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Comparing Asset Pricing Models

The Journal of finance (New York), 2018-04, Vol.73 (2), p.715-754

2018

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Which Alpha?

The Review of financial studies, 2017-04, Vol.30 (4), p.1316-1338

2017

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Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology

The Journal of finance (New York), 2013-12, Vol.68 (6), p.2617-2649

2013

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A skeptical appraisal of asset pricing tests

Journal of financial economics, 2010-05, Vol.96 (2), p.175-194

2010

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Model Comparison with Sharpe Ratios

Journal of financial and quantitative analysis, 2020-09, Vol.55 (6), p.1840-1874

2020

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Estimating and testing beta pricing models: Alternative methods and their performance in simulations

Journal of financial economics, 2007-04, Vol.84 (1), p.40-86

2007

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Learning, Asset-Pricing Tests, and Market Efficiency

The Journal of finance (New York), 2002-06, Vol.57 (3), p.1113-1145

2002

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A Test of the Efficiency of a Given Portfolio

Econometrica, 1989-09, Vol.57 (5), p.1121-1152

1989

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Payout yield, risk, and mispricing: A Bayesian analysis

Journal of financial economics, 2012-07, Vol.105 (1), p.131-152

2012

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On the Estimation of Beta-Pricing Models

The Review of financial studies, 1992-01, Vol.5 (1), p.1-33

Shanken, Jay

1992

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Mutual fund performance with learning across funds

Journal of financial economics, 2005-12, Vol.78 (3), p.507-552

2005

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Book-to-market, dividend yield, and expected market returns: A time-series analysis

Journal of financial economics, 1997-05, Vol.44 (2), p.169-203

1997

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Intertemporal asset pricing: An Empirical Investigation

Journal of econometrics, 1990-07, Vol.45 (1), p.99-120

Shanken, Jay

1990

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Another Look at the Cross-section of Expected Stock Returns

The Journal of finance (New York), 1995-03, Vol.50 (1), p.185-224

1995

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Another Look at the Cross-Section of Expected Stock Returns

The Journal of finance (New York), 1995-03, Vol.50 (1), p.185

1995

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Comparing Asset Pricing Models

NBER Working Paper Series, 2015-12, p.21771

2015

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Which Alpha?

NBER Working Paper Series, 2015-11, p.21698

2015

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Economic forces and the stock market revisited

Journal of empirical finance, 2006-03, Vol.13 (2), p.129-144

2006

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The Current State of the Arbitrage Pricing Theory

The Journal of finance (New York), 1992-09, Vol.47 (4), p.1569-1574

SHANKEN, JAY

1992

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Lack of timeliness and noise as explanations for the low contemporaneous return - earnings association

Journal of accounting & economics, 1994-11, Vol.18 (3), p.289-324

1994

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Problems in measuring portfolio performance An application to contrarian investment strategies

Journal of financial economics, 1995-05, Vol.38 (1), p.79-107

1995

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Multivariate tests of the zero-beta CAPM

Journal of financial economics, 1985-01, Vol.14 (3), p.327-348

Shanken, Jay

1985

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Multivariate proxies and asset pricing relations: Living with the Roll critique

Journal of financial economics, 1987-03, Vol.18 (1), p.91-110

Shanken, Jay

1987

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Asset Allocation with Inflation-Protected Bonds

Financial analysts journal, 2004-01, Vol.60 (1), p.54-70

2004

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Time-series coefficient variation in value-relevance regressions: a discussion of Core, Guay, and Van Buskirk and new evidence

Journal of accounting & economics, 2003, Vol.34 (1), p.69-87

2003

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Comparing Asset Pricing Models

Which Alpha?

Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology

A skeptical appraisal of asset pricing tests

Model Comparison with Sharpe Ratios

Estimating and testing beta pricing models: Alternative methods and their performance in simulations

Learning, Asset-Pricing Tests, and Market Efficiency

A Test of the Efficiency of a Given Portfolio

Payout yield, risk, and mispricing: A Bayesian analysis

On the Estimation of Beta-Pricing Models

Mutual fund performance with learning across funds

Book-to-market, dividend yield, and expected market returns: A time-series analysis

Intertemporal asset pricing: An Empirical Investigation

Another Look at the Cross-section of Expected Stock Returns

Another Look at the Cross-Section of Expected Stock Returns

Comparing Asset Pricing Models

Which Alpha?

Economic forces and the stock market revisited

The Current State of the Arbitrage Pricing Theory

Lack of timeliness and noise as explanations for the low contemporaneous return - earnings association

Problems in measuring portfolio performance An application to contrarian investment strategies

Multivariate tests of the zero-beta CAPM

Multivariate proxies and asset pricing relations: Living with the Roll critique

Asset Allocation with Inflation-Protected Bonds

Time-series coefficient variation in value-relevance regressions: a discussion of Core, Guay, and Van Buskirk and new evidence

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