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1

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

S.P. Kothari, Jay Shanken

Journal:

Journal of Financial Economics

Year:

1997

Language:

english

File:

PDF, 2.92 MB

english, 1997

2

Which Alpha?

Barillas, Francisco, Shanken, Jay

Journal:

Review of Financial Studies

Year:

2017

Language:

english

File:

PDF, 778 KB

english, 2017

3

Comparing Asset Pricing Models

BARILLAS, FRANCISCO, SHANKEN, JAY

Journal:

The Journal of Finance

Year:

2018

Language:

english

File:

PDF, 1.45 MB

english, 2018

4

A Test of the Efficiency of a Given Portfolio

Gibbons, Michael R., Ross, Stephen A., Shanken, Jay

Journal:

Year:

1989

Language:

english

File:

PDF, 754 KB

english, 1989

5

Another Look at the Cross-Section of Expected Stock Returns

S. P. Kothari, Jay Shanken and Richard G. Sloan

Journal:

The Journal of Finance

Year:

1995

Language:

english

File:

PDF, 713 KB

english, 1995

6

Problems in measuring portfolio performance An application to contrarian investment strategies

Ray Ball, S.P. Kothari, Jay Shanken

Journal:

Journal of Financial Economics

Year:

1995

Language:

english

File:

PDF, 1.88 MB

english, 1995

7

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

KAN, RAYMOND, ROBOTTI, CESARE, SHANKEN, JAY

Journal:

The Journal of Finance

Year:

2013

Language:

english

File:

PDF, 519 KB

english, 2013

8

On the Estimation of Beta-Pricing Models

Journal:

Review of Financial Studies

Year:

1992

Language:

english

File:

PDF, 790 KB

english, 1992

9

Model Comparison with Sharpe Ratios

Barillas, Francisco, Kan, Raymond, Robotti, Cesare, Shanken, Jay

Journal:

Journal of Financial and Quantitative Analysis

Year:

2019

Language:

english

File:

PDF, 618 KB

english, 2019

10

Another Look at the Cross-section of Expected Stock Returns

KOTHARI, S. P., SHANKEN, JAY, SLOAN, RICHARD G.

Journal:

The Journal of Finance

Year:

1995

Language:

english

File:

PDF, 2.29 MB

english, 1995

11

FUNDAMENTALS LARGELY EXPLAIN STOCK PRICE VOLATILITY

Kothari, S. P., Shanken, Jay

Journal:

Journal of Applied Corporate Finance

Year:

1993

Language:

english

File:

PDF, 153 KB

english, 1993

12

Intertemporal asset pricing: An Empirical Investigation

Journal:

Journal of Econometrics

Year:

1990

Language:

english

File:

PDF, 1.34 MB

english, 1990

13

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

Jay Shanken, Guofu Zhou

Journal:

Journal of Financial Economics

Year:

2007

Language:

english

File:

PDF, 415 KB

english, 2007

14

Economic forces and the stock market revisited

Jay Shanken, Mark I. Weinstein

Journal:

Journal of Empirical Finance

Year:

2006

Language:

english

File:

PDF, 167 KB

english, 2006

15

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

RAYMOND KAN, CESARE ROBOTTI and JAY SHANKEN

Journal:

The Journal of Finance

Year:

2013

Language:

english

File:

PDF, 2.89 MB

english, 2013

16

A skeptical appraisal of asset pricing tests

Jonathan Lewellen, Stefan Nagel, Jay Shanken

Journal:

Journal of Financial Economics

Year:

2010

Language:

english

File:

PDF, 655 KB

english, 2010

17

A Bayesian approach to testing portfolio efficiency

Journal:

Journal of Financial Economics

Year:

1987

Language:

english

File:

PDF, 1.37 MB

english, 1987

18

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

Journal:

Journal of Financial Economics

Year:

1987

Language:

english

File:

PDF, 1.23 MB

english, 1987

19

IN DEFENSE OF BETA

S. P. Kothari, Jay Shanken

Journal:

Journal of Applied Corporate Finance

Year:

1995

Language:

english

File:

PDF, 123 KB

english, 1995

20

Asset Allocation with Inflation-Protected Bonds

S. P. Kothari and Jay Shanken

Journal:

Financial Analysts Journal

Year:

2004

Language:

english

File:

PDF, 3.78 MB

english, 2004

21

The Arbitrage Pricing Theory: Is it Testable?

Journal:

The Journal of Finance

Year:

1982

Language:

english

File:

PDF, 285 KB

english, 1982

22

Cross-Sectional Asset Pricing with Individual Stocks: Betas versus Characteristics

Chordia, Tarun, Goyal, Amit, Shanken, Jay A.

Journal:

SSRN Electronic Journal

Year:

2015

Language:

english

File:

PDF, 290 KB

english, 2015

23

Learning, Asset-Pricing Tests, and Market Efficiency

Jonathan Lewellen, Jay Shanken

Journal:

The Journal of Finance

Year:

2002

Language:

english

File:

PDF, 212 KB

english, 2002

24

Multi-Beta CAPM or Equilibrium-APT?: A Reply

Journal:

The Journal of Finance

Year:

1985

Language:

english

File:

PDF, 234 KB

english, 1985

25

Stock return variation and expected dividends: A time-series and cross-sectional analysis

S.P. Kothari, Jay Shanken

Journal:

Journal of Financial Economics

Year:

1992

Language:

english

File:

PDF, 3.95 MB

english, 1992

26

Mutual fund performance with learning across funds

Christopher S. Jones, Jay Shanken

Journal:

Journal of Financial Economics

Year:

2005

Language:

english

File:

PDF, 462 KB

english, 2005

27

Payout yield, risk, and mispricing: A Bayesian analysis

Jay Shanken, Ane Tamayo

Journal:

Journal of Financial Economics

Year:

2012

Language:

english

File:

PDF, 599 KB

english, 2012

28

Multivariate tests of the zero-beta CAPM

Journal:

Journal of Financial Economics

Year:

1985

Language:

english

File:

PDF, 1.37 MB

english, 1985

29

Subperiod aggregation and the power of multivariate tests of portfolio efficiency

Michael R. Gibbons, Jay Shanken

Journal:

Journal of Financial Economics

Year:

1987

Language:

english

File:

PDF, 391 KB

english, 1987

30

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

S.P Kothari, Jay Shanken

Journal:

Journal of Accounting and Economics

Year:

2003

Language:

english

File:

PDF, 159 KB

english, 2003

31

Implications of Capital Markets Research for Corporate Finance

Jay Shanken and Clifford W. Smith

Journal:

Financial Management

Year:

1996

Language:

english

File:

PDF, 1.34 MB

english, 1996

32

Multi-Beta CAPM or Equilibrium-APT?: A Reply

Journal:

The Journal of Finance

Year:

1985

Language:

english

File:

PDF, 594 KB

english, 1985

33

Nonsynchronous Data and the Covariance-Factor Structure of Returns

Journal:

The Journal of Finance

Year:

1987

Language:

english

File:

PDF, 287 KB

english, 1987

34

On the Exclusion of Assets from Tests of the Mean Variance Efficiency of the Market Portfolio: An Extension

Journal:

The Journal of Finance

Year:

1986

Language:

english

File:

PDF, 293 KB

english, 1986

35

Testing Portfolio Efficiency when the Zero-Beta Rate is Unknown: A Note

Journal:

The Journal of Finance

Year:

1986

Language:

english

File:

PDF, 311 KB

english, 1986

36

Learning, Asset-Pricing Tests, and Market Efficiency

Jonathan Lewellen and Jay Shanken

Journal:

The Journal of Finance

Year:

2002

Language:

english

File:

PDF, 755 KB

english, 2002

37

The Current State of the Arbitrage Pricing Theory

Journal:

The Journal of Finance

Year:

1992

Language:

english

File:

PDF, 254 KB

english, 1992

38

Model Comparison with Sharpe Ratios

Barillas, Francisco, Kan, Raymond, Robotti, Cesare, Shanken, Jay A.

Journal:

SSRN Electronic Journal

Year:

2017

Language:

english

File:

PDF, 404 KB

english, 2017

39

Estimation Risk, Market Efficiency, and the Predictability of Returns

Shanken, Jay A., Lewellen, Jonathan W.

Journal:

SSRN Electronic Journal

Year:

2000

Language:

english

File:

PDF, 173 KB

english, 2000

40

Dividend Yield, Risk, and Mispricing: A Bayesian Analysis

Shanken, Jay A., Tamayo, Ane Miren

Journal:

SSRN Electronic Journal

Year:

2004

Language:

english

File:

PDF, 1.46 MB

english, 2004

41

[Handbook of Statistics] Statistical Methods in Finance Volume 14 || 23 Statistical methods in tests of portfolio efficiency: A synthesis

Year:

1996

Language:

english

File:

PDF, 1.11 MB

english, 1996

42

Asset Allocation with Inflation-Protected Bonds

Kothari, S.P., Shanken, Jay

Journal:

Financial Analysts Journal

Year:

2004

File:

PDF, 1.06 MB

2004

43

Comparing Asset Pricing Models

Barillas, Francisco, Shanken, Jay A.

Journal:

SSRN Electronic Journal

Year:

2015

Language:

english

File:

PDF, 3.90 MB

english, 2015

44

Asset Allocation with Inflation-Protected Bonds

Kothari, S.P., Shanken, Jay

Journal:

Financial Analysts Journal

Year:

2004

Language:

english

File:

PDF, 1.06 MB

english, 2004

45

Estimating and Testing Beta Pricing Models: Alternative Methods and Their Performance in Simulations

Shanken, Jay A., Zhou, Guofu

Journal:

SSRN Electronic Journal

Year:

2006

Language:

english

File:

PDF, 444 KB

english, 2006

46

Mutual Fund Performance with Learning Across Funds

Jones, Christopher S., Shanken, Jay A.

Journal:

SSRN Electronic Journal

Year:

2003

Language:

english

File:

PDF, 679 KB

english, 2003

47

A Skeptical Appraisal of Asset Pricing Tests

Lewellen, Jonathan W., Nagel, Stefan, Shanken, Jay A.

Journal:

SSRN Electronic Journal

Year:

2008

Language:

english

File:

PDF, 342 KB

english, 2008

48

Which Alpha?

Barillas, Francisco, Shanken, Jay A.

Journal:

SSRN Electronic Journal

Year:

2015

Language:

english

File:

PDF, 2.42 MB

english, 2015

49

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

Kan, Raymond, Robotti, Cesare, Shanken, Jay A.

Journal:

SSRN Electronic Journal

Year:

2012

Language:

english

File:

PDF, 670 KB

english, 2012