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Publications Influence

On the Estimation of Beta-Pricing Models

- J. Shanken
- Economics
- 1992

An integrated econometric view of maximum likelihood methods and more traditional two-pass approaches to estimating beta-pricing models is presented. Several aspects of the well-known… Expand

1,402 163- PDF

A Test of the Efficiency of a Given Portfolio

- M. R. Gibbons, S. A. Ross, J. Shanken
- Mathematics
- 1 September 1989

A test for the ex ante efficiency of a given portfolio of assets is analyzed. The relevant statistic has a tractable small sample distribution. Its power function is derived and used to study the… Expand

1,726 129- PDF

A Skeptical Appraisal of Asset-Pricing Tests

- J. Lewellen, S. Nagel, J. Shanken
- Economics
- 1 July 2006

It has become standard practice in the cross-sectional asset pricing literature to evaluate models based on how well they explain average returns on size-B/M portfolios, something many models seem to… Expand

1,028 102- PDF

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

- D. Collins, S. Kothari, J. Shanken, Richard G. Sloan
- Economics
- 1 November 1994

We assess earnings lack of timeliness and value- irrelevant noise in earnings as explanations for the weak contemporaneous return-earnings association. Earnings lack timeliness because objectivity,… Expand

423 50

Intertemporal asset pricing: An Empirical Investigation

- J. Shanken
- Economics, Mathematics
- 1 July 1990

Abstract The conditional efficiency of an unspecified portfolio of a value-weighted stock index and a long-term government bond index is rejected in a framework that permits the factor risk-premia,… Expand

558 40

Multivariate tests of the zero-beta CAPM

- J. Shanken
- Economics
- 1 September 1985

Abstract A ‘cross-sectional regression test’ (CSRT) of the CAPM is developed and its connection to the Hotelling T2 test of multivariate statistical analysis is explored. Algebraic relations between… Expand

404 36- PDF

Another Look at the Cross-section of Expected Stock Returns

- S. Kothari, J. Shanken, Richard G. Sloan
- Economics
- 1 March 1995

Our examination of the cross-section of expected returns reveals economically and statistically significant compensation (about 6 to 9 percent per annum) for beta risk when betas are estimated from… Expand

1,022 35- PDF

Book-to-Market, Dividend Yield, and Expected Market Returns: A Time-Series Analysis

- S. Kothari, J. Shanken
- Economics
- 1 May 1997

We find reliable evidence that both dividend yield and book-to-market (B/M) track time-series variation in expected real one-year stock returns over the period 1926-91 and the subperiod 1941-91. The… Expand

666 35

Comparing Asset Pricing Models

- Francisco Barillas, J. Shanken
- Economics
- 1 December 2015

A Bayesian asset-pricing test is derived that is easily computed in closed-form from the standard F-statistic. Given a set of candidate traded factors, we develop a related test procedure that… Expand

92 29- PDF

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

- R. Kan, C. Robotti, J. Shanken
- Mathematics, Economics
- 22 March 2009

Since Black, Jensen, and Scholes (1972) and Fama and MacBeth (1973), the two-pass cross-sectional regression (CSR) methodology has become the most popular approach for estimating and testing asset… Expand

215 27- PDF