Jay Shanken

14.3k total citations · 7 hit papers
59 papers, 9.6k citations indexed

About

Jay Shanken is a scholar working on Finance, Economics and Econometrics and General Economics, Econometrics and Finance. According to data from OpenAlex, Jay Shanken has authored 59 papers receiving a total of 9.6k indexed citations (citations by other indexed papers that have themselves been cited), including 54 papers in Finance, 36 papers in Economics and Econometrics and 22 papers in General Economics, Econometrics and Finance. Recurrent topics in Jay Shanken's work include Financial Markets and Investment Strategies (52 papers), Housing Market and Economics (25 papers) and Monetary Policy and Economic Impact (22 papers). Jay Shanken is often cited by papers focused on Financial Markets and Investment Strategies (52 papers), Housing Market and Economics (25 papers) and Monetary Policy and Economic Impact (22 papers). Jay Shanken collaborates with scholars based in United States, United Kingdom and Australia. Jay Shanken's co-authors include S.P. Kothari, Michael R. Gibbons, Stephen A. Ross, Jonathan Lewellen, Richard G. Sloan, Stefan Nagel, Francisco Barillas, Guofu Zhou, Daniel W. Collins and Raymond Kan and has published in prestigious journals such as The Journal of Finance, Journal of Financial Economics and Econometrica.

In The Last Decade

Jay Shanken

59 papers receiving 8.6k citations

Hit Papers

A Test of the Efficiency of a Given Portfolio 1989 2026 2001 2013 1989 1992 2009 1995 1997 500 1000 1.5k
What are hit papers?

Hit papers significantly outperform the citation benchmark for their cohort. A paper qualifies if it has ≥500 total citations, achieves ≥1.5× the top-1% citation threshold for papers in the same subfield and year (this is the minimum needed to enter the top 1%, not the average within it), or reaches the top citation threshold in at least one of its specific research topics.

  1. A Test of the Efficiency of a Given Portfolio
    1989 1.6k citations Michael R. Gibbons, Stephen A. Ross et al. Econometrica profile →
  2. On the Estimation of Beta-Pricing Models
    1992 1.1k citations Jay Shanken Review of Financial Studies profile →
  3. A skeptical appraisal of asset pricing tests☆
    2009 832 citations Jonathan Lewellen, Jay Shanken et al. Journal of Financial Economics profile →
  4. Another Look at the Cross‐section of Expected Stock Returns
    1995 694 citations S.P. Kothari, Jay Shanken et al. The Journal of Finance profile →
  5. Book-to-market, dividend yield, and expected market returns: A time-series analysis
    1997 513 citations S.P. Kothari, Jay Shanken Journal of Financial Economics profile →
  6. Comparing Asset Pricing Models
    2018 247 citations Jay Shanken et al. The Journal of Finance profile →
  7. Which Alpha?
    2016 231 citations Jay Shanken et al. Review of Financial Studies profile →

Peers — A (Enhanced Table)

Peers by citation overlap · career bar shows stage (early→late) cites · hero ref

Name h Career Trend Papers Cites
Jay Shanken United States 34 8.7k 4.8k 3.7k 2.2k 1.5k 59 9.6k
Martin Lettau United States 34 8.3k 1.0× 6.2k 1.3× 3.2k 0.9× 3.3k 1.5× 1.1k 0.7× 79 10.1k
Wayne E. Ferson United States 43 9.0k 1.0× 5.6k 1.2× 3.1k 0.9× 3.0k 1.4× 774 0.5× 94 10.0k
Lawrence Harris United States 30 6.7k 0.8× 3.8k 0.8× 3.3k 0.9× 900 0.4× 556 0.4× 46 7.5k
Joel Hasbrouck United States 37 9.1k 1.0× 5.9k 1.2× 3.9k 1.1× 1.9k 0.9× 557 0.4× 66 10.2k
Bruno Solnik France 33 7.7k 0.9× 5.9k 1.2× 2.0k 0.5× 3.1k 1.4× 481 0.3× 86 9.1k
Marshall E. Blume United States 32 5.1k 0.6× 2.9k 0.6× 2.8k 0.7× 783 0.4× 885 0.6× 67 6.1k
Donald B. Keim United States 32 7.3k 0.8× 4.2k 0.9× 4.1k 1.1× 1.3k 0.6× 1.0k 0.7× 72 8.4k
Russ Wermers United States 32 9.2k 1.1× 4.3k 0.9× 6.9k 1.9× 703 0.3× 909 0.6× 89 10.3k
Joseph Chen United States 18 5.8k 0.7× 3.2k 0.7× 3.5k 0.9× 718 0.3× 634 0.4× 23 6.7k
Tarun Chordia United States 47 12.7k 1.5× 6.7k 1.4× 6.8k 1.8× 1.6k 0.7× 1.3k 0.8× 122 13.8k

Countries citing papers authored by Jay Shanken

Since Specialization
Citations

This map shows the geographic impact of Jay Shanken's research. It shows the number of citations coming from papers published by authors working in each country. You can also color the map by specialization and compare the number of citations received by Jay Shanken with the expected number of citations based on a country's size and research output (numbers larger than one mean the country cites Jay Shanken more than expected).

Fields of papers citing papers by Jay Shanken

Since Specialization
Physical SciencesHealth SciencesLife SciencesSocial Sciences

This network shows the impact of papers produced by Jay Shanken. Nodes represent research fields, and links connect fields that are likely to share authors. Colored nodes show fields that tend to cite the papers produced by Jay Shanken. The network helps show where Jay Shanken may publish in the future.

Co-authorship network of co-authors of Jay Shanken

This figure shows the co-authorship network connecting the top 25 collaborators of Jay Shanken. A scholar is included among the top collaborators of Jay Shanken based on the total number of citations received by their joint publications. Widths of edges represent the number of papers authors have co-authored together. Node borders signify the number of papers an author published with Jay Shanken. Jay Shanken is excluded from the visualization to improve readability, since they are connected to all nodes in the network.

All Works

20 of 20 papers shown
1.
Shanken, Jay & Guofu Zhou. (2006). Estimating and Testing Beta Pricing Models: Alternative Methods and Their Performance in Simulations. SSRN Electronic Journal. 59 indexed citations
2.
Shanken, Jay & Mark Weinstein. (2006). Economic forces and the stock market revisited. Journal of Empirical Finance. 13(2). 129–144. 89 indexed citations
3.
Shanken, Jay, et al.. (2005). Mutual fund performance with learning across funds. Journal of Financial Economics. 78(3). 507–552. 104 indexed citations
4.
Kothari, S.P. & Jay Shanken. (2004). Asset Allocation with Inflation-Protected Bonds. Financial Analysts Journal. 60(1). 54–70. 56 indexed citations
5.
Kothari, S.P. & Jay Shanken. (2004). Asset Allocation with Inflation-Protected Bonds. 6 indexed citations
6.
Shanken, Jay & Ane Tamayo. (2004). Dividend Yield, Risk, and Mispricing: A Bayesian Analysis. SSRN Electronic Journal. 12 indexed citations
7.
Kothari, S.P., et al.. (2002). Asset Allocation with Conventional and Indexed Bonds. 2 indexed citations
8.
Kothari, S.P. & Jay Shanken. (2002). Time-series Coefficient Variation in Value-Relevance Regressions: A Discussion of Core, Guay, and Van Buskirk and New Evidence. RePEc: Research Papers in Economics. 4 indexed citations
9.
Shanken, Jay & Jonathan Lewellen. (2000). Estimation Risk, Market Efficiency, and the Predictability of Returns. SSRN Electronic Journal. 3 indexed citations
10.
Collins, Daniel W., S.P. Kothari, Jay Shanken, & Richard G. Sloan. (1998). Lack of Timeliness and Noise as Explanations for the Low Contemporaneous Return-Earnings Association. 70 indexed citations
11.
Kothari, S.P. & Jay Shanken. (1998). Beta and Book-to-Market: Is the Glass Half Full or Half Empty?. SSRN Electronic Journal. 9 indexed citations
12.
Kothari, S.P. & Jay Shanken. (1992). Stock return variation and expected dividends. Journal of Financial Economics. 31(2). 177–210. 121 indexed citations
13.
Shanken, Jay. (1992). On the Estimation of Beta-Pricing Models. Review of Financial Studies. 5(1). 1–33. 1147 indexed citations breakdown →
14.
Gibbons, Michael R., Stephen A. Ross, & Jay Shanken. (1989). A Test of the Efficiency of a Given Portfolio. Econometrica. 57(5). 1121–1121. 1646 indexed citations breakdown →
15.
Shanken, Jay. (1987). Nonsynchronous Data and the Covariance-Factor Structure of Returns. The Journal of Finance. 42(2). 221–221. 13 indexed citations
16.
Shanken, Jay. (1987). Multivariate proxies and asset pricing relations. Journal of Financial Economics. 18(1). 91–110. 164 indexed citations
17.
Shanken, Jay. (1985). Multi-Beta CAPM or Equilibrium-APT?: A Reply. The Journal of Finance. 40(4). 1189–1189. 27 indexed citations
18.
Shanken, Jay. (1985). Multi‐Beta CAPM or Equilibrium‐APT?: A Reply. The Journal of Finance. 40(4). 1189–1196. 75 indexed citations
19.
Shanken, Jay. (1982). The Arbitrage Pricing Theory: Is it Testable?. The Journal of Finance. 37(5). 1129–1129. 37 indexed citations
20.
Shanken, Jay. (1982). The Arbitrage Pricing Theory: Is it Testable?. The Journal of Finance. 37(5). 1129–1140. 151 indexed citations

Rankless uses publication and citation data sourced from OpenAlex, an open and comprehensive bibliographic database. While OpenAlex provides broad and valuable coverage of the global research landscape, it—like all bibliographic datasets—has inherent limitations. These include incomplete records, variations in author disambiguation, differences in journal indexing, and delays in data updates. As a result, some metrics and network relationships displayed in Rankless may not fully capture the entirety of a scholar's output or impact.

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