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Beta and book-to-market : is the glass half full of half empty?

Kothari, S. P.; Shanken, Jay - In: Security market imperfections in worldwide equity markets, (pp. 44-64). 2000

Persistent link: https://www.econbiz.de/10001506405

Estimation risk, market efficiency, and the predictability of returns

Lewellen, Jonathan; Shanken, Jay - 2000

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Another look at the cross-section of expected stock returns

Kothari, S. P. - In: The journal of finance : the journal of the American … 50 (1995) 1, pp. 185-224

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Risk, mispricing, and asset allocation : conditioning on dividend yield

Shanken, Jay; Tamayo, Ane - 2001

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

Kothari, S. P. - In: Journal of financial economics 44 (1997) 2, pp. 169-203

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Mutual fund performance with learning across funds

Jones, Christopher S.; Shanken, Jay - 2002

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Payout yield, risk, and mispricing : a Bayesian analysis

Shanken, Jay; Tamayo, Ane - In: Journal of financial economics 105 (2012) 1, pp. 131-152

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A skeptical appraisal of asset-pricing tests

Lewellen, Jonathan; Nagel, Stefan; Shanken, Jay - 2006

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Mutual fund performance with learning across funds

Jones, Christopher S.; Shanken, Jay - In: Journal of financial economics 78 (2005) 3, pp. 507-552

Persistent link: https://www.econbiz.de/10003228836

Mutual Fund Performance with Learning Across Funds

Jones, Christopher S. - 2002

This paper is based on the premise that knowledge about the alphas of one set of funds will influence an investor's beliefs about other funds. This will be true insofar as an investor's expectation about the performance of a fund is partly a belief about the abilities of mutual fund managers as...

Persistent link: https://www.econbiz.de/10012469311