NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Publications by Jay A. Shanken

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers onlyInformation about this author at RePEc

Working Papers and Chapters

June 2009Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology
with Raymond Kan, Cesare Robotti: w15047

Published: 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. citation courtesy of

July 2006A Skeptical Appraisal of Asset-Pricing Tests
with Jonathan Lewellen, Stefan Nagel: w12360

Published: 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. citation courtesy of

February 2006Estimating and Testing Beta Pricing Models: Alternative Methods and their Performance in Simulations
with Guofu Zhou: w12055

Published: Shanken, Jay and Guofu Zhou. “Estimating and Testing Beta Pricing Models: Alternative Methods and Their Performance in Simulations.” Journal of Financial Economics 84, 1 (April 2007): 40-86. citation courtesy of

December 2002Mutual Fund Performance with Learning Across Funds
with Christopher S. Jones: w9392

Published: Jones, Christopher S. and Jay Shanken. "Mutual Fund Performance With Learning Across Funds," Journal of Financial Economics, 2005, v78(3,Dec), 507-552. citation courtesy of

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

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers onlyInformation about this author at RePEc

 
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