Jay Shanken
23 catalog papers. Identity-linked publications and additional name matches are distinguished below.
ORCID: 0000-0001-5213-5394
Publications
- Model Comparison with Sharpe Ratios — Journal of Financial and Quantitative Analysis 2020
- Comparing Asset Pricing Models — The Journal of Finance 2018
- Which Alpha? — The Review of Financial Studies 2017
- Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology — The Journal of Finance 2013
- Payout yield, risk, and mispricing: A Bayesian analysis — Journal of Financial Economics 2012
- A skeptical appraisal of asset pricing tests — Journal of Financial Economics 2010
- Estimating and testing beta pricing models: Alternative methods and their performance in simulations — Journal of Financial Economics 2007
- Mutual fund performance with learning across funds — Journal of Financial Economics 2005
- Time-series coefficient variation in value-relevance regressions: a discussion of Core, Guay, and Van Buskirk and new evidence☆ — Journal of Accounting and Economics 2003
- Learning, Asset-Pricing Tests, and Market Efficiency — The Journal of Finance 2002
- Another Look at the Cross-section of Expected Stock Returns — The Journal of Finance 1995
- Lack of timeliness and noise as explanations for the low contemporaneuos return-earnings association — Journal of Accounting and Economics 1994
- On the Estimation of Beta-Pricing Models — The Review of Financial Studies 1992
- The Current State of the Arbitrage Pricing Theory — The Journal of Finance 1992
- Nonsynchronous Data and the Covariance-Factor Structure of Returns — The Journal of Finance 1987
- A Bayesian approach to testing portfolio efficiency — Journal of Financial Economics 1987
- Subperiod aggregation and the power of multivariate tests of portfolio efficiency — Journal of Financial Economics 1987
- Multivariate proxies and asset pricing relations — Journal of Financial Economics 1987
- Testing Portfolio Efficiency when the Zero-Beta Rate is Unknown: A Note — The Journal of Finance 1986
- On the Exclusion of Assets from Tests of the Mean Variance Efficiency of the Market Portfolio: An Extension — The Journal of Finance 1986
- Multivariate tests of the zero-beta CAPM — Journal of Financial Economics 1985
- Multi-Beta CAPM or Equilibrium-APT?: A Reply — The Journal of Finance 1985
- The Arbitrage Pricing Theory: Is it Testable? — The Journal of Finance 1982