Information about this author at RePEc
NBER Working Papers and Publications
|December 2015||Comparing Asset Pricing Models|
with Francisco Barillas: w21771
Published: FRANCISCO BARILLAS & JAY SHANKEN, 2018. "Comparing Asset Pricing Models," The Journal of Finance, vol 73(2), pages 715-754.
|November 2015||Which Alpha?|
with Francisco Barillas: w21698
Published: Francisco Barillas & Jay Shanken, 2017. "Which Alpha?," Review of Financial Studies, Society for Financial Studies, vol. 30(4), pages 1316-1338. citation courtesy of
|June 2009||Pricing 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 2006||A 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 2006||Estimating 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 2002||Mutual 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 2001||Risk, Mispricing, and Asset Allocation: Conditioning on Dividend Yield|
with Ane Tamayo: w8666
|May 2000||Estimation Risk, Market Efficiency, and the Predictability of Returns|
with Jonathan Lewellen: w7699