Biography
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.

Selected Publications

• A Skeptical Appraisal of Asset-Pricing Tests (joint with J. Lewellen and S. Nagel), Journal of Financial Economics, forthcoming 2009.
• 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
• Stock Return Variation and Expected Dividends: A Time Series and Cross-sectional Analysis (joint with S. P. Kothari), Journal of Financial Economics, April 1992
• 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

• Risk, Mispricing, and Asset Allocation: Conditioning on Dividend Yield, joint with Ane Tamayo.
• Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology, joint with Raymond Kan and Cesare Robotti, 2008.

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

• Financial Analysts Journal Graham & Dodd Scroll Award, 2004.
• Financial Management Association Competitive Paper Award, best paper in Investments, 2003.
• Management and Research, 2000. Monograph on “Anomalies and Asset Allocation.
• 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.
• Berkeley Finance Seminar Series: Best Speaker Prize, 1983.

Professional 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).
• 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
• Arcadian Asset Management
• Treynor-Arbit Associates

Academic Background
PhD, Economics, Carnegie-Mellon University, 1983
MS, Economics, Carnegie-Mellon University, 1980
MA, Mathematics, Cornell University, 1976
BS, Mathematics, SUNY at Stony Brook, 1973