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

2431

Citations

RESEARCH PRODUCTION:

30

Articles

11

Papers

RESEARCH ACTIVITY:

   36 years (1982 - 2018). See details.
   Cites by year: 67
   Journals where Jay Shanken has often published
   Relations with other researchers
   Recent citing documents: 270.    Total self citations: 16 (0.65 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psh114
   Updated: 2019-07-14    RAS profile: 2019-01-04    
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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 (31)

Zhou, Guofu (30)

Jagannathan, Ravi (25)

Sentana, Enrique (25)

Pastor, Lubos (23)

Hammami, Yacine (22)

Adrian, Tobias (22)

Guidolin, Massimo (22)

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)

merton, robert (7)

Shiller, Robert (7)

Summers, Lawrence (7)

Jagannathan, Ravi (7)

Main data


Where Jay Shanken has published?


Journals with more than one article published# docs
Journal of Financial Economics11
Journal of Finance10
Journal of Accounting and Economics2
Review of Financial Studies2
Journal of Applied Corporate Finance2

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.

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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.

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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.

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

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

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

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

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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.

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2017Tests for the weights of the global minimum variance portfolio in a high-dimensional setting. (2017). Parolya, Nestor ; Schmid, Wolfgang ; Dmytriv, Solomiia ; Bodnar, Taras. In: Papers. RePEc:arx:papers:1710.09587.

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

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

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

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2019Characteristic-Sorted Portfolios: Estimation and Inference. (2018). Crump, Richard ; Schaumburg, Ernst ; Farrell, Max H ; Cattaneo, Matias D. In: Papers. RePEc:arx:papers:1809.03584.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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

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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.

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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.

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

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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.

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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.

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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.

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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.

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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.

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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.

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

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

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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.

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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.

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

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

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

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

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

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

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2017Belief Dispersion in the Stock Market. (2017). Basak, Suleyman ; Atmaz, Adem. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12056.

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

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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.

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

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

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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.

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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.

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

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

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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.

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

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

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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

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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.

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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.

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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.

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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.

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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.

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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.

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2017Digesting anomalies in emerging European markets: A comparison of factor pricing models. (2017). Zaremba, Adam ; Czapkiewicz, Anna. In: Emerging Markets Review. RePEc:eee:ememar:v:31:y:2017:i:c:p:1-15.

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2017Noisy prices and the Fama–French five-factor asset pricing model in China. (2017). Lin, QI. In: Emerging Markets Review. RePEc:eee:ememar:v:31:y:2017:i:c:p:141-163.

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2017Stock markets response to real output shocks in Eastern European frontier markets: A VARwAL model. (2017). Ulku, Numan ; Kuzmicheva, Olga ; Kuruppuarachchi, Duminda . In: Emerging Markets Review. RePEc:eee:ememar:v:33:y:2017:i:c:p:140-154.

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2018A comprehensive test of the Fama-French five-factor model in emerging markets. (2018). Foye, James. In: Emerging Markets Review. RePEc:eee:ememar:v:37:y:2018:i:c:p:199-222.

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2019The cross-section of returns in frontier equity markets: Integrated or segmented pricing?. (2019). Maydybura, Alina ; Zaremba, Adam. In: Emerging Markets Review. RePEc:eee:ememar:v:38:y:2019:i:c:p:219-238.

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2019The cross-section of emerging market stock returns. (2019). Lauterbach, Jochim G ; Hanauer, Matthias X. In: Emerging Markets Review. RePEc:eee:ememar:v:38:y:2019:i:c:p:265-286.

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2019Is individual trading priced in the preferred stock discount?. (2019). Choi, Joung Hwa ; Sub, Paul Moon ; Park, Cheol. In: Emerging Markets Review. RePEc:eee:ememar:v:38:y:2019:i:c:p:326-346.

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2017Overreaction and the cross-section of returns: International evidence. (2017). Blackburn, Douglas W ; Cakici, Nusret. In: Journal of Empirical Finance. RePEc:eee:empfin:v:42:y:2017:i:c:p:1-14.

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2017Forecasting aggregate stock market volatility using financial and macroeconomic predictors: Which models forecast best, when and why?. (2017). Nonejad, Nima. In: Journal of Empirical Finance. RePEc:eee:empfin:v:42:y:2017:i:c:p:131-154.

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2017Timescale betas and the cross section of equity returns: Framework, application, and implications for interpreting the Fama–French factors. (2017). Uk, Byoung ; Kim, Tong Suk ; In, Francis. In: Journal of Empirical Finance. RePEc:eee:empfin:v:42:y:2017:i:c:p:15-39.

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2017The cross-section of consumer lending risk. (2017). Desai, Chintal Ajitbhai . In: Journal of Empirical Finance. RePEc:eee:empfin:v:42:y:2017:i:c:p:256-282.

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2017The profitability of low-volatility. (2017). Blitz, David ; Vidojevic, Milan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:33-42.

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2017Business-cycle variation in macroeconomic uncertainty and the cross-section of expected returns: Evidence for scale-dependent risks. (2017). Xyngis, Georgios. In: Journal of Empirical Finance. RePEc:eee:empfin:v:44:y:2017:i:c:p:43-65.

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2018Macroeconomic determinants of stock market betas. (2018). Gonzalez, Mariano ; Rubio, Gonzalo ; Nave, Juan . In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:26-44.

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2018Residual momentum in Japan. (2018). Chang, Rosita P ; Rhee, Ghon S ; Nakano, Shinji ; Ko, Kuan-Cheng. In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:283-299.

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2018Information uncertainty and target valuation in mergers and acquisitions. (2018). Li, Lin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:84-107.

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2018A labor news hedge portfolio and the cross-section of expected stock returns. (2018). Stotz, Olaf. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:123-139.

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2018The role of firm investment in momentum and reversal. (2018). Mortal, Sandra C ; Schill, Michael J. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:255-278.

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2018Bayesian tests of global factor models. (2018). Fletcher, Jonathan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:279-289.

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2018CAPM, components of beta and the cross section of expected returns. (2018). Cenesizoglu, Tolga ; Reeves, Jonathan J. In: Journal of Empirical Finance. RePEc:eee:empfin:v:49:y:2018:i:c:p:223-246.

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2019Consumption growth predictability and asset prices. (2019). Min, Byoung-Kyu ; Lee, Changjun ; Roh, Tai-Yong . In: Journal of Empirical Finance. RePEc:eee:empfin:v:51:y:2019:i:c:p:95-118.

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2017Cognitive biases in investors behaviour under stress: Evidence from the London Stock Exchange. (2017). Philippas, Dionisis ; SIRIOPOULOS, COSTAS ; Kariofyllas, Spyridon. In: International Review of Financial Analysis. RePEc:eee:finana:v:54:y:2017:i:c:p:54-62.

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2018A conditional regime switching CAPM. (2018). Vendrame, Vasco ; Tucker, Jon ; Guermat, Cherif. In: International Review of Financial Analysis. RePEc:eee:finana:v:56:y:2018:i:c:p:1-11.

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2018Investor sentiment: Does it augment the performance of asset pricing models?. (2018). Bredin, Don ; Bathia, Deven. In: International Review of Financial Analysis. RePEc:eee:finana:v:59:y:2018:i:c:p:290-303.

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2019Investment-related anomalies in Australia: Evidence and explanations. (2019). Zhong, Angel ; Gray, Philip ; Cao, Viet Nga . In: International Review of Financial Analysis. RePEc:eee:finana:v:61:y:2019:i:c:p:97-109.

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2017The long-term performance of new product introductions. (2017). Chang, Shao-Chi ; Chen, Li-Yu ; Lai, Jung-Ho. In: Finance Research Letters. RePEc:eee:finlet:v:20:y:2017:i:c:p:162-169.

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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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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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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.
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article0
1986 Testing Portfolio Efficiency When the Zero-Beta Rate Is Unknown: A Note. In: Journal of Finance.
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article29
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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article21
1995 Another Look at the Cross-Section of Expected Stock Returns. In: Journal of Finance.
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article147
2002Learning, Asset-Pricing Tests, and Market Efficiency In: Journal of Finance.
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article83
2013Pricing Model Performance and the Two‐Pass Cross‐Sectional Regression Methodology In: Journal of Finance.
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article83
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: 83
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: 83
paper
2018Comparing Asset Pricing Models In: Journal of Finance.
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article10
2015Comparing Asset Pricing Models.(2015) In: NBER Working Papers.
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This paper has another version. Agregated cites: 10
paper
2007Estimating and testing beta pricing models: Alternative methods and their performance in simulations In: CEMA Working Papers.
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paper74
2007Estimating and testing beta pricing models: Alternative methods and their performance in simulations.(2007) In: Journal of Financial Economics.
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This paper has another version. Agregated cites: 74
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: 74
paper
1989A Test of the Efficiency of a Given Portfolio. In: Econometrica.
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article474
1990Intertemporal asset pricing : An Empirical Investigation In: Journal of Econometrics.
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article173
2006Economic forces and the stock market revisited In: Journal of Empirical Finance.
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article35
1994Lack of timeliness and noise as explanations for the low contemporaneuos return-earnings association In: Journal of Accounting and Economics.
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article67
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.
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article8
2012Payout yield, risk, and mispricing: A Bayesian analysis In: Journal of Financial Economics.
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article7
1985Multivariate tests of the zero-beta CAPM In: Journal of Financial Economics.
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article89
1987Multivariate proxies and asset pricing relations : Living with the Roll critique In: Journal of Financial Economics.
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article55
1987A Bayesian approach to testing portfolio efficiency In: Journal of Financial Economics.
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article31
1987Subperiod aggregation and the power of multivariate tests of portfolio efficiency In: Journal of Financial Economics.
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article13
1992Stock return variation and expected dividends : A time-series and cross-sectional analysis In: Journal of Financial Economics.
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article30
1995Problems in measuring portfolio performance An application to contrarian investment strategies In: Journal of Financial Economics.
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article73
1997Book-to-market, dividend yield, and expected market returns: A time-series analysis In: Journal of Financial Economics.
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article175
2005Mutual fund performance with learning across funds In: Journal of Financial Economics.
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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.
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article286
2006A Skeptical Appraisal of Asset-Pricing Tests.(2006) In: NBER Working Papers.
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This paper has another version. Agregated cites: 286
paper
1990Macroeconomics Variables and Asset Pricing : Further Results. In: Rochester, Business - Managerial Economics Research Center.
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paper9
2015Which Alpha? In: NBER Working Papers.
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paper5
2017Which Alpha?.(2017) In: Review of Financial Studies.
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This paper has another version. Agregated cites: 5
article
2000Estimation Risk, Market Efficiency, and the Predictability of Returns In: NBER Working Papers.
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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.
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article353

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated July, 1st 2019. Contact: CitEc Team