "Nonsynchronous Data and the Covariance-Factor Structure of Returns," Journal of Finance, American Finance Association, vol. 42(2), pages 221-231, June.
  23. Gibbons, Michael R. & Shanken, Jay, 1987. "Subperiod aggregation and the power of multivariate tests of portfolio efficiency," Journal of Financial Economics, Elsevier, vol. 19(2), pages 389-394, December.
  24. Shanken, Jay, 1987. "Multivariate proxies and asset pricing relations : Living with the Roll critique," Journal of Financial Economics, Elsevier, vol. 18(1), pages 91-110, March.
  25. Shanken, Jay, 1987. "A Bayesian approach to testing portfolio efficiency," Journal of Financial Economics, Elsevier, vol. 19(2), pages 195-215, December.
  26. Shanken, Jay, 1986. "On Exclusion of Assets from Tests of the Mean Variance Efficiency of the Market Portfolio: An Extension," Journal of Finance, American Finance Association, vol. 41(2), pages 331-337, June.
  27. Shanken, Jay, 1986. "Testing Portfolio Efficiency When the Zero-Beta Rate Is Unknown: A Note," Journal of Finance, American Finance Association, vol. 41(1), pages 269-276, March.
  28. Shanken, Jay, 1985. "Multivariate tests of the zero-beta CAPM," Journal of Financial Economics, Elsevier, vol. 14(3), pages 327-348, September.
  29. Shanken, Jay, 1985. "Multi-Beta CAPM or Equilibrium-APT? A Reply [An Empirical Investigation of the Arbitrage Pricing Theory] [The Arbitrage Pricing Theory: Is It Testable?]," Journal of Finance, American Finance Association, vol. 40(4), pages 1189-1196, September.
  30. Shanken, Jay, 1982. "The Arbitrage Pricing Theory: Is It Testable?," Journal of Finance, American Finance Association, vol. 37(5), pages 1129-1140, December.

More information

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Statistics

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Rankings

This author is among the top 5% authors according to these criteria:
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  2. Number of Distinct Works, Weighted by Simple Impact Factor
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  5. Number of Distinct Works, Weighted by Number of Authors and Recursive Impact Factors
  6. Number of Citations
  7. Number of Citations, Discounted by Citation Age
  8. Number of Citations, Weighted by Simple Impact Factor
  9. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
  10. Number of Citations, Weighted by Recursive Impact Factor
  11. Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
  12. Number of Citations, Weighted by Number of Authors
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  14. Number of Citations, Weighted by Number of Authors and Simple Impact Factors
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  16. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
  17. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
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  25. Number of Downloads through RePEc Services over the past 12 months, Weighted by Number of Authors
  26. Euclidian citation score
  27. Wu-Index

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 8 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (4) 2006-02-26 2006-07-28 2009-06-17 2015-12-28
  2. NEP-FMK: Financial Markets (4) 2000-05-16 2001-12-19 2006-07-28 2015-12-28
  3. NEP-FIN: Finance (3) 2000-05-16 2006-02-26 2006-07-28
  4. NEP-CFN: Corporate Finance (2) 2002-12-17 2006-07-28
  5. NEP-ORE: Operations Research (1) 2015-12-28

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