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

SCHOLARLY PAPERS

30

DOWNLOADS
Rank 223

SSRN RANKINGS

Top 223

in Total Papers Downloads

49,254

CITATIONS
Rank 147

SSRN RANKINGS

Top 147

in Total Papers Citations

2,085

Scholarly Papers (30)

1.
Downloads 11,308 ( 240)
Citation 27

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 11,178 (238)
Citation 27

Abstract:

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
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 121 (193,721)
Citation 27

Abstract:

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 (522,210)
Citation 27

Abstract:

long-run, risk, stock, variance

2.

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 5,001 (844)
Citation 53

Abstract:

socially responsible investing, mutual funds, portfolio selection

3.
Downloads 4,717 ( 1,241)
Citation 35

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 Advanced Institute of Finance
Downloads 4,632 (1,263)
Citation 35

Abstract:

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
Robert F. Stambaugh, Jianfeng Yu and Yu Yuan
University of Pennsylvania - The Wharton School, Tsinghua University - PBC School of Finance and Shanghai Advanced Institute of Finance
Downloads 85 (248,436)
Citation 35

Abstract:

4.
Downloads 4,022 ( 1,611)
Citation 690

Liquidity Risk and Expected Stock Returns

CRSP Working Paper No. 531
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 3,856 (1,707)
Citation 687

Abstract:

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
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 136 (177,615)
Citation 690

Abstract:

Liquidity Risk and Expected Stock Returns

CEPR Discussion Paper No. 3494
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 (405,556)
Citation 690

Abstract:

Asset pricing, liquidity risk, expected returns

5.
Downloads 3,570 ( 2,000)
Citation 4

Scale and Skill in Active Management

Number of pages: 51 Posted: 01 Sep 2013 Last Revised: 01 Aug 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 3,043 (2,606)
Citation 4

Abstract:

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 367 (64,843)
Citation 4

Abstract:

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 126 (187,649)
Citation 4

Abstract:

Scale and Skill in Active Management

NBER Working Paper No. w19891
Number of pages: 51 Posted: 11 Feb 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 32 (396,621)
Citation 4

Abstract:

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 2 (561,088)
Citation 4

Abstract:

mutual funds, returns to scale, skill

6.
Downloads 3,414 ( 2,153)
Citation 1

Mispricing Factors

Review of Financial Studies 30, April 2017, pp 1270-1315.
Number of pages: 93 Posted: 05 Jul 2015 Last Revised: 16 Apr 2017
Robert F. Stambaugh and Yu Yuan
University of Pennsylvania - The Wharton School and Shanghai Advanced Institute of Finance
Downloads 3,393 (2,137)
Citation 1

Abstract:

Factor Models, Anomalies, Mispricing, Investor Sentiment

Mispricing Factors

NBER Working Paper No. w21533
Number of pages: 64 Posted: 08 Sep 2015
Robert F. Stambaugh and Yu Yuan
University of Pennsylvania - The Wharton School and Shanghai Advanced Institute of Finance
Downloads 21 (453,292)
Citation 1

Abstract:

7.
Downloads 3,180 ( 2,463)
Citation 15

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 3,065 (2,576)
Citation 15

Abstract:

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 81 (256,039)
Citation 15

Abstract:

On the Size of the Active Management Industry

NBER Working Paper No. w15646
Number of pages: 45 Posted: 18 Jan 2010
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 32 (396,621)
Citation 15

Abstract:

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 (561,088)
Citation 15

Abstract:

active management, learning, returns to scale

8.
Downloads 2,821 ( 3,076)
Citation 47

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 2,737 (3,163)
Citation 47

Abstract:

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
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 59 (306,133)
Citation 47

Abstract:

Predictive Systems: Living with Imperfect Predictors

NBER Working Paper No. w12814
Number of pages: 59 Posted: 07 Jul 2012
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 22 (447,596)
Citation 45

Abstract:

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 (553,413)
Citation 47

Abstract:

Expected stock return, predictability, predictive regression, predictive system, state space model

Do Funds Make More When They Trade More?

Journal of Finance, Forthcoming
Number of pages: 53 Posted: 16 Nov 2014 Last Revised: 11 Oct 2016
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 1,602 (7,947)

Abstract:

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 69 (281,636)

Abstract:

Do Funds Make More When They Trade More?

NBER Working Paper No. w20700
Number of pages: 51 Posted: 24 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 12 (505,522)

Abstract:

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 0

Abstract:

active management, mutual funds, performance, skill, turnover

Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle

Journal of Finance, Vol 70, pp 1903-1948, 2015
Number of pages: 58 Posted: 02 Oct 2012 Last Revised: 13 Sep 2015
Robert F. Stambaugh, Jianfeng Yu and Yu Yuan
University of Pennsylvania - The Wharton School, Tsinghua University - PBC School of Finance and Shanghai Advanced Institute of Finance
Downloads 1,628 (7,780)
Citation 2

Abstract:

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
Robert F. Stambaugh, Jianfeng Yu and Yu Yuan
University of Pennsylvania - The Wharton School, Tsinghua University - PBC School of Finance and Shanghai Advanced Institute of Finance
Downloads 9 (522,210)
Citation 2

Abstract:

11.

Investing In Equity Mutual Funds

CRSP Working Paper No. 532
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 1,277 (11,320)
Citation 70

Abstract:

mutual funds, portfolio selection

12.
Downloads 970 ( 17,908)
Citation 68

Evaluating and Investing in Equity Mutual Funds

AFA 2001 New Orleans Meetings; CRSP Working Paper No. 516; RLW Center for Financial Research Working Paper No. 10-00
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 906 (19,454)
Citation 68

Abstract:

Evaluating and Investing in Equity Mutual Funds

NBER Working Paper No. w7779
Number of pages: 54 Posted: 20 Jul 2000
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 64 (293,552)
Citation 68

Abstract:

13.
Downloads 962 ( 18,127)
Citation 97

Mutual Fund Performance and Seemingly Unrelated Assets

CRSP Working Paper No. 527
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 962 (17,789)
Citation 97

Abstract:

Performance evaluation; Mutual funds; Bayesian analysis

Mutual Fund Performance And Seemingly Unrelated Assets

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

Abstract:

performance evaluation, mutual funds, Bayesian analysis

14.
Downloads 645 ( 32,143)
Citation 1

Investment Noise and Trends

Number of pages: 47 Posted: 04 Jan 2014 Last Revised: 18 Apr 2014
Robert F. Stambaugh
University of Pennsylvania - The Wharton School
Downloads 638 (32,137)
Citation 1

Abstract:

active management, noise traders

Investment Noise and Trends

NBER Working Paper No. w20072
Number of pages: 48 Posted: 28 Apr 2014
Robert F. Stambaugh
University of Pennsylvania - The Wharton School
Downloads 7 (532,927)
Citation 1

Abstract:

15.

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
Downloads 581 (36,324)

Abstract:

16.
Downloads 517 ( 43,033)
Citation 83

The Equity Premium And Structural Breaks

AFA 2001 New Orleans; CRSP Working Paper No. 519
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 455 (49,964)
Citation 83

Abstract:

The Equity Premium and Structural Breaks

NBER Working Paper No. w7778
Number of pages: 39 Posted: 25 Jul 2000
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 62 (298,387)
Citation 83

Abstract:

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 Advanced Institute of Finance
Downloads 489 (45,581)
Citation 1

Abstract:

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
Robert F. Stambaugh, Jianfeng Yu and Yu Yuan
University of Pennsylvania - The Wharton School, Tsinghua University - PBC School of Finance and Shanghai Advanced Institute of Finance
Downloads 10 (516,767)
Citation 1

Abstract:

Analyzing Investments Whose Histories Differ in Length

NBER Working Paper No. w5918
Number of pages: 52 Posted: 13 Jul 2000
Robert F. Stambaugh
University of Pennsylvania - The Wharton School
Downloads 231 (108,705)
Citation 46

Abstract:

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

Abstract:

19.

Predictive Regressions

NBER Working Paper No. t0240
Number of pages: 50 Posted: 17 Mar 2000
Robert F. Stambaugh
University of Pennsylvania - The Wharton School
Downloads 208 (77,521)
Citation 369

Abstract:

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

NBER Working Paper No. w4997
Number of pages: 41 Posted: 20 Jul 2000
Shmuel Kandel (deceased) and Robert F. Stambaugh
Deceased and University of Pennsylvania - The Wharton School
Downloads 124 (190,029)
Citation 142

Abstract:

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

Posted: 31 Aug 1995
Shmuel Kandel (deceased) and Robert F. Stambaugh
Deceased and University of Pennsylvania - The Wharton School

Abstract:

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
Deceased and University of Pennsylvania - The Wharton School

Abstract:

21.

Asset Returns and Intertemporal Preferences

NBER Working Paper No. w3633
Number of pages: 48 Posted: 28 Dec 2006
Shmuel Kandel (deceased) and Robert F. Stambaugh
Deceased and University of Pennsylvania - The Wharton School
Downloads 85 (220,106)
Citation 55

Abstract:

22.

Comparing Asset Pricing Models: an Investment Perspective

NBER Working Paper No. w7284
Number of pages: 50 Posted: 05 May 2000
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 71 (249,997)
Citation 90

Abstract:

23.

Costs of Equity Capital and Model Mispricing

NBER Working Paper No. w6490
Number of pages: 63 Posted: 04 Aug 2000
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 51 (309,885)
Citation 47

Abstract:

Bayesian Inference and Portfolio Efficiency

NBER Working Paper No. t0134
Number of pages: 47 Posted: 29 Dec 2006
Deceased, University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 42 (358,160)
Citation 23

Abstract:

Bayesian Inference and Portfolio Efficiency

REVIEW OF FINANCIAL STUDIES, Volume 8 Issue 1
Posted: 26 Oct 1999
Deceased, University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School

Abstract:

25.

Estimating Conditional Expectations When Volatility Fluctuates

NBER Working Paper No. t0140
Number of pages: 40 Posted: 25 May 2006
Robert F. Stambaugh
University of Pennsylvania - The Wharton School
Downloads 25 (408,710)
Citation 4

Abstract:

26.

Portfolio Inefficiency and the Cross-Section of Expected Returns

NBER Working Paper No. w4702
Number of pages: 26 Posted: 08 Nov 2011
Shmuel Kandel and Robert F. Stambaugh
affiliation not provided to SSRN and University of Pennsylvania - The Wharton School
Downloads 17 (449,232)
Citation 51

Abstract:

27.

Noisy Active Management

Number of pages: 46 Posted: 22 Jun 2017 Last Revised: 25 Jun 2017
Robert F. Stambaugh
University of Pennsylvania - The Wharton School
Downloads 0 (259,555)

Abstract:

Active Management, Noise Traders, Skill

28.

Absolving Beta of Volatility's Effects

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 37 Posted: 07 Sep 2016 Last Revised: 16 Apr 2017
Jianan Liu, Robert F. Stambaugh and Yu Yuan
University of Pennsylvania, The Wharton School, Students, University of Pennsylvania - The Wharton School and Shanghai Advanced Institute of Finance
Downloads 0 (45,346)

Abstract:

beta anomaly, IVOL anomaly, investor sentiment

29.

Liquidity Risk and Expect Stock Returns

Journal of Political Economy, Vol. 111, June 2003
Posted: 22 Jul 2003
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School

Abstract:

30.

Portfolio Inefficiency and the Cross Section of Expected Returns

JOURNAL OF FINANCE, Vol 50, No 1, March 1995
Posted: 10 May 2000
Shmuel Kandel (deceased) and Robert F. Stambaugh
Deceased and University of Pennsylvania - The Wharton School

Abstract: