Jay Shanken

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  • Goizueta Chair in Finance
  • Phone: 404-727-4772

Mailing Address:

1300 Clifton Road
Atlanta, GA 30322


Professor Shanken has research interests primarily in the investment/capital markets side of finance with emphasis on the application of sophisticated econometric methods. His teaching interests include capital budgeting, managerial finance, and investment management. Prior to joining Emory University in the summer of 2002, he was Frontier Corporation Professor of Finance at the University of Rochester. Professor Shanken began his teaching career at the University of California, Berkeley and has also been a visiting professor at Yale University. Before teaching, he spent time as a systems analyst at Sandia Laboratories in New Mexico working on security for nuclear plants.


  • Payout Yield, Risk, and Mispricing: A Bayesian Analysis (joint with Ane Tamayo), Journal of Financial Economics 105, 2012.
  • A Skeptical Appraisal of Asset-Pricing Tests (joint with J. Lewellen and S. Nagel), Journal of Financial Economics 96, 2010.
  • Estimating and Testing Beta Pricing Models:  Alternative Methods and Their Performance in Simulations (joint with Guofu Zhou), Journal of Financial Economics 84, 2007.
  • Mutual Fund Performance and Asset Allocation with Learning Across Funds (joint with Chris Jones), Journal of Financial Economics, 2005.
  • Learning, asset-pricing tests, and market efficiency (joint with Jon Lewellen), Journal of Finance, June 2002.
  • Book-to-market, Dividend Yield, and Expected Market Returns: A Time-series Analysis (joint with S.P. Kothari), Journal of Financial Economics, May 1997.
  • Another Look at the Cross-section of Expected Returns (joint with S.P. Kothari and Richard Sloan), Journal of Finance, March 1995.
  • Problems in Measuring Portfolio Performance: An Application to Contrarian Investment Strategies (joint with Ray Ball and S.P. Kothari), Journal of Financial Economics, May 1995.
  • On the Estimation of Beta-Pricing Models, Review of Financial Studies 5, Number 1, 1992.
  • A Test of the Efficiency of a Given Portfolio (joint with Michael Gibbons and Stephen Ross), Econometrica, September 1989.

Working Papers

  • Cross-Sectional Asset Pricing with Individual Stocks: Betas versus Characteristics, 2011, joint with Tarun Chordia and Amit Goyal.
  • Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology, joint with Raymond Kan and Cesare Robotti, 2011.

Areas of Specialization

  • Theory and testing of asset-pricing models and market efficiency
  • The predictability of stock returns
  • Asset allocation and portfolio management
  • Investment performance evaluation
  • Bayesian econometrics

Achievements and Honors

  • Selected by Poets & Quants as one of the World's 50 Best Business School Professors, 2012.
  • Fama/DFA 2nd Prize for Capital Markets and Asset Pricing ¿ Journal of Financial Economics best papers contest, 2010.
  • Financial Analysts Journal Graham & Dodd Scroll Award, 2004.
  • Financial Management Association Competitive Paper Award, best paper in Investments, 2003.
  • Ranked 45th in a study of the most cited authors in the JF, JFE, and JFQA during 1974-1998.
  • Institute for Quantitative Research in Finance, Roger F. Murray Prize, 1996 and 1999.
  • Southern Finance Association Outstanding Paper on Investments, 1995.
  • Review of Financial Studies Best Paper Award, 1992.
  • Elected to Beta Gamma Sigma, 1991.
  • Batterymarch Fellow, 1986-1987.

Memberships and Activities

  • Research Associate, National Bureau of Economic Research Program on Asset Pricing (1997-present).
  • Advisory Editor: Journal of Financial Economics (2000-present).
  • Associate Editor: Review of Quantitative Finance and Accounting (1997-present), International Journal of Portfolio Analysis & Management.
  • Previously Associate Editor for: Journal of Finance (1990-2000), Journal of Financial Economics (1987-1999), Review of Financial Studies, Journal of Financial and Quantitative Analysis.
  • Has chaired sessions and served on program committees of the American Finance Association and Western Finance Association.

Selected Consulting Clients

  • Morgan Stanley
  • Barra, Inc.
  • Barclays Capital
  • Acadian Asset Management
  • Treynor-Arbit Associates


  • Ph.D. Economics , Carnegie-Mellon University , Pittsburgh, PA 1983
  • Master's Science in Economics , Carnegie-Mellon University , Pittsburgh, PA
  • Master's Arts in Mathematics, Cornell University, Ithaca, NY 1976
  • Bachelor's Science in Mathematics, SUNY at Stony Brook, Stony Brook, NY 1973