Economic Forces and the Stock Market Revisited

By Jay Shanken, Mark I. Weinstein. 2006

156 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/cb826d377a1a62120f230bcf53187b81a24ec03d

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Amit Goyal
2. Beatriz García Osma
3. Fernando Penalva
4. Juan Manuel García Lara
5. Söhnke M. Bartram
6. Gordon M. Bodnar
7. Jay Shanken
8. J. Gonzalo

In Finance

1. Amit Goyal
2. Söhnke M. Bartram
3. Gordon M. Bodnar
4. Jay Shanken
5. Beatriz García Osma
6. J. Gonzalo
7. Juan Manuel García Lara
8. Guofu Zhou

Citations in the corpus

• Estimating and Testing Beta Pricing Models: Alternative Methods and their Performance in Simulations (2007, background): “As noted in Shanken and Weinstein (2006), the latter restriction is implied whenever the factors are spread portfolio returns.”
• Detecting big structural breaks in large factor models (2014, background): “1980 (second oil price shock), rather than 1984, which is the only candidate considered by Stock and Watson (2009) as a potential break date in their empirical application with the same data set.”
• Crossing the Lines: The Conditional Relation between Exchange Rate Exposure and Stock Returns in Emerging and Developed Markets (2012, result): “While an adjustment of the standard errors following Shanken and Weinstein (2006) is not obvious given that our sample spans several countries, the effect on the results is small and does not change any of the conclusions.”
• Empirical cross-sectional asset pricing: a survey (2011, background): “Their finding is, however, debated by Shanken and Weinstein (2006).”
• Conditional Risk and Performance Evaluation: Volatility Timing, Overconditioning, and New Estimates of Momentum Alphas (2011, unknown): “…difference in alpha is obtained when using one-sided (backward only) vs. 20A somewhat different point regarding the calculation of betas is made by Shanken and Weinstein (2006), who show that using pre-ranking versus post-ranking betas leads to different conclusions regarding the validity of the…”
• Conditional conservatism and cost of capital (2011, background): “The fact that AMC is significant indicates that AMC is likely to be priced (Shanken and Weinstein 2006).”
• Is Accruals Quality a Priced Risk Factor (2008, unknown): “The lack of a significant risk premium suggests that AQ is unlikely to be priced (Shanken and Weinstein, 2006).”