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Stambaugh, Robert F.'s
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
30,309 |
Total
Citations
2,007 |
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1.
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Are Stocks Really Less Volatile in the Long Run?
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Pastor, Lubos
University of Chicago - Booth School of Business Stambaugh, Robert F.
University of Pennsylvania - The Wharton School
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Posted:
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26 May 08
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Last Revised:
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13 Dec 11
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9,930
(151)
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25
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Pastor, Lubos
University of Chicago - Booth School of Business Stambaugh, Robert F.
University of Pennsylvania - The Wharton School
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9
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25
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long-run, risk, stock, variance
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Pastor, Lubos
University of Chicago - Booth School of Business Stambaugh, Robert F.
University of Pennsylvania - The Wharton School
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94
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25
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Pastor, Lubos
University of Chicago - Booth School of Business Stambaugh, Robert F.
University of Pennsylvania - The Wharton School
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26 May 08
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Last Revised:
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13 Dec 11
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9,827
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25
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stock, volatility, target-date funds, Bayesian, predictive system, predictive variance
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2.
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Geczy, Christopher
University of Pennsylvania - The Wharton School, Finance Department Stambaugh, Robert F.
University of Pennsylvania - The Wharton School Levin, David
University of Pennsylvania - The Wharton School
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4,100
(784)
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52
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socially responsible investing, mutual funds, portfolio selection
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3.
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Liquidity Risk and Expected Stock Returns
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Pastor, Lubos
University of Chicago - Booth School of Business Stambaugh, Robert F.
University of Pennsylvania - The Wharton School
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Posted:
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17 Aug 01
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Last Revised:
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13 Dec 11
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3,454
(1,072)
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708
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Pastor, Lubos
University of Chicago - Booth School of Business Stambaugh, Robert F.
University of Pennsylvania - The Wharton School
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30
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704
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Asset pricing, liquidity risk, expected returns
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Pastor, Lubos
University of Chicago - Booth School of Business Stambaugh, Robert F.
University of Pennsylvania - The Wharton School
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69
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704
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Pastor, Lubos
University of Chicago - Booth School of Business Stambaugh, Robert F.
University of Pennsylvania - The Wharton School
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3,355
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701
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Asset pricing, liquidity risk, expected returns
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4.
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The Short of it: Investor Sentiment and Anomalies
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Stambaugh, Robert F.
University of Pennsylvania - The Wharton School Yu, Jianfeng
University of Minnesota Yuan, Yu
Shanghai Advanced Institute of Finance
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Posted:
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15 Mar 10
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Last Revised:
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11 Mar 12
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2,781
(1,558)
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22
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Stambaugh, Robert F.
University of Pennsylvania - The Wharton School Yu, Jianfeng
University of Minnesota Yuan, Yu
Shanghai Advanced Institute of Finance
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59
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Stambaugh, Robert F.
University of Pennsylvania - The Wharton School Yu, Jianfeng
University of Minnesota Yuan, Yu
Shanghai Advanced Institute of Finance
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| Posted: |
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15 Mar 10
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Last Revised:
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11 Mar 12
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2,722
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22
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Investor Sentiment, Anomaly, Short-sale Constraint
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5.
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Predictive Systems: Living with Imperfect Predictors
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Versions (4)
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Pastor, Lubos
University of Chicago - Booth School of Business Stambaugh, Robert F.
University of Pennsylvania - The Wharton School
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Posted:
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12 Jan 07
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Last Revised:
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07 Jul 12
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2,499
(1,910)
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51
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Pastor, Lubos
University of Chicago - Booth School of Business Stambaugh, Robert F.
University of Pennsylvania - The Wharton School
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7
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49
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Pastor, Lubos
University of Chicago - Booth School of Business Stambaugh, Robert F.
University of Pennsylvania - The Wharton School
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3
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51
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Expected stock return, predictability, predictive regression, predictive system, state space model
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Pastor, Lubos
University of Chicago - Booth School of Business Stambaugh, Robert F.
University of Pennsylvania - The Wharton School
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52
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51
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Pastor, Lubos
University of Chicago - Booth School of Business Stambaugh, Robert F.
University of Pennsylvania - The Wharton School
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19 Feb 07
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Last Revised:
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13 Dec 11
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2,437
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51
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predictability, expected stock return, state space model, predictive system, predictive regression, imperfect predictors, Bayesian
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6.
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On the Size of the Active Management Industry
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Versions (4)
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Pastor, Lubos
University of Chicago - Booth School of Business Stambaugh, Robert F.
University of Pennsylvania - The Wharton School
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Posted:
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06 Jan 10
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Last Revised:
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24 Jul 12
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2,336
(2,166)
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13
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Pastor, Lubos
University of Chicago - Booth School of Business Stambaugh, Robert F.
University of Pennsylvania - The Wharton School
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2
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13
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active management, learning, returns to scale
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Pastor, Lubos
University of Chicago - Booth School of Business Stambaugh, Robert F.
University of Pennsylvania - The Wharton School
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23
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13
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Pastor, Lubos
University of Chicago - Booth School of Business Stambaugh, Robert F.
University of Pennsylvania - The Wharton School
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| Posted: |
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13 Jan 10
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Last Revised:
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13 Dec 11
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66
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13
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Pastor, Lubos
University of Chicago - Booth School of Business Stambaugh, Robert F.
University of Pennsylvania - The Wharton School
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| Posted: |
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06 Jan 10
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Last Revised:
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24 Jul 12
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2,245
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13
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active management, returns to scale, learning, mutual funds
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7.
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Pastor, Lubos
University of Chicago - Booth School of Business Stambaugh, Robert F.
University of Pennsylvania - The Wharton School
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1,248
(6,398)
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70
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mutual funds, portfolio selection
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8.
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Evaluating and Investing in Equity Mutual Funds
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Pastor, Lubos
University of Chicago - Booth School of Business Stambaugh, Robert F.
University of Pennsylvania - The Wharton School
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Posted:
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13 Jun 00
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Last Revised:
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13 Dec 11
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926
(10,440)
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69
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Pastor, Lubos
University of Chicago - Booth School of Business Stambaugh, Robert F.
University of Pennsylvania - The Wharton School
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53
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69
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Pastor, Lubos
University of Chicago - Booth School of Business Stambaugh, Robert F.
University of Pennsylvania - The Wharton School
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873
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69
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9.
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Mutual Fund Performance And Seemingly Unrelated Assets
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Versions (2)
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Pastor, Lubos
University of Chicago - Booth School of Business Stambaugh, Robert F.
University of Pennsylvania - The Wharton School
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Posted:
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27 Feb 01
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Last Revised:
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13 Dec 11
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914
(10,666)
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95
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Pastor, Lubos
University of Chicago - Booth School of Business Stambaugh, Robert F.
University of Pennsylvania - The Wharton School
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0
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performance evaluation, mutual funds, Bayesian analysis
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Pastor, Lubos
University of Chicago - Booth School of Business Stambaugh, Robert F.
University of Pennsylvania - The Wharton School
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914
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95
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Performance evaluation; Mutual funds; Bayesian analysis
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10.
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Stambaugh, Robert F.
University of Pennsylvania - The Wharton School Pastor, Lubos
University of Chicago - Booth School of Business
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573
(21,227)
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11.
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The Equity Premium And Structural Breaks
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Stambaugh, Robert F.
University of Pennsylvania - The Wharton School Pastor, Lubos
University of Chicago - Booth School of Business
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Posted:
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27 Oct 98
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Last Revised:
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13 Dec 11
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499
(25,609)
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87
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Pastor, Lubos
University of Chicago - Booth School of Business Stambaugh, Robert F.
University of Pennsylvania - The Wharton School
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53
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87
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Stambaugh, Robert F.
University of Pennsylvania - The Wharton School Pastor, Lubos
University of Chicago - Booth School of Business
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446
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87
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12.
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Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle
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Stambaugh, Robert F.
University of Pennsylvania - The Wharton School Yu, Jianfeng
University of Minnesota Yuan, Yu
Shanghai Advanced Institute of Finance
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Posted:
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02 Oct 12
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Last Revised:
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14 Jan 13
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306
(47,203)
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1
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Stambaugh, Robert F.
University of Pennsylvania - The Wharton School Yu, Jianfeng
University of Minnesota Yuan, Yu
Shanghai Advanced Institute of Finance
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0
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1
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Stambaugh, Robert F.
University of Pennsylvania - The Wharton School Yu, Jianfeng
University of Minnesota Yuan, Yu
Shanghai Advanced Institute of Finance
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| Posted: |
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02 Oct 12
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Last Revised:
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14 Jan 13
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306
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1
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arbitrage risk, idiosyncratic volatility puzzle, short-sale constraints, investor sentiment
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13.
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The Long of it: Odds that Investor Sentiment Spuriously Predicts Anomaly Returns
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Versions (2)
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hide multiple versions |
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Stambaugh, Robert F.
University of Pennsylvania - The Wharton School Yu, Jianfeng
University of Minnesota Yuan, Yu
Shanghai Advanced Institute of Finance
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Posted:
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11 Jul 12
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Last Revised:
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21 Jul 12
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211
(70,730)
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1
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Stambaugh, Robert F.
University of Pennsylvania - The Wharton School Yu, Jianfeng
University of Minnesota Yuan, Yu
Shanghai Advanced Institute of Finance
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3
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1
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Stambaugh, Robert F.
University of Pennsylvania - The Wharton School Yu, Jianfeng
University of Minnesota Yuan, Yu
Shanghai Advanced Institute of Finance
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208
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1
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investor sentiment, anomalies, spurious regressors
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14.
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Stambaugh, Robert F.
University of Pennsylvania - The Wharton School
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120
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364
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15.
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Analyzing Investments Whose Histories Differ in Length
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Stambaugh, Robert F.
University of Pennsylvania - The Wharton School
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Posted:
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24 Apr 98
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Last Revised:
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13 Dec 11
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101
(134,184)
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43
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Stambaugh, Robert F.
University of Pennsylvania - The Wharton School
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101
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43
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Stambaugh, Robert F.
University of Pennsylvania - The Wharton School
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0
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16.
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On the Predictability of Stock Returns: An Asset- Allocation Perspective
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Kandel (deceased), Shmuel
Deceased Stambaugh, Robert F.
University of Pennsylvania - The Wharton School
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Posted:
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31 Aug 95
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Last Revised:
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13 Dec 11
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87
(148,295)
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145
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Kandel (deceased), Shmuel
Deceased Stambaugh, Robert F.
University of Pennsylvania - The Wharton School
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87
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145
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Kandel (deceased), Shmuel
Deceased Stambaugh, Robert F.
University of Pennsylvania - The Wharton School
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0
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Kandel (deceased), Shmuel
Deceased Stambaugh, Robert F.
University of Pennsylvania - The Wharton School
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0
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17.
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Pastor, Lubos
University of Chicago - Booth School of Business Stambaugh, Robert F.
University of Pennsylvania - The Wharton School
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62
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88
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18.
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Kandel (deceased), Shmuel
Deceased Stambaugh, Robert F.
University of Pennsylvania - The Wharton School
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55
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55
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19.
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Pastor, Lubos
University of Chicago - Booth School of Business Stambaugh, Robert F.
University of Pennsylvania - The Wharton School
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41
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42
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20.
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Bayesian Inference and Portfolio Efficiency
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Kandel (deceased), Shmuel
Deceased McCulloch, Robert E.
University of Chicago - Booth School of Business Stambaugh, Robert F.
University of Pennsylvania - The Wharton School
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Posted:
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26 Oct 99
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Last Revised:
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13 Dec 11
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32
(237,874)
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23
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Kandel (deceased), Shmuel
Deceased McCulloch, Robert E.
University of Chicago - Booth School of Business Stambaugh, Robert F.
University of Pennsylvania - The Wharton School
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32
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23
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Kandel (deceased), Shmuel
Deceased McCulloch, Robert E.
University of Chicago - Booth School of Business Stambaugh, Robert F.
University of Pennsylvania - The Wharton School
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0
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21.
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Stambaugh, Robert F.
University of Pennsylvania - The Wharton School
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23
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4
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22.
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Kandel, Shmuel
affiliation not provided to SSRN Stambaugh, Robert F.
University of Pennsylvania - The Wharton School
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11
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49
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23.
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Pastor, Lubos
University of Chicago - Booth School of Business Stambaugh, Robert F.
University of Pennsylvania - The Wharton School
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24.
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Kandel (deceased), Shmuel
Deceased Stambaugh, Robert F.
University of Pennsylvania - The Wharton School
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