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Jay Shanken

Global rank #919 98%

Institution: National Bureau of Economic Research (NBER)

Primary Field: Finance (weighted toward more recent publications)

Homepage: http://www.goizueta.emory.edu/faculty/JayShanken/

First Publication: 1982

Most Recent: 2020

RePEc ID: psh114 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.01: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total
Last 5 Years 0.00 0.00 0.00 0.00 0.00
Last 10 Years 0.00 2.01 0.50 0.00 4.52
All Time 0.00 32.84 0.50 0.00 66.19

Publication Statistics

Raw Publications 24
Coauthorship-Adjusted Count 33.49

Publications (24)

Year Article Journal Tier Authors
2020 Model Comparison with Sharpe Ratios Journal of Financial and Quantitative Analysis B 4
2018 Comparing Asset Pricing Models Journal of Finance A 2
2017 Which Alpha? The Review of Financial Studies A 2
2013 Pricing Model Performance and the Two‐Pass Cross‐Sectional Regression Methodology Journal of Finance A 3
2012 Payout yield, risk, and mispricing: A Bayesian analysis Journal of Financial Economics A 2
2010 A skeptical appraisal of asset pricing tests Journal of Financial Economics A 3
2007 Estimating and testing beta pricing models: Alternative methods and their performance in simulations Journal of Financial Economics A 2
2005 Mutual fund performance with learning across funds Journal of Financial Economics A 2
1997 Book-to-market, dividend yield, and expected market returns: A time-series analysis Journal of Financial Economics A 2
1995 Problems in measuring portfolio performance An application to contrarian investment strategies Journal of Financial Economics A 3
1995 Another Look at the Cross-Section of Expected Stock Returns. Journal of Finance A 3
1992 Stock return variation and expected dividends : A time-series and cross-sectional analysis Journal of Financial Economics A 2
1992 On the Estimation of Beta-Pricing Models. The Review of Financial Studies A 1
1992 The Current State of the Arbitrage Pricing Theory. Journal of Finance A 1
1990 Intertemporal asset pricing : An Empirical Investigation Journal of Econometrics A 1
1987 Nonsynchronous Data and the Covariance-Factor Structure of Returns. Journal of Finance A 1
1987 Multivariate proxies and asset pricing relations : Living with the Roll critique Journal of Financial Economics A 1
1987 A Bayesian approach to testing portfolio efficiency Journal of Financial Economics A 1
1987 Subperiod aggregation and the power of multivariate tests of portfolio efficiency Journal of Financial Economics A 2
1986 On Exclusion of Assets from Tests of the Mean Variance Efficiency of the Market Portfolio: An Extension. Journal of Finance A 1
1986 Testing Portfolio Efficiency When the Zero-Beta Rate Is Unknown: A Note. Journal of Finance A 1
1985 Multi-Beta CAPM or Equilibrium-APT? A Reply [An Empirical Investigation of the Arbitrage Pricing Theory] [The Arbitrage Pricing Theory: Is It Testable?]. Journal of Finance A 1
1985 Multivariate tests of the zero-beta CAPM Journal of Financial Economics A 1
1982 The Arbitrage Pricing Theory: Is It Testable? Journal of Finance A 1