Jay Shanken : Citation Profile


Are you Jay Shanken?

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

20

H index

23

i10 index

2938

Citations

RESEARCH PRODUCTION:

30

Articles

11

Papers

RESEARCH ACTIVITY:

   38 years (1982 - 2020). See details.
   Cites by year: 77
   Journals where Jay Shanken has often published
   Relations with other researchers
   Recent citing documents: 229.    Total self citations: 15 (0.51 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psh114
   Updated: 2021-11-28    RAS profile: 2020-11-04    
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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 (31)

Gospodinov, Nikolay (27)

Sentana, Enrique (26)

Jagannathan, Ravi (24)

Zhang, Lu (22)

Hammami, Yacine (22)

Guidolin, Massimo (22)

Pastor, Lubos (21)

Cites to:

Stambaugh, Robert (35)

French, Kenneth (21)

Fama, Eugene (18)

Campbell, John (13)

Shleifer, Andrei (10)

Kandel, Shmuel (8)

Pastor, Lubos (8)

Shiller, Robert (7)

merton, robert (7)

Summers, Lawrence (7)

Zhou, Guofu (7)

Main data


Where Jay Shanken has published?


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

Recent works citing Jay Shanken (2021 and 2020)


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

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

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

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2020Regret Theory And Asset Pricing Anomalies In Incomplete Markets With Dynamic Un-Aggregated Preferences. (2020). Nwogugu, Michael. In: Papers. RePEc:arx:papers:2005.01709.

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2020False (and Missed) Discoveries in Financial Economics. (2020). Liu, Yan ; Harvey, Campbell R. In: Papers. RePEc:arx:papers:2006.04269.

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2020Dynamic Network Risk. (2020). Baruník, Jozef ; Ellington, Michael ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2006.04639.

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2020Risk Preferences and Efficiency of Household Portfolios. (2020). Zhang, Zhaoyu ; Capponi, Agostino. In: Papers. RePEc:arx:papers:2010.13928.

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2021An Empirical Assessment of Characteristics and Optimal Portfolios. (2021). Lamoureux, Christopher G ; Zhang, Huacheng. In: Papers. RePEc:arx:papers:2104.12975.

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2021Double robust inference for continuous updating GMM. (2021). Zhan, Zhaoguo ; Kleibergen, Frank. In: Papers. RePEc:arx:papers:2105.08345.

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2021The Adaptive Multi-Factor Model and the Financial Market. (2021). Zhu, Liao. In: Papers. RePEc:arx:papers:2107.14410.

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2021A New Multivariate Predictive Model for Stock Returns. (2021). Xie, Jianying. In: Papers. RePEc:arx:papers:2110.01873.

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2020Monetary Policy and Stock Market Returns: Evidence from ARDL Bounds Testing Approach for the Case of Vietnam. (2020). Minh, Tram Thi ; Mai, Hong Thi ; Nguyen, Thuy Thu . In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2020:p:758-777.

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2021Illiquidity Premium in the Indian Stock Market: An Empirical Study. (2021). Verma, Divya ; Kundlia, Shweta. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2021:p:501-511.

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2020Robust Identification of Investor Beliefs. (2020). Hansen, Peter G ; Chen, Xiaohong. In: Working Papers. RePEc:bfi:wpaper:2020-69.

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2021Can Machine Learning Help to Select Portfolios of Mutual Funds?. (2021). , Andre ; Nogales, Francisco J ; Gil-Bazo, Javier ; Demiguel, Victor ; de Miguel, Victor . In: Working Papers. RePEc:bge:wpaper:1245.

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2021Firm-specific risk-neutral distributions with options and CDS. (2021). Jahan-Parvar, Mohammad ; Aramonte, Sirio ; Schindler, John W ; Rosen, Samuel. In: BIS Working Papers. RePEc:bis:biswps:921.

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2021Choosing the Level of Significance: A Decision?theoretic Approach. (2021). Kim, Jae ; Choi, IN. In: Abacus. RePEc:bla:abacus:v:57:y:2021:i:1:p:27-71.

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2020Asset pricing and energy consumption risk. (2020). Lan, Yihui ; Lim, Ashley ; Treepongkaruna, Sirimon. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:4:p:3813-3850.

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2020An empirical assessment of proposed solutions for resolving scale problems in value relevance accounting research. (2020). Garcia, Juan Manuel ; Martinez, Juana Aledo ; Grambovas, Christos A ; Gonzalez, Maria T. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:4:p:3905-3933.

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2020Analyst versus model?based earnings forecasts: implied cost of capital applications. (2020). Cannavan, Damien ; Paton, Alexander P ; Hoang, Khoa ; Gray, Stephen. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:4:p:4061-4092.

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2021Financial statement comparability and managers’ use of corporate resources. (2021). Yu, Yangxin ; Xinyu, Yang ; Yi, Louise ; Li, Leye ; Kim, Jeongbon. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:s1:p:1697-1742.

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2021Risk of holding stocks with liquidity sensitive to market uncertainty: evidence from China. (2021). Yan, WU ; Qian, Meifen ; Shen, Yifan ; Sun, Pingwen. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:s1:p:1993-2029.

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2020Idiosyncratic momentum and the cross‐section of stock returns: Further evidence. (2020). Lin, QI. In: European Financial Management. RePEc:bla:eufman:v:26:y:2020:i:3:p:579-627.

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2020Consumption, asset wealth, equity premium, term spread, and flight to quality. (2020). Sousa, Ricardo ; Costantini, Mauro. In: European Financial Management. RePEc:bla:eufman:v:26:y:2020:i:3:p:778-807.

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2020Can mispricing explain the value premium?. (2020). Jindra, Jan ; Jaffe, Jeffrey F ; Voetmann, Torben ; Pedersen, David J. In: Financial Management. RePEc:bla:finmgt:v:49:y:2020:i:3:p:615-633.

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2020Taming the Factor Zoo: A Test of New Factors. (2020). Xiu, Dacheng ; Giglio, Stefano ; Feng, Guanhao. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:3:p:1327-1370.

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2020Understanding Systematic Risk: A High‐Frequency Approach. (2020). Pelger, Markus. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:4:p:2179-2220.

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2020False (and Missed) Discoveries in Financial Economics. (2020). Harvey, Campbell R ; Liu, Yan. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:5:p:2503-2553.

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2020PREDICTING SYSTEMATIC RISK WITH MACROECONOMIC AND FINANCIAL VARIABLES. (2020). Ibrushi, Denada ; Cenesizoglu, Tolga. In: Journal of Financial Research. RePEc:bla:jfnres:v:43:y:2020:i:3:p:649-673.

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2020Survival and Pricing Puzzles. (2020). Nicodano, Giovanna ; Altieri, Michela . In: Carlo Alberto Notebooks. RePEc:cca:wpaper:604.

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

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2021Factor Strengths, Pricing Errors, and Estimation of Risk Premia. (2021). Smith, Ronald ; Pesaran, M. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8947.

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2021Arbitrage Pricing Theory, the Stochastic Discount Factor and Estimation of Risk Premia from Portfolios. (2021). Smith, Ron P ; Pesaran, Hashem M. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9001.

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2020Arbitrage Pricing, Weak Beta, Strong Beta: Identification-Robust and Simultaneous Inference. (2020). Khalaf, Lynda ; Dufour, Jean-Marie ; Beaulieu, Marie-Claude. In: CIRANO Working Papers. RePEc:cir:cirwor:2020s-30.

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

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2021How to explain the cross-section of equity returns through Common Principal Components. (2021). Cueto, Jose Manuel ; Chavez, Aurea Grane ; Fernandez, Ignacio Cascos. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:32258.

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2020Robust Identification of Investor Beliefs. (2020). Hansen, Peter G ; Chen, Xiaohong. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2236.

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2020Currency Futures Risk Premia and Risk Factors. (2020). Bernoth, Kerstin ; de Vries, Casper G ; Vonhagen, Jurgen ; von Hagen, Jurgen. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1866.

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2020Risk and return in international corporate bond markets. (2020). Bekaert, Geert ; de Santis, Roberto A. In: Working Paper Series. RePEc:ecb:ecbwps:20202452.

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2020Does accounting comparability affect corporate employment decision-making?. (2020). Ntim, Collins ; Elmagrhi, Mohamed H ; Zhang, Qingjing. In: The British Accounting Review. RePEc:eee:bracre:v:52:y:2020:i:6:s0890838920300573.

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2021Capitalisation of R&D and the informativeness of stock prices: Pre- and post-IFRS evidence. (2021). Tsoligkas, Fanis ; Tsalavoutas, Ioannis ; Dargenidou, Christina. In: The British Accounting Review. RePEc:eee:bracre:v:53:y:2021:i:4:s089083892100024x.

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2020Trade credit and stock liquidity. (2020). Shang, Chenguang. In: Journal of Corporate Finance. RePEc:eee:corfin:v:62:y:2020:i:c:s0929119920300304.

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2020Stochastic dominance tests. (2020). Tsionas, Mike G ; Topaloglou, Nikolas. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:112:y:2020:i:c:s0165188920300191.

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2020Factor Investing for the Long Run. (2020). Tarelli, Andrea ; Lioui, Abraham. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:117:y:2020:i:c:s0165188920301287.

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2020Investor overconfidence and the security market line: New evidence from China. (2020). Li, Youwei ; Han, Xing. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:117:y:2020:i:c:s0165188920301299.

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2021Further tests of asset pricing models: Liquidity risk matters. (2021). Liu, Weimin ; Zhang, Xindong ; Ma, Xiuli. In: Economic Modelling. RePEc:eee:ecmode:v:95:y:2021:i:c:p:255-273.

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2020A much robust and updated evidences of the alternative real-estate based asset pricing. (2020). Shi, QI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818303978.

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2020Site visit information content and return predictability: Evidence from China. (2020). Cao, Jiawei ; Yue, Sishi ; Dong, Dayong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819304280.

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2020The Fama-French’s five-factor model relation with interest rates and macro variables. (2020). da Silveira, Claudio Henrique ; Figueiredo, Antonio Carlos ; Klotzle, Marcelo Cabus ; Leite, Andre Luis. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820300942.

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2020Price delay and post-earnings announcement drift anomalies: The role of option-implied betas. (2020). Tsai, Wei-Che ; Ho, Hwai-Chung. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818300330.

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2020Leisure and long-run risks: An empirical evaluation on value premium puzzle. (2020). Zhang, Xiang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301200.

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2020Do related party transactions always deteriorate earnings informativeness?. (2020). Weng, Pei-Yu ; Chen, Chung-Yu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301662.

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2021Pricing the hedging factor in the cross-section of stock returns. (2021). Dunbar, Kwamie. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940821000152.

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2021Cross-sectional tests of asset pricing models with full-rank mimicking portfolios. (2021). Kim, Jin Yong ; Lee, Jeong Hwan ; Ho, Kun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000802.

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2020The macro and asset pricing implications of rising Italian uncertainty: Evidence from a novel news-based macroeconomic policy uncertainty index. (2020). Pellizzari, Paolo ; Gufler, Ivan ; Donadelli, Michael. In: Economics Letters. RePEc:eee:ecolet:v:197:y:2020:i:c:s0165176520303669.

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2021Augmented factor models with applications to validating market risk factors and forecasting bond risk premia. (2021). Liao, Yuan ; Ke, Yuan ; Fan, Jianqing. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:269-294.

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2020Testing factor models in Indonesia. (2020). Valentini, Aljoa ; Foye, James. In: Emerging Markets Review. RePEc:eee:ememar:v:42:y:2020:i:c:s1566014119301669.

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2020Is there an illiquidity premium in frontier markets?. (2020). Umar, Zaghum ; Zaremba, Adam ; Stereczak, Szymon. In: Emerging Markets Review. RePEc:eee:ememar:v:42:y:2020:i:c:s1566014119302481.

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2020In search for good news: The relationship between accounting information, bounded rationality and hard-to-value stocks. (2020). Lima, Fabiano Guasti ; Lemes, Sirlei ; Figlioli, Bruno. In: Emerging Markets Review. RePEc:eee:ememar:v:44:y:2020:i:c:s1566014120302429.

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2020The long-run reversal in the long run: Insights from two centuries of international equity returns. (2020). Zaremba, Adam ; Raza, Muhammad Wajid ; Kizys, Renatas. In: Journal of Empirical Finance. RePEc:eee:empfin:v:55:y:2020:i:c:p:177-199.

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2021Modeling the cross-section of stock returns using sensible models in a model pool. (2021). Zhou, Qing ; Liao, Yin ; Chiang, I-Hsuan Ethan ; I-Hsuan Ethan Chiang, . In: Journal of Empirical Finance. RePEc:eee:empfin:v:60:y:2021:i:c:p:56-73.

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2021Improved inference for fund alphas using high-dimensional cross-sectional tests. (2021). Yan, Yayi ; Cheng, Tingting. In: Journal of Empirical Finance. RePEc:eee:empfin:v:61:y:2021:i:c:p:57-81.

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2020Are hedge funds active market liquidity timers?. (2020). Li, Chenlu ; Tee, Kai-Hong. In: International Review of Financial Analysis. RePEc:eee:finana:v:67:y:2020:i:c:s1057521918306641.

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2020Social media effect, investor recognition and the cross-section of stock returns. (2020). Li, Youwei ; Feng, XU ; Cao, Xing ; Zhang, Wei ; Meng, Xiangtong. In: International Review of Financial Analysis. RePEc:eee:finana:v:67:y:2020:i:c:s1057521919304818.

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2020The cross-section of industry equity returns and global tactical asset allocation across regions and industries. (2020). Bengitoz, Pelin ; Umutlu, Mehmet. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302180.

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2021Product market competition in accounting, finance, and corporate governance: A review of the literature. (2021). Habib, Ahsan ; Babar, MD. In: International Review of Financial Analysis. RePEc:eee:finana:v:73:y:2021:i:c:s1057521920302507.

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2020Real estate as a common risk factor in the financial sector: International evidence. (2020). Coen, Alain ; Carmichael, Benoit. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s1544612318307980.

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2020Mispricing, returns and the quest for parsimony. (2020). Rudkin, Wanling. In: Finance Research Letters. RePEc:eee:finlet:v:37:y:2020:i:c:s1544612319303216.

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2021A Bayesian Re-Interpretation of “significant” empirical financial research. (2021). Rosch, Daniel ; Kellner, Ralf. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319309997.

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2021Reconsidering systematic factors during the Covid-19 pandemic – The rising importance of ESG. (2021). Ibrushi, Denada ; Diaz, Violeta ; Zhao, Jialin. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612320316846.

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2021Quest for a parsimonious factor model in the wake of quality-minus-junk, misvaluation and Fama-French-six factors. (2021). Ulku, Numan ; Ali, Fahad. In: Finance Research Letters. RePEc:eee:finlet:v:41:y:2021:i:c:s1544612320316615.

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2021Factor Investing and Risk Management: Is Smart-Beta Diversification Smart?. (2021). Pacurar, Maria ; Nazaire, Gregory ; Sy, Oumar. In: Finance Research Letters. RePEc:eee:finlet:v:41:y:2021:i:c:s1544612320316688.

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2020The memory of stock return volatility: Asset pricing implications. (2020). Sibbertsen, Philipp ; Prokopczuk, Marcel ; Benno, Duc Binh. In: Journal of Financial Markets. RePEc:eee:finmar:v:47:y:2020:i:c:s138641811830140x.

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2021Cash conversion cycle and aggregate stock returns. (2021). Lin, XI. In: Journal of Financial Markets. RePEc:eee:finmar:v:52:y:2021:i:c:s138641812030029x.

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2020Sovereign bonds, coskewness, and monetary policy regimes. (2020). Wald, John K ; Li, Yulin ; Wang, Zijun. In: Journal of Financial Stability. RePEc:eee:finsta:v:50:y:2020:i:c:s1572308920300826.

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2021Google search and stock returns: A study on BIST 100 stocks. (2021). Ekinci, Cumhur ; Bulut, Ali Eray. In: Global Finance Journal. RePEc:eee:glofin:v:47:y:2021:i:c:s1044028319302017.

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2021Asset liquidity, business risk, and beta. (2021). Nejadmalayeri, Ali. In: Global Finance Journal. RePEc:eee:glofin:v:48:y:2021:i:c:s1044028320301319.

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2020How informative are stock prices of Islamic Banks?. (2020). Song, Liang ; Hashem, Shatha Qamhieh ; Bouslah, Kais ; Abedifar, Pejman. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:66:y:2020:i:c:s1042443120300871.

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2020Tail behavior of Bitcoin, the dollar, gold and the stock market index. (2020). Ho, JI. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:67:y:2020:i:c:s104244312030086x.

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2020Why do firms manage their stock price levels?. (2020). Mohamed, Abdulkadir ; Cai, Charlie X ; Buchner, Axel ; Amini, Shima. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:67:y:2020:i:c:s1042443120301049.

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2021The pricing of global temperature shocks in the cost of equity capital. (2021). Gregory, Richard P. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:72:y:2021:i:c:s104244312100038x.

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2021Who should be afraid of infections? Pandemic exposure and the cross-section of stock returns. (2021). Zaremba, Adam ; Cakici, Nusret. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:72:y:2021:i:c:s1042443121000524.

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2021Asset pricing in the Middle East’s equity markets. (2021). Waqas, Muhammad ; Li, Jing ; Hearn, Bruce ; Mykhayliv, Dariya. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:72:y:2021:i:c:s1042443121000561.

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2021Risk and return in international corporate bond markets. (2021). Bekaert, Geert ; de Santis, Roberto A. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:72:y:2021:i:c:s1042443121000573.

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2021Data snooping in equity premium prediction. (2021). Wendt, Viktoria-Sophie ; Neuhierl, Andreas ; Drobetz, Wolfgang ; Dichtl, Hubert. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:1:p:72-94.

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2020Using a hidden Markov model to measure earnings quality. (2020). Huddart, Steven ; Zhang, Yifan ; Xue, Lingzhou ; Du, Kai. In: Journal of Accounting and Economics. RePEc:eee:jaecon:v:69:y:2020:i:2:s016541011930076x.

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2020Moment risk premia and the cross-section of stock returns in the European stock market. (2020). Elyasiani, Elyas ; Muzzioli, Silvia ; Gambarelli, Luca. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:111:y:2020:i:c:s037842661930305x.

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2020Curve momentum. (2020). Prokopczuk, Marcel ; Simen, Chardin Wese ; Paschke, Raphael . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:113:y:2020:i:c:s0378426619302912.

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2020Factoring characteristics into returns: A clinical study on the SMB and HML portfolio construction methods. (2020). Hübner, Georges ; Hubner, Georges ; Fays, Boris ; Lambert, Marie. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:114:y:2020:i:c:s0378426620300789.

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2020Factor based commodity investing. (2020). Tessaromatis, Nikolaos ; Sakkas, Athanasios. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:115:y:2020:i:c:s0378426620300741.

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2020Joint Extreme events in equity returns and liquidity and their cross-sectional pricing implications. (2020). Ruenzi, Stefan ; Weigert, Florian ; Ungeheuer, Michael. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:115:y:2020:i:c:s0378426620300765.

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2020The R&D anomaly: Risk or mispricing?. (2020). Mazouz, Khelifa ; Evans, Kevin P ; Leung, Woon Sau. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:115:y:2020:i:c:s0378426620300820.

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2020Beta uncertainty. (2020). Prokopczuk, Marcel ; Simen, Chardin Wese ; Hollstein, Fabian. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:116:y:2020:i:c:s0378426620301011.

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2020Fear of hazards in commodity futures markets. (2020). Miffre, Joelle ; Gonzalez-Fernandez, Marcos ; Fuertes, Ana-Maria ; Fernandez-Perez, Adrian. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:119:y:2020:i:c:s0378426620301680.

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2021The ordering of historical returns and the cross-section of subsequent returns. (2021). Mohrschladt, Hannes. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:125:y:2021:i:c:s0378426621000224.

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2021The q5 model and its consistency with the intertemporal CAPM. (2021). Lin, QI. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:127:y:2021:i:c:s0378426621000546.

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2021Asset pricing and FOMC press conferences. (2021). Eriksen, Jonas ; Gronborg, Niels S ; Bodilsen, Simon. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:128:y:2021:i:c:s0378426621001229.

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2020Does financial statement comparability mitigate delayed trading volume before earnings announcements?. (2020). Kim, Junwoo. In: Journal of Business Research. RePEc:eee:jbrese:v:107:y:2020:i:c:p:62-75.

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2020Shrinking the cross-section. (2020). Nagel, Stefan ; Kozak, Serhiy ; Santosh, Shrihari. In: Journal of Financial Economics. RePEc:eee:jfinec:v:135:y:2020:i:2:p:271-292.

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2020Measuring skewness premia. (2020). Langlois, Hugues. In: Journal of Financial Economics. RePEc:eee:jfinec:v:135:y:2020:i:2:p:399-424.

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2020Risky bank guarantees. (2020). Sarno, Lucio ; Mäkinen, Taneli ; Zinna, Gabriele ; Makinen, Taneli. In: Journal of Financial Economics. RePEc:eee:jfinec:v:136:y:2020:i:2:p:490-522.

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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.
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article0
1995IN DEFENSE OF BETA In: Journal of Applied Corporate Finance.
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article0
1982 The Arbitrage Pricing Theory: Is It Testable? In: Journal of Finance.
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article41
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.
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article31
1986 On Exclusion of Assets from Tests of the Mean Variance Efficiency of the Market Portfolio: An Extension. In: Journal of Finance.
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article2
1987 Nonsynchronous Data and the Covariance-Factor Structure of Returns. In: Journal of Finance.
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article14
1992 The Current State of the Arbitrage Pricing Theory. In: Journal of Finance.
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article22
1995 Another Look at the Cross-Section of Expected Stock Returns. In: Journal of Finance.
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article171
2013Pricing Model Performance and the Two?Pass Cross?Sectional Regression Methodology In: Journal of Finance.
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article137
2009Pricing model performance and the two-pass cross-sectional regression methodology.(2009) In: FRB Atlanta Working Paper.
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This paper has another version. Agregated cites: 137
paper
2009Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology.(2009) In: NBER Working Papers.
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This paper has another version. Agregated cites: 137
paper
2018Comparing Asset Pricing Models In: Journal of Finance.
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article52
2015Comparing Asset Pricing Models.(2015) In: NBER Working Papers.
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This paper has another version. Agregated cites: 52
paper
2007Estimating and testing beta pricing models: Alternative methods and their performance in simulations In: CEMA Working Papers.
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paper91
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: 91
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: 91
paper
2020Model Comparison with Sharpe Ratios In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article3
1989A Test of the Efficiency of a Given Portfolio. In: Econometrica.
[Full Text][Citation analysis]
article590
1990Intertemporal asset pricing : An Empirical Investigation In: Journal of Econometrics.
[Full Text][Citation analysis]
article190
2006Economic forces and the stock market revisited In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article39
1994Lack of timeliness and noise as explanations for the low contemporaneuos return-earnings association In: Journal of Accounting and Economics.
[Full Text][Citation analysis]
article104
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]
article10
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]
article106
1987Multivariate proxies and asset pricing relations : Living with the Roll critique In: Journal of Financial Economics.
[Full Text][Citation analysis]
article61
1987A Bayesian approach to testing portfolio efficiency In: Journal of Financial Economics.
[Full Text][Citation analysis]
article36
1987Subperiod aggregation and the power of multivariate tests of portfolio efficiency In: Journal of Financial Economics.
[Full Text][Citation analysis]
article15
1992Stock return variation and expected dividends : A time-series and cross-sectional analysis In: Journal of Financial Economics.
[Full Text][Citation analysis]
article40
1995Problems in measuring portfolio performance An application to contrarian investment strategies In: Journal of Financial Economics.
[Full Text][Citation analysis]
article85
1997Book-to-market, dividend yield, and expected market returns: A time-series analysis In: Journal of Financial Economics.
[Full Text][Citation analysis]
article208
2005Mutual fund performance with learning across funds In: Journal of Financial Economics.
[Full Text][Citation analysis]
article52
2002Mutual Fund Performance with Learning Across Funds.(2002) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 52
paper
2010A skeptical appraisal of asset pricing tests In: Journal of Financial Economics.
[Full Text][Citation analysis]
article378
2006A Skeptical Appraisal of Asset-Pricing Tests.(2006) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 378
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]
article434

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 2 2021. Contact: CitEc Team