Robert F. Stambaugh

University of Pennsylvania - The Wharton School

The Wharton School, Finance Department

University of Pennsylvania

Philadelphia, PA 19104-6367

United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

  • University of Pennsylvania - The Wharton School

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    • Tel: 215-898-5734
    • Fax: 215-898-6200
SCHOLARLY PAPERS

41

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97,091

SSRN CITATIONS
Rank 31

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Top 31

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7,217

CROSSREF CITATIONS

5,243

Scholarly Papers (41)

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1.

Are Stocks Really Less Volatile in the Long Run?

Downloads 13,174 ( 606)
Citation 71

Are Stocks Really Less Volatile in the Long Run?

EFA 2009 Bergen Meetings Paper, AFA 2010 Atlanta Meetings Paper
Number of pages: 56 Posted: 26 May 2008 Last Revised: 13 Dec 2011
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 12,977 (611)
Citation 1

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stock, volatility, target-date funds, Bayesian, predictive system, predictive variance

Are Stocks Really Less Volatile in the Long Run?

NBER Working Paper No. w14757
Number of pages: 54 Posted: 26 Feb 2009 Last Revised: 29 Oct 2022
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 188 (274,435)

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Are Stocks Really Less Volatile in the Long Run?

CEPR Discussion Paper No. DP7199
Number of pages: 48 Posted: 11 Mar 2009
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 9 (1,026,057)
Citation 9
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long-run, risk, stock, variance

2.

Dissecting Green Returns

Downloads 8,757 ( 1,215)
Citation 143

Dissecting Green Returns

Fama-Miller Center Working Paper, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 55 Posted: 11 Jun 2021 Last Revised: 30 Aug 2023
Lubos Pastor, Robert F. Stambaugh and Lucian A. Taylor
University of Chicago - Booth School of Business, University of Pennsylvania - The Wharton School and University of Pennsylvania - The Wharton School
Downloads 7,573 (1,554)
Citation 8

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sustainable investing, ESG, green factor, greenium, green bond

Dissecting Green Returns

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2021-70
Number of pages: 55 Posted: 18 Jun 2021 Last Revised: 15 Jun 2022
Lubos Pastor, Robert F. Stambaugh and Lucian A. Taylor
University of Chicago - Booth School of Business, University of Pennsylvania - The Wharton School and University of Pennsylvania - The Wharton School
Downloads 1,114 (33,596)
Citation 2

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Sustainable investing, ESG, environment, climate change, green bonds

Dissecting Green Returns

NBER Working Paper No. w28940
Number of pages: 56 Posted: 21 Jun 2021 Last Revised: 28 Jan 2023
Lubos Pastor, Robert F. Stambaugh and Lucian A. Taylor
University of Chicago - Booth School of Business, University of Pennsylvania - The Wharton School and University of Pennsylvania - The Wharton School
Downloads 70 (567,380)
Citation 10

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Dissecting Green Returns

CEPR Discussion Paper No. DP16260
Number of pages: 58 Posted: 14 Jul 2021 Last Revised: 23 Jun 2022
Lubos Pastor, Robert F. Stambaugh and Lucian A. Taylor
University of Chicago - Booth School of Business, University of Pennsylvania - The Wharton School and University of Pennsylvania - The Wharton School
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Citation 113
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ESG, green bonds, green factor, greenium, sustainable investing

3.

Investing in Socially Responsible Mutual Funds

Number of pages: 56 Posted: 22 Jul 2003
Christopher Geczy, Robert F. Stambaugh and David Levin
University of Pennsylvania - The Wharton School, Finance Department, University of Pennsylvania - The Wharton School and University of Pennsylvania - The Wharton School
Downloads 8,323 (1,329)
Citation 123

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socially responsible investing, mutual funds, portfolio selection

4.

Sustainable Investing in Equilibrium

Downloads 7,616 ( 1,549)
Citation 312

Sustainable Investing in Equilibrium

Chicago Booth Research Paper No. 20-12, Fama-Miller Working Paper, Journal of Financial Economics (JFE), Forthcoming, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 54 Posted: 19 Dec 2019 Last Revised: 30 Aug 2023
Lubos Pastor, Robert F. Stambaugh and Lucian A. Taylor
University of Chicago - Booth School of Business, University of Pennsylvania - The Wharton School and University of Pennsylvania - The Wharton School
Downloads 7,146 (1,708)
Citation 103

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sustainable investing, socially responsible investing, ESG, social impact

Sustainable Investing in Equilibrium

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2020-24
Number of pages: 53 Posted: 24 Mar 2020
Lubos Pastor, Robert F. Stambaugh and Lucian A. Taylor
University of Chicago - Booth School of Business, University of Pennsylvania - The Wharton School and University of Pennsylvania - The Wharton School
Downloads 404 (125,443)
Citation 48

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sustainable investing, socially responsible investing, ESG, social impact

Sustainable Investing in Equilibrium

NBER Working Paper No. w26549
Number of pages: 55 Posted: 16 Dec 2019 Last Revised: 17 Jul 2023
Lubos Pastor, Robert F. Stambaugh and Lucian A. Taylor
University of Chicago - Booth School of Business, University of Pennsylvania - The Wharton School and University of Pennsylvania - The Wharton School
Downloads 66 (586,165)
Citation 6

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Sustainable Investing in Equilibrium

CEPR Discussion Paper No. DP14171
Number of pages: 57 Posted: 17 Dec 2019 Last Revised: 16 Jun 2020
Lubos Pastor, Robert F. Stambaugh and Lucian A. Taylor
University of Chicago - Booth School of Business, University of Pennsylvania - The Wharton School and University of Pennsylvania - The Wharton School
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Citation 156
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ESG, social impact, Socially responsible investing, sustainable investing

5.

Mispricing Factors

Downloads 6,810 ( 1,868)
Citation 175

Mispricing Factors

Review of Financial Studies 30, April 2017, pp 1270-1315., Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 93 Posted: 05 Jul 2015 Last Revised: 02 Sep 2020
Robert F. Stambaugh and Yu Yuan
University of Pennsylvania - The Wharton School and Shanghai Mingshi Investment Company
Downloads 6,717 (1,900)
Citation 99

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Factor Models, Anomalies, Mispricing, Investor Sentiment

Mispricing Factors

NBER Working Paper No. w21533
Number of pages: 64 Posted: 08 Sep 2015 Last Revised: 04 May 2023
Robert F. Stambaugh and Yu Yuan
University of Pennsylvania - The Wharton School and Shanghai Mingshi Investment Company
Downloads 93 (477,143)
Citation 70

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6.

The Short of It: Investor Sentiment and Anomalies

Downloads 6,522 ( 1,996)
Citation 495

The Short of It: Investor Sentiment and Anomalies

Journal of Financial Economics (JFE), Vol. 104, pp 288-302, May 2012, AFA 2012 Chicago Meetings Paper
Number of pages: 37 Posted: 15 Mar 2010 Last Revised: 11 Mar 2012
Robert F. Stambaugh, Jianfeng Yu and Yu Yuan
University of Pennsylvania - The Wharton School, Tsinghua University - PBC School of Finance and Shanghai Mingshi Investment Company
Downloads 6,362 (2,071)
Citation 79

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Investor Sentiment, Anomaly, Short-sale Constraint

The Short of it: Investor Sentiment and Anomalies

NBER Working Paper No. w16898
Number of pages: 32 Posted: 28 Mar 2011 Last Revised: 05 Mar 2023
Robert F. Stambaugh, Jianfeng Yu and Yu Yuan
University of Pennsylvania - The Wharton School, Tsinghua University - PBC School of Finance and Shanghai Mingshi Investment Company
Downloads 160 (315,968)
Citation 280

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7.

Liquidity Risk and Expected Stock Returns

Downloads 5,183 ( 2,979)
Citation 1,613

Liquidity Risk and Expected Stock Returns

Number of pages: 38 Posted: 17 Aug 2001
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 4,774 (3,389)
Citation 21

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Asset pricing, liquidity risk, expected returns

Liquidity Risk and Expected Stock Returns

NBER Working Paper No. w8462
Number of pages: 38 Posted: 10 Sep 2001 Last Revised: 17 Aug 2022
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 379 (135,389)

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Liquidity Risk and Expected Stock Returns

Number of pages: 48 Posted: 20 Sep 2002
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 30 (818,808)
Citation 193
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Asset pricing, liquidity risk, expected returns

8.

Scale and Skill in Active Management

Downloads 4,822 ( 3,374)
Citation 189

Scale and Skill in Active Management

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 51 Posted: 01 Sep 2013 Last Revised: 11 Aug 2020
Lubos Pastor, Robert F. Stambaugh and Lucian Taylor
University of Chicago - Booth School of Business, University of Pennsylvania - The Wharton School and University of Pennsylvania - The Wharton School
Downloads 4,128 (4,309)
Citation 9

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returns to scale, mutual funds, active management, skill

Scale and Skill in Active Management

Becker Friedman Institute for Research in Economics Working Paper No. 2014-03
Number of pages: 51 Posted: 05 Feb 2014
Lubos Pastor, Robert F. Stambaugh and Lucian A. Taylor
University of Chicago - Booth School of Business, University of Pennsylvania - The Wharton School and University of Pennsylvania - The Wharton School
Downloads 416 (121,219)
Citation 1

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Scale and Skill in Active Management

Chicago Booth Research Paper No. 14-20
Number of pages: 52 Posted: 15 Jul 2014
Lubos Pastor, Robert F. Stambaugh and Lucian A. Taylor
University of Chicago - Booth School of Business, University of Pennsylvania - The Wharton School and University of Pennsylvania - The Wharton School
Downloads 169 (301,436)

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Scale and Skill in Active Management

NBER Working Paper No. w19891
Number of pages: 51 Posted: 11 Feb 2014 Last Revised: 08 May 2023
Lubos Pastor, Robert F. Stambaugh and Lucian Taylor
University of Chicago - Booth School of Business, University of Pennsylvania - The Wharton School and University of Pennsylvania - The Wharton School
Downloads 105 (438,762)

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Scale and Skill in Active Management

CEPR Discussion Paper No. DP9854
Number of pages: 53 Posted: 02 Jun 2014
Lubos Pastor, Robert F. Stambaugh and Lucian Taylor
University of Chicago - Booth School of Business, University of Pennsylvania - The Wharton School and University of Pennsylvania - The Wharton School
Downloads 4 (1,069,573)
Citation 20
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mutual funds, returns to scale, skill

9.

Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle

Downloads 3,789 ( 5,077)
Citation 258

Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle

Journal of Finance, Vol 70, pp 1903-1948, 2015, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 58 Posted: 02 Oct 2012 Last Revised: 02 Sep 2020
Robert F. Stambaugh, Jianfeng Yu and Yu Yuan
University of Pennsylvania - The Wharton School, Tsinghua University - PBC School of Finance and Shanghai Mingshi Investment Company
Downloads 3,734 (5,131)
Citation 191

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arbitrage risk, idiosyncratic volatility puzzle, short-sale constraints, investor sentiment

Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle

NBER Working Paper No. w18560
Number of pages: 35 Posted: 22 Nov 2012 Last Revised: 20 Mar 2022
Robert F. Stambaugh, Jianfeng Yu and Yu Yuan
University of Pennsylvania - The Wharton School, Tsinghua University - PBC School of Finance and Shanghai Mingshi Investment Company
Downloads 55 (643,614)
Citation 54

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10.

Size and Value in China

Downloads 3,734 ( 5,226)
Citation 128

Size and Value in China

Journal of Financial Economics (JFE), Forthcoming, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 56 Posted: 24 Jan 2018 Last Revised: 12 Aug 2020
Jianan Liu, Robert F. Stambaugh and Yu Yuan
Mingshi Investment Management, University of Pennsylvania - The Wharton School and Shanghai Mingshi Investment Company
Downloads 3,582 (5,479)
Citation 12

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Size; Value; China; Factors; Anomalies

Size and Value in China

NBER Working Paper No. w24458
Number of pages: 57 Posted: 02 Apr 2018 Last Revised: 01 May 2022
Jianan Liu, Robert F. Stambaugh and Yu Yuan
Mingshi Investment Management, University of Pennsylvania - The Wharton School and Shanghai Mingshi Investment Company
Downloads 152 (330,132)
Citation 10

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11.

On the Size of the Active Management Industry

Downloads 3,726 ( 5,238)
Citation 96

On the Size of the Active Management Industry

CRSP Working Paper
Number of pages: 44 Posted: 06 Jan 2010 Last Revised: 24 Jul 2012
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 3,540 (5,587)
Citation 1

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active management, returns to scale, learning, mutual funds

On the Size of the Active Management Industry

MFI Working Paper No. 2010-001
Number of pages: 47 Posted: 13 Jan 2010 Last Revised: 13 Dec 2011
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 108 (429,914)

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On the Size of the Active Management Industry

NBER Working Paper No. w15646
Number of pages: 45 Posted: 18 Jan 2010 Last Revised: 03 Apr 2022
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 76 (541,253)
Citation 36

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On the Size of the Active Management Industry

CEPR Discussion Paper No. DP7637
Number of pages: 48 Posted: 20 Jan 2010
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 2 (1,084,893)
Citation 22
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active management, learning, returns to scale

12.

Predictive Systems: Living with Imperfect Predictors

Downloads 3,091 ( 7,106)
Citation 97

Predictive Systems: Living with Imperfect Predictors

CRSP Working Paper No. 617, EFA 2007 Ljubljana Meetings Paper
Number of pages: 51 Posted: 19 Feb 2007 Last Revised: 13 Dec 2011
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 2,944 (7,533)
Citation 4

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predictability, expected stock return, state space model, predictive system, predictive regression, imperfect predictors, Bayesian

Predictive Systems: Living with Imperfect Predictors

NBER Working Paper No. w13804
Number of pages: 59 Posted: 12 Jan 2007 Last Revised: 21 Sep 2022
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 86 (501,685)

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Predictive Systems: Living with Imperfect Predictors

NBER Working Paper No. w12814
Number of pages: 59 Posted: 07 Jul 2012 Last Revised: 08 Jul 2022
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 58 (632,441)
Citation 6

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Predictive Systems: Living with Imperfect Predictors

CEPR Discussion Paper No. 6076
Number of pages: 61 Posted: 29 Jun 2007
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 3 (1,076,990)
Citation 47
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Expected stock return, predictability, predictive regression, predictive system, state space model

13.

Do Funds Make More When They Trade More?

Downloads 2,656 ( 8,953)
Citation 67

Do Funds Make More When They Trade More?

Journal of Finance, Forthcoming, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 53 Posted: 16 Nov 2014 Last Revised: 11 Aug 2020
Lubos Pastor, Robert F. Stambaugh and Lucian A. Taylor
University of Chicago - Booth School of Business, University of Pennsylvania - The Wharton School and University of Pennsylvania - The Wharton School
Downloads 2,492 (9,753)

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turnover, skill, performance, active management, mutual funds

Do Funds Make More When They Trade More?

Fama-Miller Working Paper , Chicago Booth Research Paper No. 14-39
Number of pages: 46 Posted: 19 Nov 2014
Lubos Pastor, Robert F. Stambaugh and Lucian A. Taylor
University of Chicago - Booth School of Business, University of Pennsylvania - The Wharton School and University of Pennsylvania - The Wharton School
Downloads 113 (418,582)

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Do Funds Make More When They Trade More?

NBER Working Paper No. w20700
Number of pages: 51 Posted: 24 Nov 2014 Last Revised: 24 Jul 2023
Lubos Pastor, Robert F. Stambaugh and Lucian A. Taylor
University of Chicago - Booth School of Business, University of Pennsylvania - The Wharton School and University of Pennsylvania - The Wharton School
Downloads 50 (679,159)
Citation 11

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Do Funds Make More When They Trade More?

CEPR Discussion Paper No. DP10261
Number of pages: 48 Posted: 24 Nov 2014
Lubos Pastor, Robert F. Stambaugh and Lucian Taylor
University of Chicago - Booth School of Business, University of Pennsylvania - The Wharton School and University of Pennsylvania - The Wharton School
Downloads 1 (1,093,677)
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active management, mutual funds, performance, skill, turnover

14.

Fund Tradeoffs

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Citation 27

Fund Tradeoffs

Journal of Financial Economics (JFE), Forthcoming, Chicago Booth Research Paper No. 20-10, Fama-Miller Working Paper , Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 55 Posted: 02 Aug 2017 Last Revised: 12 Aug 2020
Lubos Pastor, Robert F. Stambaugh and Lucian A. Taylor
University of Chicago - Booth School of Business, University of Pennsylvania - The Wharton School and University of Pennsylvania - The Wharton School
Downloads 1,941 (14,554)
Citation 8

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fund tradeoffs, fund characteristics, portfolio liquidity, diversification

Fund Tradeoffs

NBER Working Paper No. w23670
Number of pages: 55 Posted: 17 Aug 2017 Last Revised: 06 Mar 2022
Lubos Pastor, Robert F. Stambaugh and Lucian A. Taylor
University of Chicago - Booth School of Business, University of Pennsylvania - The Wharton School and University of Pennsylvania - The Wharton School
Downloads 57 (632,441)
Citation 2

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Portfolio Liquidity and Diversification: Theory and Evidence

CEPR Discussion Paper No. DP12195
Number of pages: 49 Posted: 11 Aug 2017
Lubos Pastor, Robert F. Stambaugh and Lucian A. Taylor
University of Chicago - Booth School of Business, University of Pennsylvania - The Wharton School and University of Pennsylvania - The Wharton School
Downloads 1 (1,093,677)
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Diversification, Mutual funds, portfolio liquidity

Fund Tradeoffs

CEPR Discussion Paper No. DP12513
Number of pages: 44 Posted: 19 Dec 2017 Last Revised: 22 Oct 2018
Lubos Pastor, Robert F. Stambaugh and Lucian A. Taylor
University of Chicago - Booth School of Business, University of Pennsylvania - The Wharton School and University of Pennsylvania - The Wharton School
Downloads 1 (1,093,677)
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Diversification, Mutual funds, portfolio liquidity

15.

Liquidity Risk After 20 Years

Downloads 1,735 (17,680)
Citation 10

Liquidity Risk After 20 Years

Chicago Booth Research Paper No. 19-13, Fama-Miller Working Paper
Number of pages: 25 Posted: 15 Apr 2019 Last Revised: 10 May 2019
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 1,668 (18,403)
Citation 8

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liquidity, liquidity risk, liquidity factor, liquidity beta

Liquidity Risk after 20 Years

NBER Working Paper No. w25774
Number of pages: 23 Posted: 30 Apr 2019 Last Revised: 05 Jun 2022
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 65 (591,022)
Citation 4

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Liquidity Risk after 20 Years

CEPR Discussion Paper No. DP13680
Number of pages: 28 Posted: 24 Apr 2019
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 2 (1,084,893)
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liquidity, liquidity beta, liquidity factor, liquidity risk

16.

Absolving Beta of Volatility's Effects

Journal of Financial Economics (JFE), Volume 128, Issue 1, April 2018, Pages 1-15, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 37 Posted: 07 Sep 2016 Last Revised: 11 Aug 2020
Jianan Liu, Robert F. Stambaugh and Yu Yuan
Mingshi Investment Management, University of Pennsylvania - The Wharton School and Shanghai Mingshi Investment Company
Downloads 1,732 (17,723)
Citation 10

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beta anomaly, IVOL anomaly, investor sentiment

17.

Investing in Equity Mutual Funds

Number of pages: 37 Posted: 20 Sep 2001
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 1,409 (24,208)
Citation 22

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mutual funds, portfolio selection

18.

Green Tilts

Downloads 1,276 (28,213)

Green Tilts

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper, University of Chicago, Becker Friedman Institute for Economics Working Paper
Number of pages: 75 Posted: 31 May 2023 Last Revised: 31 Aug 2023
Lubos Pastor, Robert F. Stambaugh and Lucian A. Taylor
University of Chicago - Booth School of Business, University of Pennsylvania - The Wharton School and University of Pennsylvania - The Wharton School
Downloads 1,104 (34,229)

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ESG, sustainable investing, portfolio tilt

Green Tilts

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2023-74
Number of pages: 60 Posted: 31 May 2023 Last Revised: 31 Aug 2023
Lubos Pastor, Robert F. Stambaugh and Lucian A. Taylor
University of Chicago - Booth School of Business, University of Pennsylvania - The Wharton School and University of Pennsylvania - The Wharton School
Downloads 160 (315,968)

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ESG, sustainable investing, portfolio tilt

Green Tilts

NBER Working Paper No. w31320
Number of pages: 76 Posted: 12 Jun 2023 Last Revised: 26 Jun 2023
Lubos Pastor, Robert F. Stambaugh and Lucian A. Taylor
University of Chicago - Booth School of Business, University of Pennsylvania - The Wharton School and University of Pennsylvania - The Wharton School
Downloads 12 (995,607)
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19.

Anomalies Abroad: Beyond Data Mining

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Citation 6

Anomalies Abroad: Beyond Data Mining

Finance Down Under 2018 Building on the Best from the Cellars of Finance Paper, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 62 Posted: 03 Aug 2017 Last Revised: 11 Aug 2020
Xiaomeng Lu, Robert F. Stambaugh and Yu Yuan
Fudan University, Fanhai International School of Finance, University of Pennsylvania - The Wharton School and Shanghai Mingshi Investment Company
Downloads 1,104 (34,006)
Citation 3

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Anomalies, Data Mining, Idiosyncratic Volatility, Mispricing

Anomalies Abroad: Beyond Data Mining

NBER Working Paper No. w23809
Number of pages: 48 Posted: 18 Sep 2017 Last Revised: 23 Jul 2023
Xiaomeng Lu, Robert F. Stambaugh and Yu Yuan
Fudan University, Fanhai International School of Finance, University of Pennsylvania - The Wharton School and Shanghai Mingshi Investment Company
Downloads 123 (390,323)

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20.

Mutual Fund Performance and Seemingly Unrelated Assets

Downloads 1,098 (34,771)
Citation 24

Mutual Fund Performance and Seemingly Unrelated Assets

Number of pages: 44 Posted: 27 Feb 2001
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 1,098 (34,277)
Citation 24

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Performance evaluation; Mutual funds; Bayesian analysis

Mutual Fund Performance and Seemingly Unrelated Assets

Posted: 02 Oct 2001
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School

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performance evaluation, mutual funds, Bayesian analysis

21.

Evaluating and Investing in Equity Mutual Funds

Downloads 1,043 (37,481)

Evaluating and Investing in Equity Mutual Funds

Number of pages: 54 Posted: 13 Jun 2000
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 947 (42,330)

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Evaluating and Investing in Equity Mutual Funds

NBER Working Paper No. w7779
Number of pages: 54 Posted: 20 Jul 2000 Last Revised: 05 Oct 2022
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 96 (467,205)

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22.

Skill and Profit in Active Management

Downloads 979 (40,988)
Citation 1

Skill and Profit in Active Management

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 46 Posted: 25 Mar 2019 Last Revised: 03 Dec 2020
Robert F. Stambaugh
University of Pennsylvania - The Wharton School
Downloads 947 (42,330)
Citation 1

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active management, investment profit, stock selection

Skill and Profit in Active Management

NBER Working Paper No. w26027
Number of pages: 47 Posted: 01 Jul 2019 Last Revised: 12 Feb 2023
Robert F. Stambaugh
University of Pennsylvania - The Wharton School
Downloads 32 (802,038)

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23.

Investment Noise and Trends

Downloads 793 (54,782)
Citation 12

Investment Noise and Trends

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 47 Posted: 04 Jan 2014 Last Revised: 11 Aug 2020
Robert F. Stambaugh
University of Pennsylvania - The Wharton School
Downloads 766 (56,524)
Citation 5

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active management, noise traders

Investment Noise and Trends

NBER Working Paper No. w20072
Number of pages: 48 Posted: 28 Apr 2014 Last Revised: 07 May 2023
Robert F. Stambaugh
University of Pennsylvania - The Wharton School
Downloads 27 (844,936)
Citation 2

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24.

Pricing Without Mispricing

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 52 Posted: 08 Jul 2021 Last Revised: 06 May 2022
Jianan Liu, Tobias J. Moskowitz, Tobias J. Moskowitz and Robert F. Stambaugh
Mingshi Investment Management, Yale University, Yale SOMAQR Capital and University of Pennsylvania - The Wharton School
Downloads 726 (61,602)

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asset pricing, mispricing, market efficiency

25.

The Long of It: Odds That Investor Sentiment Spuriously Predicts Anomaly Returns

Downloads 683 (66,730)
Citation 60

The Long of It: Odds That Investor Sentiment Spuriously Predicts Anomaly Returns

Journal of Financial Economics (JFE) 114, December 2014, pp 613-619.
Number of pages: 15 Posted: 11 Jul 2012 Last Revised: 06 Nov 2014
Robert F. Stambaugh, Jianfeng Yu and Yu Yuan
University of Pennsylvania - The Wharton School, Tsinghua University - PBC School of Finance and Shanghai Mingshi Investment Company
Downloads 647 (70,573)
Citation 1

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investor sentiment, anomalies, spurious regressors

The Long of it: Odds that Investor Sentiment Spuriously Predicts Anomaly Returns

NBER Working Paper No. w18231
Number of pages: 13 Posted: 21 Jul 2012 Last Revised: 26 Apr 2023
Robert F. Stambaugh, Jianfeng Yu and Yu Yuan
University of Pennsylvania - The Wharton School, Tsinghua University - PBC School of Finance and Shanghai Mingshi Investment Company
Downloads 36 (770,125)
Citation 41

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26.

Analyzing Investments Whose Histories Differ in Length

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Analyzing Investments Whose Histories Differ in Length

NBER Working Paper No. w5918
Number of pages: 52 Posted: 13 Jul 2000 Last Revised: 04 Sep 2022
Robert F. Stambaugh
University of Pennsylvania - The Wharton School
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Citation 15

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Analyzing Investments Whose Histories Differ in Length

Rodney L. White Center Working Paper No. 5-96
Posted: 24 Apr 1998
Robert F. Stambaugh
University of Pennsylvania - The Wharton School

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27.

Costs of Equity from Factor-Based Models

Rodney L. White Center Working Paper Series #8-97
Number of pages: 47 Posted: 20 Oct 1997
Robert F. Stambaugh and Lubos Pastor
University of Pennsylvania - The Wharton School and University of Chicago - Booth School of Business
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28.

The Equity Premium and Structural Breaks

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Citation 101

The Equity Premium and Structural Breaks

Number of pages: 40 Posted: 27 Oct 1998
Robert F. Stambaugh and Lubos Pastor
University of Pennsylvania - The Wharton School and University of Chicago - Booth School of Business
Downloads 502 (96,941)
Citation 1

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The Equity Premium and Structural Breaks

NBER Working Paper No. w7778
Number of pages: 39 Posted: 25 Jul 2000 Last Revised: 14 Sep 2001
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 93 (477,143)
Citation 9

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29.

Predictive Regressions

NBER Working Paper No. t0240
Number of pages: 50 Posted: 17 Mar 2000 Last Revised: 27 Feb 2023
Robert F. Stambaugh
University of Pennsylvania - The Wharton School
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Citation 44

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30.

Diseconomies of Scale in Active Management: Robust Evidence

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Citation 4

Diseconomies of Scale in Active Management: Robust Evidence

Number of pages: 21 Posted: 16 Jul 2021
Lubos Pastor, Robert F. Stambaugh, Lucian A. Taylor and Min Zhu
University of Chicago - Booth School of Business, University of Pennsylvania - The Wharton School, University of Pennsylvania - The Wharton School and University of Queensland
Downloads 485 (101,358)
Citation 2

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returns to scale, diseconomies of scale, active management, robust regression

Diseconomies of Scale in Active Management: Robust Evidence

CEPR Discussion Paper No. DP16376
Number of pages: 24 Posted: 22 Sep 2021
Lubos Pastor, Robert F. Stambaugh, Lucian A. Taylor and Min Zhu
University of Chicago - Booth School of Business, University of Pennsylvania - The Wharton School, University of Pennsylvania - The Wharton School and University of Queensland
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Citation 2
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Active management, diseconomies of scale, Returns to Scale, robust regression

31.

Noisy Active Management

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 46 Posted: 22 Jun 2017 Last Revised: 11 Aug 2020
Robert F. Stambaugh
University of Pennsylvania - The Wharton School
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Citation 1

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Active Management, Noise Traders, Skill

32.

On the Predictability of Stock Returns: An Asset-Allocation Perspective

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On the Predictability of Stock Returns: An Asset-Allocation Perspective

NBER Working Paper No. w4997
Number of pages: 41 Posted: 20 Jul 2000 Last Revised: 17 Apr 2022
Shmuel Kandel (deceased) and Robert F. Stambaugh
affiliation not provided to SSRN (deceased) and University of Pennsylvania - The Wharton School
Downloads 251 (208,786)
Citation 48

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On the Predictability of Stock Returns: An Asset- Allocation Perspective

Posted: 31 Aug 1995
Shmuel Kandel (deceased) and Robert F. Stambaugh
affiliation not provided to SSRN (deceased) and University of Pennsylvania - The Wharton School

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On the Predictability of Stock Returns: An Asset-Allocation Perspective

J. OF FINANCE, Vol. 51 No. 2, June 1996
Posted: 11 Sep 1996
Shmuel Kandel (deceased) and Robert F. Stambaugh
affiliation not provided to SSRN (deceased) and University of Pennsylvania - The Wharton School

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33.

Comparing Asset Pricing Models: an Investment Perspective

NBER Working Paper No. w7284
Number of pages: 50 Posted: 05 May 2000 Last Revised: 29 May 2022
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 175 (292,582)
Citation 46

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34.

Asset Returns and Intertemporal Preferences

NBER Working Paper No. w3633
Number of pages: 48 Posted: 28 Dec 2006 Last Revised: 07 Dec 2022
Shmuel Kandel (deceased) and Robert F. Stambaugh
affiliation not provided to SSRN (deceased) and University of Pennsylvania - The Wharton School
Downloads 145 (342,582)
Citation 19

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35.

Costs of Equity Capital and Model Mispricing

NBER Working Paper No. w6490
Number of pages: 63 Posted: 04 Aug 2000 Last Revised: 26 Sep 2022
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 103 (442,129)
Citation 20

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36.

Bayesian Inference and Portfolio Efficiency

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Bayesian Inference and Portfolio Efficiency

NBER Working Paper No. t0134
Number of pages: 47 Posted: 29 Dec 2006 Last Revised: 15 May 2023
Shmuel Kandel (deceased), Robert E. McCulloch and Robert F. Stambaugh
affiliation not provided to SSRN (deceased), University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 73 (554,060)

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Bayesian Inference and Portfolio Efficiency

Posted: 26 Oct 1999
Shmuel Kandel (deceased), Robert E. McCulloch and Robert F. Stambaugh
affiliation not provided to SSRN (deceased), University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School

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37.

Estimating Conditional Expectations When Volatility Fluctuates

NBER Working Paper No. t0140
Number of pages: 40 Posted: 25 May 2006 Last Revised: 22 May 2022
Robert F. Stambaugh
University of Pennsylvania - The Wharton School
Downloads 56 (626,300)

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38.

Portfolio Inefficiency and the Cross-Section of Expected Returns

NBER Working Paper No. w4702
Number of pages: 26 Posted: 08 Nov 2011 Last Revised: 07 Nov 2022
Shmuel Kandel and Robert F. Stambaugh
affiliation not provided to SSRN and University of Pennsylvania - The Wharton School
Downloads 47 (676,768)
Citation 19

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39.

Pricing Without Mispricing

NBER Working Paper No. w29016
Number of pages: 53 Posted: 12 Jul 2021 Last Revised: 14 Apr 2023
Jianan Liu, Tobias J. Moskowitz, Tobias J. Moskowitz and Robert F. Stambaugh
The University of Hong Kong - University of Hong Kong, Yale University, Yale SOMAQR Capital and University of Pennsylvania - The Wharton School
Downloads 37 (742,738)
Citation 2

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40.

Liquidity Risk and Expect Stock Returns

Posted: 22 Jul 2003
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School

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41.

Portfolio Inefficiency and the Cross Section of Expected Returns

Posted: 10 May 2000
Shmuel Kandel (deceased) and Robert F. Stambaugh
affiliation not provided to SSRN (deceased) and University of Pennsylvania - The Wharton School

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