NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Jay A. Shanken

Goizueta Business School
Emory University
1300 Clifton Road
Atlanta, GA 30322
Tel: 404/727-4772
Fax: 404/727-5238

E-Mail: EmailAddress: hidden: you can email any NBER-related person as first underscore last at nber dot org
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NBER Program Affiliations: AP
NBER Affiliation: Research Associate

NBER Working Papers and Publications

December 2015Comparing Asset Pricing Models
with Francisco Barillas: w21771
November 2015Which Alpha?
with Francisco Barillas: w21698
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
 
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