Goizueta Business School

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Professor Jay Shanken's Published Papers   "Estimating and Testing Beta Pricing Models: Alternative Methods and their Performance in simulations," with Guofu Zhou, Journal of Financial Economics, forthcoming, 2006. "Economic Forces and the Stock Market Revisited," with Mark Weinstein, Journal of Empirical Finance, March, 2006. "Mutual fund performance with Learning Across Funds," with Christopher S. Jones, Journal of Financial Economics 78, 507-552, 2005. "Asset Allocation with Inflation-Protected Bonds," with S.P. Kothari, Financial Analysts Journal, 54-70, 2004. "Time-series coefficient variation in value-relevance regressions: a discussion of Core, Guay, and Van Buskirk and new evidence," with S.P.Kothari, Journal of Accounting and Economics 34, 69-87, 2003. "Learning, Asset-Pricing Tests, and Market Efficiency," with Jonathan Lewellen, Journal of Finance, Vol LVII, No. 3, 1113-1145, 2002. "Anomalies and Efficient Portfolio Formation," with S.P. Kothari, monograph, Association for Investment Management and Research, 2002. "2001 European Financial Management Association: Roundtable Discussion, Rationality of Capital Markets," Moderator: John A Doukas; Panelists: Ray Ball, Kent Daniel, Kenneth French, Stephen Ross, Jay Shanken, European Financial Management, Vol 8, No. 2, 229-247, 2002. "Fundamentals Largely Explain Stock Price Volatility," with S.P. Kothari, Journal of Applied Corporate Finance, 81-112, 2000. "Book-to-market, dividend yield, and expected market returns: A time-series analysis," with S.P. Kothari, Journal of Financial Economics 44, 169-203, 1997. "Implications of Capital Markets Research for Corporate Finance," with Clifford W. Smith, Financial Management, Vol. 25, 98-104, 1996. "Statistical Methods in Tests of Portfolio Efficiency: A Synthesis," Handbook of Statistics, Volume 14, 693-711, 1996. "Another Look at the Cross-section of Expected Stock Returns," with S.P. Kothari and Richard G. Sloan, Journal of Finance, Vol. L, No. 1, 185-224, 1995. "Problems in measuring a portfolio performance, An application to contrarian investment strategies," with Ray Ball and S.P. Kothari, Journal of Financial Economics 38, 79-107, 1995. "In Defense of Beta," with S.P. Kothari, Journal of Applied Corporate Finance, Volume 8, Number1, 53-58, 1995. "Lack of timeliness and noise as explanations for the low contemporaneious return-earnings association," with Daniel W. Collins, S.P. Kothari, Richard G. Sloan, Journal of Accounting and Economics 18, 289-324, 1994. "The Current State of the Arbitrage Pricing Theory," Journal of Finance Vol. 47, No. 4, 1569-1574, 1992. "Stock return variation and expected dividends," with S.P. Kothari, Journal of Financial Economics 31, 177-210, 1992. "On the Estimation of Beta-Pricing Models," Review of Financial Studies, Volume 5, number 1, 1-33, 1992. "The Current State of the Arbitrage Pricing Theory," Journal of Finance, Vol. XLVII, No. 4, 1569-1574, 1992. "Intertemporal Asset Pricing: An Empirical Investigation," Journal of Econometrics 45, 99-120, 1990. "A Test of the Efficiency of a Given Portfolio," with Michael R. Gibbons and Stephen A. Ross, Econometrica, Vol. 57, No. 5, 1121-1152, 1989. "Multivariate Proxies and Asset Pricing Relations, Living with the Roll Critique," with Daniel W. Collins, S.P. Kothari, Richard G. Sloan, Journal of Financial Economics 18, 91-110, 1987. "A Bayesian Approach to Testing Portfolio Efficiency," Journal of Financial Economics 19, 195-215, 1987. "Subperiod Aggregation and the Power of Multivariate Tests of Portfolio Efficiency," with Michael R. Gibbons, Journal of Financial Economics 19, 389-394, 1987. "Nonsynchronous Data and the Covariance-Factor Structure of Returns," Journal of Finance, Volume XLII, No. 2, 1987. "Testing Portfolio Efficiency when the Zero-Beta Rate is Unknown: A Note," Journal of Finance, Vol. 41, No. 1, 269-276, 1986. "On the Exlcusion of Assets from Tests of the mean Variance Efficiency of the Market Portfolio: An Extension," Journal of Finance, Vol. XLI, No. 2, 331-337, 1986. "Mulivariate Tests of the Zero-Beta CAPM," Journal of Financial Economics 14, 327-348, 1985. "Multi-Beta CAPM or Equilibrium-APT?: A Reply," Journal of Finance, Vol XL, No. 4, 1189-1196, 1985. "The Arbitrage Pricing Theory: Is it Testable?," Journal of Finance, Vol 37, No. 5, 1129-1140, 1982. Jay Shanken