Jay Shanken : Citation Profile


Are you Jay Shanken?

National Bureau of Economic Research (NBER) (50% share)
Emory University (50% share)

20

H index

22

i10 index

2532

Citations

RESEARCH PRODUCTION:

29

Articles

11

Papers

RESEARCH ACTIVITY:

   36 years (1982 - 2018). See details.
   Cites by year: 70
   Journals where Jay Shanken has often published
   Relations with other researchers
   Recent citing documents: 384.    Total self citations: 15 (0.59 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psh114
   Updated: 2020-05-23    RAS profile: 2019-01-04    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Jay Shanken.

Is cited by:

Khalaf, Lynda (51)

Dufour, Jean-Marie (44)

Stambaugh, Robert (36)

Zhou, Guofu (29)

Sentana, Enrique (26)

Jagannathan, Ravi (24)

Zhang, Lu (22)

Hammami, Yacine (22)

Pastor, Lubos (21)

Guidolin, Massimo (20)

Robotti, Cesare (20)

Cites to:

Stambaugh, Robert (34)

French, Kenneth (21)

Fama, Eugene (18)

Campbell, John (13)

Shleifer, Andrei (10)

Kandel, Shmuel (8)

Pastor, Lubos (8)

Shiller, Robert (7)

Summers, Lawrence (7)

merton, robert (7)

Jagannathan, Ravi (6)

Main data


Where Jay Shanken has published?


Journals with more than one article published# docs
Journal of Financial Economics11
Journal of Finance9
Journal of Accounting and Economics2
Journal of Applied Corporate Finance2
Review of Financial Studies2

Recent works citing Jay Shanken (2018 and 2017)


YearTitle of citing document
2017Long- and Short-Run Components of Factor Betas: Implications for Equity Pricing. (2017). Christiansen, Charlotte ; Asgharian, Hossein ; Wang, Weining ; Jun, AI. In: CREATES Research Papers. RePEc:aah:create:2017-34.

Full description at Econpapers || Download paper

2018The dynamics of factor loadings in the cross-section of returns. (2018). Urga, Giovanni ; Mikkelsen, Jakob ; Hillebrand, Eric ; Borghi, Riccardo. In: CREATES Research Papers. RePEc:aah:create:2018-38.

Full description at Econpapers || Download paper

2017CAPM applications for appropriate stock pricing – impact of speculation companies. (2017). Skalna, Iwona ; Urbaski, Stanisaw. In: Managerial Economics. RePEc:agh:journl:v:18:y:2017:i:2:p:227-245.

Full description at Econpapers || Download paper

2018Portfolio optimization at the frontier: Assessing the diversification benefits of African securities. (2018). Senga, Christian. In: Working Papers. RePEc:ant:wpaper:2019001.

Full description at Econpapers || Download paper

2017Russian-Doll Risk Models. (2017). Kakushadze, Zura. In: Papers. RePEc:arx:papers:1412.4342.

Full description at Econpapers || Download paper

2017Statistical Risk Models. (2017). Kakushadze, Zura ; Yu, Willie. In: Papers. RePEc:arx:papers:1602.08070.

Full description at Econpapers || Download paper

2018Augmented Factor Models with Applications to Validating Market Risk Factors and Forecasting Bond Risk Premia. (2018). Liao, Yuan ; Fan, Jianqing ; Ke, Yuan. In: Papers. RePEc:arx:papers:1603.07041.

Full description at Econpapers || Download paper

2017A diagnostic criterion for approximate factor structure. (2017). Scaillet, Olivier ; Gagliardini, Patrick ; Ossola, Elisa . In: Papers. RePEc:arx:papers:1612.04990.

Full description at Econpapers || Download paper

2017Bayesian Inference of the Multi-Period Optimal Portfolio for an Exponential Utility. (2017). Parolya, Nestor ; Schmid, Wolfgang ; Bodnar, Taras ; Bauder, David. In: Papers. RePEc:arx:papers:1705.06533.

Full description at Econpapers || Download paper

2019Tests for the weights of the global minimum variance portfolio in a high-dimensional setting. (2019). Parolya, Nestor ; Schmid, Wolfgang ; Dmytriv, Solomiia ; Bodnar, Taras. In: Papers. RePEc:arx:papers:1710.09587.

Full description at Econpapers || Download paper

2018Uniform Inference for Characteristic Effects of Large Continuous-Time Linear Models. (2018). Yang, Xiye ; Liao, Yuan. In: Papers. RePEc:arx:papers:1711.04392.

Full description at Econpapers || Download paper

2018Generalized Information Ratio. (2018). He, Zhongzhi Lawrence. In: Papers. RePEc:arx:papers:1803.01381.

Full description at Econpapers || Download paper

2020Limit Theorems for Factor Models. (2018). Anatolyev, Stanislav ; Mikusheva, Anna. In: Papers. RePEc:arx:papers:1807.06338.

Full description at Econpapers || Download paper

2019Characteristic-Sorted Portfolios: Estimation and Inference. (2019). Crump, Richard ; Cattaneo, Matias ; Schaumburg, Ernst ; Farrell, Max H. In: Papers. RePEc:arx:papers:1809.03584.

Full description at Econpapers || Download paper

2020A growth adjusted price-earnings ratio. (2020). Middleton, Lawrence ; Dodd, James ; Baird, Graham. In: Papers. RePEc:arx:papers:2001.08240.

Full description at Econpapers || Download paper

2020Refined model of the covariance/correlation matrix between securities. (2020). Valeyre, Sebastien. In: Papers. RePEc:arx:papers:2001.08911.

Full description at Econpapers || Download paper

2018An Empirical Evidence of Over Reaction Hypothesis on Karachi Stock Exchange (KSE). (2018). Chhapra, Imran ; Ahmed, Farhan ; Saad, Sanyah ; Kashif, Muhammad. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2018:p:449-465.

Full description at Econpapers || Download paper

2018Portfolio Performance of Linear SDF Models: An Out-of-Sample Assessment. (2018). Hansen, Erwin ; Guidolin, Massimo ; Lozano-Banda, Martin. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1885.

Full description at Econpapers || Download paper

2019Risky bank guarantees. (2019). Sarno, Lucio ; Mäkinen, Taneli ; Zinna, Gabriele ; Mikinen, Taneli . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1232_19.

Full description at Econpapers || Download paper

2019Local currency bond returns in emerging market economies and the role of foreign investors. (2019). Wu, Jason ; Valente, Giorgio ; So, Inhwan. In: BIS Papers chapters. RePEc:bis:bisbpc:102-11.

Full description at Econpapers || Download paper

2017Risk, return and mean-variance efficiency of Islamic and non-Islamic stocks: evidence from a unique Malaysian data set. (2017). Akhtar, Shumi ; Smith, Tom ; Jahromi, Maria. In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i:1:p:3-46.

Full description at Econpapers || Download paper

2017Risk factors in Australian bond returns. (2017). Roca, Eduardo ; Drew, Michael ; Whittaker, Timothy ; Bianchi, Robert J. In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i:2:p:373-400.

Full description at Econpapers || Download paper

2018Does the accruals quality premium arise from information risk?. (2018). Zhang, Lijuan ; Wilson, Mark. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:2:p:599-632.

Full description at Econpapers || Download paper

2017Can Macroeconomic Variables Explain Managed Fund Returns? The Australian Case. (2017). Wang, Luo ; Liu, Benjamin. In: Economic Papers. RePEc:bla:econpa:v:36:y:2017:i:2:p:171-184.

Full description at Econpapers || Download paper

2017The Market Liquidity Timing Skills of Debt†oriented Hedge Funds. (2017). Li, Baibing ; Tee, Kaia Hong ; Luo, JI. In: European Financial Management. RePEc:bla:eufman:v:23:y:2017:i:1:p:32-54.

Full description at Econpapers || Download paper

2017The Investment CAPM. (2017). Zhang, LU. In: European Financial Management. RePEc:bla:eufman:v:23:y:2017:i:4:p:545-603.

Full description at Econpapers || Download paper

2018Monetary policy uncertainty, positions of traders and changes in commodity futures prices. (2018). Gospodinov, Nikolay ; Jamali, Ibrahim. In: European Financial Management. RePEc:bla:eufman:v:24:y:2018:i:2:p:239-260.

Full description at Econpapers || Download paper

2018A framework for identifying accounting characteristics for asset pricing models, with an evaluation of book‐to‐price. (2018). Penman, Stephen H ; Tuna, Rem ; Richardson, Scott A ; Reggiani, Francesco . In: European Financial Management. RePEc:bla:eufman:v:24:y:2018:i:4:p:488-520.

Full description at Econpapers || Download paper

2018Productivity Risk and Industry Momentum. (2018). Misirli, Efdal Ulas. In: Financial Management. RePEc:bla:finmgt:v:47:y:2018:i:3:p:739-774.

Full description at Econpapers || Download paper

2018Yes, the Composition of the Market Portfolio Matters: The Estimated Cost of Equity. (2018). Kamara, Avraham ; Young, Lance . In: Financial Management. RePEc:bla:finmgt:v:47:y:2018:i:4:p:911-929.

Full description at Econpapers || Download paper

2017Specification Error, Estimation Risk, and Conditional Portfolio Rules. (2017). Tian, Weidong ; Yan, Hong ; Kaniel, Ron ; Chapman, David A ; Carlson, Murray. In: International Review of Finance. RePEc:bla:irvfin:v:17:y:2017:i:2:p:263-288.

Full description at Econpapers || Download paper

2017Asset Pricing Model Uncertainty: A Tradeoff between Bias and Variance. (2017). Tian, Weidong ; Zhou, Qing. In: International Review of Finance. RePEc:bla:irvfin:v:17:y:2017:i:2:p:289-324.

Full description at Econpapers || Download paper

2017A CLOSER LOOK AT VALUE PREMIUM: LITERATURE REVIEW AND SYNTHESIS. (2017). Pätäri, Eero ; Leivo, Timo ; Patari, Eero. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:31:y:2017:i:1:p:79-168.

Full description at Econpapers || Download paper

2017THE VALUE IN FUNDAMENTAL ACCOUNTING INFORMATION. (2017). Turtle, H J ; Wang, Kainan. In: Journal of Financial Research. RePEc:bla:jfnres:v:40:y:2017:i:1:p:113-140.

Full description at Econpapers || Download paper

2017MONETARY POLICY SURPRISES, INVESTMENT OPPORTUNITIES, AND ASSET PRICES. (2017). Detzel, Andrew. In: Journal of Financial Research. RePEc:bla:jfnres:v:40:y:2017:i:3:p:315-348.

Full description at Econpapers || Download paper

2019THE REACTIVE BETA MODEL. (2019). Grebenkov, Denis ; Aboura, Sofiane ; Valeyre, Sebastien. In: Journal of Financial Research. RePEc:bla:jfnres:v:42:y:2019:i:1:p:71-113.

Full description at Econpapers || Download paper

2017Forecasting the equity risk premium with frequency-decomposed predictors. (2017). Verona, Fabio ; Faria, Gonçalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2017_001.

Full description at Econpapers || Download paper

2017Robust test of Long Run Risk and Valuation risk model. (2017). Gopalakrishna, G. In: Working Papers. RePEc:bol:bodewp:wp1107.

Full description at Econpapers || Download paper

201725 Jahre Fama-French-Modell: Erklärungsgehalt, Anomalien und praktische Implikationen. (2017). Christoph, Kaserer ; Matthias, Hanauer . In: Perspektiven der Wirtschaftspolitik. RePEc:bpj:pewipo:v:18:y:2017:i:2:p:98-116:n:4.

Full description at Econpapers || Download paper

2018Information theoretic approach to high dimensional multiplicative models: Stochastic discount factor and treatment effect. (2018). Otsu, Taisuke ; Qiu, Chen . In: STICERD - Econometrics Paper Series. RePEc:cep:stiecm:595.

Full description at Econpapers || Download paper

2017Dissecting Characteristics Nonparametrically. (2017). Weber, Michael ; Neuhierl, Andreas ; Freyberger, Joachim. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6391.

Full description at Econpapers || Download paper

2018Dissecting Characteristics Nonparametrically. (2018). Weber, Michael ; Neuhierl, Andreas ; Freyberger, Joachim. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7187.

Full description at Econpapers || Download paper

2019The Role of Factor Strength and Pricing Errors for Estimation and Inference in Asset Pricing Models. (2019). Smith, Ronald ; Pesaran, M. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7919.

Full description at Econpapers || Download paper

2019Estimation of Conditional Asset Pricing Models with Integrated Variables in the Beta Specification. (2019). Caporale, Guglielmo Maria ; Pittis, Nikitas ; Kourogenis, Nikolaos ; Antypas, Antonios . In: CESifo Working Paper Series. RePEc:ces:ceswps:_7969.

Full description at Econpapers || Download paper

2020Measurement of Factor Strenght: Theory and Practice. (2020). Bailey, Natalia ; Kapetanios, George ; Pesaran, Hashem M. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8146.

Full description at Econpapers || Download paper

2017The Macroeconomic Shock with the Highest Price of Risk. (2017). Pinter, Gabor. In: Discussion Papers. RePEc:cfm:wpaper:1623.

Full description at Econpapers || Download paper

2018Macroeconomic Shocks and Risk Premia. (2018). Pinter, Gabor. In: Discussion Papers. RePEc:cfm:wpaper:1812.

Full description at Econpapers || Download paper

2017Empirical Evaluation of Overspecified Asset Pricing Models. (2017). Sentana, Enrique ; Pearanda, Francisco ; Manresa, Elena. In: Working Papers. RePEc:cmf:wpaper:wp2017_1711.

Full description at Econpapers || Download paper

2017Empirical Evaluation of Overspecified Asset Pricing Models. (2017). Sentana, Enrique ; Pearanda, Francisco ; Manresa, Elena. In: Working Papers. RePEc:cmf:wpaper:wp2018_1711.

Full description at Econpapers || Download paper

2017Empirical Evaluation of Overspecified Asset Pricing Models. (2017). Sentana, Enrique ; Pearanda, Francisco ; Manresa, Elena. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12085.

Full description at Econpapers || Download paper

2017A Portfolio Perspective on the Multitude of Firm Characteristics. (2017). de Miguel, Victor ; Uppal, Raman ; Nogales, Francisco J ; Martin-Utrera, Alberto ; Demiguel, Victor. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12417.

Full description at Econpapers || Download paper

2017Shrinking the Cross Section. (2017). Nagel, Stefan ; Santosh, Shrihari ; Kozak, Serhiy. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12463.

Full description at Econpapers || Download paper

2018The Lost Capital Asset Pricing Model. (2018). Andrei, Daniel ; Wilson, Mungo ; Cujean, Julien. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12607.

Full description at Econpapers || Download paper

2018Size Matters, if You Control Your Junk. (2018). Asness, Clifford S ; Pedersen, Lasse Heje ; Israel, Ronen ; Frazzini, Andrea. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12684.

Full description at Econpapers || Download paper

2018Conditional dynamics and the multi-horizon risk-return trade-off. (2018). Chernov, Mikhail ; Lundeby, Stig ; Lochstoer, Lars . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13365.

Full description at Econpapers || Download paper

2019Risky Bank Guarantees. (2019). Sarno, Lucio ; Zinna, Gabriele ; Makinen, Taneli. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13709.

Full description at Econpapers || Download paper

2019Do Fundamentals Drive Cryptocurrency Prices?. (2019). Korniotis, George ; Delikouras, Stefanos ; Bhambhwani, Siddharth. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13724.

Full description at Econpapers || Download paper

2019Forward-Looking Policy Rules and Currency Premia. (2019). Taylor, Mark P ; Filippou, Ilias . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13835.

Full description at Econpapers || Download paper

2019A Supply and Demand Approach to Equity Pricing. (2019). Jo, Evan ; Calvet, Laurent ; Betermier, Sebastien. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13974.

Full description at Econpapers || Download paper

2019Business Cycles and Currency Returns. (2019). Sarno, Lucio ; Riddiough, Steven ; Colacito, Ric. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14015.

Full description at Econpapers || Download paper

2019Cash Flow News and Stock Price Dynamics. (2019). Timmermann, Allan ; Sabbatucci, Riccardo ; Pettenuzzo, Davide. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14117.

Full description at Econpapers || Download paper

2019The Low-Minus-High Portfolio and the Factor Zoo. (2019). Fournier, Mathieu ; Cujean, Julien ; Andrei, Daniel. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14153.

Full description at Econpapers || Download paper

2020Asset Pricing vs Asset Expected Returning in Factor-Portfolio Models. (2020). Favero, Carlo A ; Melone, Alessandro. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14417.

Full description at Econpapers || Download paper

2019Models for expected returns with statistical factors. (2019). Cueto, J M ; Chavez, Aurea Grane ; Fernandez, Ignacio Cascos. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:28776.

Full description at Econpapers || Download paper

2018Global Positioning Risk and FX Trading Strategies. (2018). Menkhoff, Lukas ; Huang, Huichou. In: GRU Working Paper Series. RePEc:cth:wpaper:gru_2018_020.

Full description at Econpapers || Download paper

2017A multi-factor predictive model for oil-US stock nexus with persistence, endogeneity and conditional heteroscedasticity effects. (2017). Salisu, Afees ; Oloko, Tirimisiyu ; Swaray, Raymond. In: Working Papers. RePEc:cui:wpaper:0024.

Full description at Econpapers || Download paper

2018Revisiting the momentum factor in the U.K. stock market. (2018). Mohammad, . In: Economics Bulletin. RePEc:ebl:ecbull:eb-18-00110.

Full description at Econpapers || Download paper

2019Identifying horizon-based heterogeneity in the cross section of portfolio returns. (2019). Lundberg, Clark. In: Economics Bulletin. RePEc:ebl:ecbull:eb-19-00123.

Full description at Econpapers || Download paper

2019Informational environments and the relative information content of analyst recommendations and insider trades. (2019). Wang, Sean. In: Accounting, Organizations and Society. RePEc:eee:aosoci:v:72:y:2019:i:c:p:61-73.

Full description at Econpapers || Download paper

2018In search of beta. (2018). Tharyan, Rajesh ; Hua, Shan ; Gregory, Alan. In: The British Accounting Review. RePEc:eee:bracre:v:50:y:2018:i:4:p:425-441.

Full description at Econpapers || Download paper

2019Institutional preferences, demand shocks and the distress anomaly. (2019). Liu, Jia ; Wu, Yuliang ; Ye, Qing. In: The British Accounting Review. RePEc:eee:bracre:v:51:y:2019:i:1:p:72-91.

Full description at Econpapers || Download paper

2017What do stock price levels tell us about the firms?. (2017). Chan, Konan ; Li, Fengfei ; Lin, Tse-Chun . In: Journal of Corporate Finance. RePEc:eee:corfin:v:46:y:2017:i:c:p:34-50.

Full description at Econpapers || Download paper

2019Top executives on social media and information in the capital market: Evidence from China. (2019). Johansson, Anders ; Feng, Xunan. In: Journal of Corporate Finance. RePEc:eee:corfin:v:58:y:2019:i:c:p:824-857.

Full description at Econpapers || Download paper

2019A learning curve of the market: Chasing alpha of socially responsible firms. (2019). Yu, Chong ; Wang, Jun ; Minor, Dylan B ; Li, Zhichuan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:109:y:2019:i:c:s0165188919301691.

Full description at Econpapers || Download paper

2017Asset prices and economic fluctuations: The implications of stochastic volatility. (2017). Chen, Junping ; Zhu, Xiaoneng ; Xiong, Xiong. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:128-140.

Full description at Econpapers || Download paper

2017The cross section of international government bond returns. (2017). Zaremba, Adam ; Czapkiewicz, Anna. In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:171-183.

Full description at Econpapers || Download paper

2018Profitability of reversal strategies: A modified version of the Carhart model in China. (2018). Zhang, Wei ; Lei, Xuan ; Xiong, Xiong ; Wang, Xingchun. In: Economic Modelling. RePEc:eee:ecmode:v:69:y:2018:i:c:p:26-37.

Full description at Econpapers || Download paper

2019Improving the predictability of the oil–US stock nexus: The role of macroeconomic variables. (2019). Salisu, Afees ; Oloko, Tirimisiyu F ; Swaray, Raymond. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:153-171.

Full description at Econpapers || Download paper

2019Which is the best: A comparison of asset pricing factor models in Chinese mutual fund industry. (2019). Gao, Ran ; Sha, Yezhou. In: Economic Modelling. RePEc:eee:ecmode:v:83:y:2019:i:c:p:8-16.

Full description at Econpapers || Download paper

2017Firm size, economic risks, and the cross-section of international stock returns. (2017). Nitschka, Thomas ; Atanasov, Victoria . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:39:y:2017:i:c:p:110-126.

Full description at Econpapers || Download paper

2017Investor sentiment and country exchange traded funds: Does economic freedom matter?. (2017). Lee, Chien-Chiang ; Hsu, Yi-Chung ; Chen, Mei-Ping. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:285-299.

Full description at Econpapers || Download paper

2017An intertemporal CAPM with higher-order moments. (2017). Jang, Jeewon ; Kang, Jangkoo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:314-337.

Full description at Econpapers || Download paper

2017Ultimate consumption risk and investment-based stock returns. (2017). Kang, Hankil ; Lee, Changjun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:473-486.

Full description at Econpapers || Download paper

2018Betas V characteristics: Do stock characteristics enhance the investment opportunity set in U.K. stock returns?. (2018). Fletcher, Jonathan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:46:y:2018:i:c:p:114-129.

Full description at Econpapers || Download paper

2019Time-varying Variance Scaling: Application of the Fractionally Integrated ARMA Model. (2019). Cheng, Lee-Young ; Chang, Hung-Chou. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:1-12.

Full description at Econpapers || Download paper

2019Information in mispricing factors for future investment opportunities. (2019). Ryu, Doojin ; Kang, Hankil. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:657-668.

Full description at Econpapers || Download paper

2019Firm-specific investor sentiment and the stock market response to earnings news. (2019). Ryu, Doojin ; Cho, Hoon ; Ik, Sang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:221-240.

Full description at Econpapers || Download paper

2019Complex analytic wavelets in the measurement of macroeconomic risks. (2019). Bruzda, Joanna. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818302493.

Full description at Econpapers || Download paper

2018Revisiting Pastor–Stambaugh liquidity factor. (2018). Mohammad, . In: Economics Letters. RePEc:eee:ecolet:v:163:y:2018:i:c:p:190-192.

Full description at Econpapers || Download paper

2019Expected profitability and the cross-section of stock returns. (2019). Lin, XI. In: Economics Letters. RePEc:eee:ecolet:v:183:y:2019:i:c:4.

Full description at Econpapers || Download paper

2017Testing for prospect and Markowitz stochastic dominance efficiency. (2017). Topaloglou, Nikolas ; Arvanitis, Stelios. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:2:p:253-270.

Full description at Econpapers || Download paper

2018Ex-post risk premia estimation and asset pricing tests using large cross sections: The regression-calibration approach. (2018). Kim, Soohun ; Skoulakis, Georgios . In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:2:p:159-188.

Full description at Econpapers || Download paper

2019Climate risks and market efficiency. (2019). Hong, Harrison ; Xu, Jiangmin ; Li, Frank Weikai. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:1:p:265-281.

Full description at Econpapers || Download paper

2019Bayesian inference and prediction of a multiple-change-point panel model with nonparametric priors. (2019). Jensen, Mark ; Fisher, Mark. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:187-202.

Full description at Econpapers || Download paper

2019A diagnostic criterion for approximate factor structure. (2019). Scaillet, Olivier ; Ossola, Elisa ; Gagliardini, Patrick. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:2:p:503-521.

Full description at Econpapers || Download paper

2019Consistent non-Gaussian pseudo maximum likelihood estimators. (2019). Sentana, Enrique ; Fiorentini, Gabriele. In: Journal of Econometrics. RePEc:eee:econom:v:213:y:2019:i:2:p:321-358.

Full description at Econpapers || Download paper

2019Mutual fund flows and investors’ expectations in BRICS economies: Implications for international diversification. (2019). Ghafoor, Abdul ; Ur, Ijaz ; Khan, Habib Hussain ; Qureshi, Fiza. In: Economic Systems. RePEc:eee:ecosys:v:43:y:2019:i:1:p:130-150.

Full description at Econpapers || Download paper

2018Comparing large-sample maximum Sharpe ratios and incremental variable testing. (2018). Hanke, Michael ; Penev, Spiridon. In: European Journal of Operational Research. RePEc:eee:ejores:v:265:y:2018:i:2:p:571-579.

Full description at Econpapers || Download paper

2018Comparison of the multicriteria decision-making methods for equity portfolio selection: The U.S. evidence. (2018). Pätäri, Eero ; Yeomans, Julian S ; Luukka, Pasi ; Karell, Ville ; Patari, Eero. In: European Journal of Operational Research. RePEc:eee:ejores:v:265:y:2018:i:2:p:655-672.

Full description at Econpapers || Download paper

More than 100 citations found, this list is not complete...

Works by Jay Shanken:


YearTitleTypeCited
1993FUNDAMENTALS LARGELY EXPLAIN STOCK PRICE VOLATILITY In: Journal of Applied Corporate Finance.
[Full Text][Citation analysis]
article0
1995IN DEFENSE OF BETA In: Journal of Applied Corporate Finance.
[Full Text][Citation analysis]
article0
1982 The Arbitrage Pricing Theory: Is It Testable? In: Journal of Finance.
[Full Text][Citation analysis]
article36
1985 Multi-Beta CAPM or Equilibrium-APT? A Reply [An Empirical Investigation of the Arbitrage Pricing Theory] [The Arbitrage Pricing Theory: Is It Testable?]. In: Journal of Finance.
[Full Text][Citation analysis]
article0
1986 Testing Portfolio Efficiency When the Zero-Beta Rate Is Unknown: A Note. In: Journal of Finance.
[Full Text][Citation analysis]
article29
1986 On Exclusion of Assets from Tests of the Mean Variance Efficiency of the Market Portfolio: An Extension. In: Journal of Finance.
[Full Text][Citation analysis]
article2
1987 Nonsynchronous Data and the Covariance-Factor Structure of Returns. In: Journal of Finance.
[Full Text][Citation analysis]
article14
1992 The Current State of the Arbitrage Pricing Theory. In: Journal of Finance.
[Full Text][Citation analysis]
article21
1995 Another Look at the Cross-Section of Expected Stock Returns. In: Journal of Finance.
[Full Text][Citation analysis]
article159
2013Pricing Model Performance and the Two‐Pass Cross‐Sectional Regression Methodology In: Journal of Finance.
[Full Text][Citation analysis]
article94
2009Pricing model performance and the two-pass cross-sectional regression methodology.(2009) In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 94
paper
2009Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology.(2009) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 94
paper
2018Comparing Asset Pricing Models In: Journal of Finance.
[Full Text][Citation analysis]
article22
2015Comparing Asset Pricing Models.(2015) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 22
paper
2007Estimating and testing beta pricing models: Alternative methods and their performance in simulations In: CEMA Working Papers.
[Full Text][Citation analysis]
paper80
2007Estimating and testing beta pricing models: Alternative methods and their performance in simulations.(2007) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 80
article
2006Estimating and Testing Beta Pricing Models: Alternative Methods and their Performance in Simulations.(2006) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 80
paper
1989A Test of the Efficiency of a Given Portfolio. In: Econometrica.
[Full Text][Citation analysis]
article517
1990Intertemporal asset pricing : An Empirical Investigation In: Journal of Econometrics.
[Full Text][Citation analysis]
article180
2006Economic forces and the stock market revisited In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article38
1994Lack of timeliness and noise as explanations for the low contemporaneuos return-earnings association In: Journal of Accounting and Economics.
[Full Text][Citation analysis]
article72
2003Time-series coefficient variation in value-relevance regressions: a discussion of Core, Guay, and Van Buskirk and new evidence In: Journal of Accounting and Economics.
[Full Text][Citation analysis]
article8
2012Payout yield, risk, and mispricing: A Bayesian analysis In: Journal of Financial Economics.
[Full Text][Citation analysis]
article7
1985Multivariate tests of the zero-beta CAPM In: Journal of Financial Economics.
[Full Text][Citation analysis]
article92
1987Multivariate proxies and asset pricing relations : Living with the Roll critique In: Journal of Financial Economics.
[Full Text][Citation analysis]
article57
1987A Bayesian approach to testing portfolio efficiency In: Journal of Financial Economics.
[Full Text][Citation analysis]
article32
1987Subperiod aggregation and the power of multivariate tests of portfolio efficiency In: Journal of Financial Economics.
[Full Text][Citation analysis]
article13
1992Stock return variation and expected dividends : A time-series and cross-sectional analysis In: Journal of Financial Economics.
[Full Text][Citation analysis]
article34
1995Problems in measuring portfolio performance An application to contrarian investment strategies In: Journal of Financial Economics.
[Full Text][Citation analysis]
article76
1997Book-to-market, dividend yield, and expected market returns: A time-series analysis In: Journal of Financial Economics.
[Full Text][Citation analysis]
article185
2005Mutual fund performance with learning across funds In: Journal of Financial Economics.
[Full Text][Citation analysis]
article44
2002Mutual Fund Performance with Learning Across Funds.(2002) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 44
paper
2010A skeptical appraisal of asset pricing tests In: Journal of Financial Economics.
[Full Text][Citation analysis]
article320
2006A Skeptical Appraisal of Asset-Pricing Tests.(2006) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 320
paper
1990Macroeconomics Variables and Asset Pricing : Further Results. In: Rochester, Business - Managerial Economics Research Center.
[Citation analysis]
paper9
2015Which Alpha? In: NBER Working Papers.
[Full Text][Citation analysis]
paper5
2017Which Alpha?.(2017) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
article
2000Estimation Risk, Market Efficiency, and the Predictability of Returns In: NBER Working Papers.
[Full Text][Citation analysis]
paper3
2001Risk, Mispricing, and Asset Allocation: Conditioning on Dividend Yield In: NBER Working Papers.
[Full Text][Citation analysis]
paper2
1992On the Estimation of Beta-Pricing Models. In: Review of Financial Studies.
[Full Text][Citation analysis]
article381

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated May, 3 2020. Contact: CitEc Team