NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Publications by Jay A. Shanken

Working Papers and Chapters

June 2009Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology
with Raymond Kan, Cesare Robotti: w15047
July 2006A Skeptical Appraisal of Asset-Pricing Tests
with Jonathan Lewellen, Stefan Nagel: w12360
February 2006Estimating and Testing Beta Pricing Models: Alternative Methods and their Performance in Simulations
with Guofu Zhou: w12055
December 2002Mutual Fund Performance with Learning Across Funds
with Christopher S. Jones: w9392
December 2001Risk, Mispricing, and Asset Allocation: Conditioning on Dividend Yield
with Ane Tamayo: w8666
May 2000Estimation Risk, Market Efficiency, and the Predictability of Returns
with Jonathan Lewellen: w7699

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