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

36

DOWNLOADS
Rank 221

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Top 221

in Total Papers Downloads

65,640

SSRN CITATIONS
Rank 60

SSRN RANKINGS

Top 60

in Total Papers Citations

1,225

CROSSREF CITATIONS

5,316

Scholarly Papers (36)

1.
Downloads 12,513 ( 316)
Citation 56

Are Stocks Really Less Volatile in the Long Run?

EFA 2009 Bergen 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 12,354 (319)
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
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 150 (213,505)

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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 (662,385)
Citation 6
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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 6,998 (928)
Citation 110

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socially responsible investing, mutual funds, portfolio selection

3.
Downloads 5,490 ( 1,424)
Citation 235

The Short of It: Investor Sentiment and Anomalies

Journal of Financial Economics (JFE), Vol. 104, pp 288-302, May 2012
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 5,389 (1,451)
Citation 50

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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: 11 Apr 2011
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 101 (286,700)
Citation 1

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4.
Downloads 5,152 ( 1,592)
Citation 72

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 Mingshi Investment Company
Downloads 5,120 (1,584)
Citation 27

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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
Robert F. Stambaugh and Yu Yuan
University of Pennsylvania - The Wharton School and Shanghai Mingshi Investment Company
Downloads 32 (506,577)
Citation 38

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5.
Downloads 4,420 ( 2,103)
Citation 1,175

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 4,193 (2,284)
Citation 25

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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: 24 Oct 2010
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 197 (166,990)

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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 (517,550)
Citation 117
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Asset pricing, liquidity risk, expected returns

6.
Downloads 4,170 ( 2,336)
Citation 74

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 3,612 (2,904)
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 379 (83,840)
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 140 (224,652)

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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 37 (481,388)

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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 2 (721,381)
Citation 16
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mutual funds, returns to scale, skill

7.
Downloads 3,379 ( 3,331)
Citation 52

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 3,256 (3,466)
Citation 2

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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 84 (323,022)

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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: 05 Sep 2010
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 37 (481,388)
Citation 1

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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 (721,381)
Citation 18
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active management, learning, returns to scale

8.
Downloads 2,944 ( 4,214)
Citation 68

Predictive Systems: Living with Imperfect Predictors

CRSP Working Paper No. 617
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 2,847 (4,368)
Citation 3

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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 2010
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 62 (383,943)

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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 32 (506,577)
Citation 3

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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 (710,223)
Citation 4
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Expected stock return, predictability, predictive regression, predictive system, state space model

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 Mingshi Investment Company
Downloads 2,560 (5,245)
Citation 26

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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
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 20 (581,859)
Citation 48

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10.
Downloads 2,286 ( 6,423)
Citation 27

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 2,185 (6,808)

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turnover, skill, performance, active management, mutual funds

Do Funds Make More When They Trade More?

Fama-Miller Working Paper
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 86 (318,293)

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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
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 15 (617,341)
Citation 6

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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
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active management, mutual funds, performance, skill, turnover

11.
Downloads 2,252 ( 6,618)
Citation 11

Size and Value in China

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 56 Posted: 24 Jan 2018 Last Revised: 13 Dec 2018
Jianan Liu, Robert F. Stambaugh and Yu Yuan
University of Pennsylvania, The Wharton School, Students, University of Pennsylvania - The Wharton School and Shanghai Mingshi Investment Company
Downloads 2,229 (6,601)
Citation 6

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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
Jianan Liu, Robert F. Stambaugh and Yu Yuan
University of Pennsylvania, The Wharton School, Students, University of Pennsylvania - The Wharton School and Shanghai Mingshi Investment Company
Downloads 23 (561,412)
Citation 4

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12.
Downloads 1,512 ( 12,689)
Citation 2

Fund Tradeoffs

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 55 Posted: 02 Aug 2017 Last Revised: 20 May 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 1,484 (12,808)
Citation 3

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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
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 26 (541,514)

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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 (735,614)
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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 (735,614)
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Diversification, Mutual funds, portfolio liquidity

13.

Absolving Beta of Volatility's Effects

Journal of Financial Economics (JFE), Volume 128, Issue 1, April 2018, Pages 1-15
Number of pages: 37 Posted: 07 Sep 2016 Last Revised: 23 Sep 2018
Jianan Liu, Robert F. Stambaugh and Yu Yuan
University of Pennsylvania, The Wharton School, Students, University of Pennsylvania - The Wharton School and Shanghai Mingshi Investment Company
Downloads 1,393 (14,470)
Citation 9

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beta anomaly, IVOL anomaly, investor sentiment

14.

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 1,342 (15,306)
Citation 16

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mutual funds, portfolio selection

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 1,013 (22,968)
Citation 20

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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

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performance evaluation, mutual funds, Bayesian analysis

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 918 (26,513)

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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: 14 Sep 2001
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 73 (351,307)

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17.
Downloads 871 ( 29,029)
Citation 7

Sustainable Investing in Equilibrium

Chicago Booth Research Paper No. 20-12
Number of pages: 54 Posted: 19 Dec 2019 Last Revised: 05 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
Downloads 792 (32,752)
Citation 1

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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 73 (351,307)
Citation 4

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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
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 6 (685,288)
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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
Downloads 0
Citation 1
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ESG, social impact, Socially responsible investing, sustainable investing

18.
Downloads 867 ( 29,184)
Citation 1

Anomalies Abroad: Beyond Data Mining

Finance Down Under 2018 Building on the Best from the Cellars of Finance Paper
Number of pages: 62 Posted: 03 Aug 2017 Last Revised: 23 Jan 2018
Xiaomeng Lu, Robert F. Stambaugh and Yu Yuan
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), University of Pennsylvania - The Wharton School and Shanghai Mingshi Investment Company
Downloads 824 (30,911)
Citation 1

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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
Xiaomeng Lu, Robert F. Stambaugh and Yu Yuan
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), University of Pennsylvania - The Wharton School and Shanghai Mingshi Investment Company
Downloads 43 (454,418)

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19.
Downloads 851 ( 30,090)
Citation 1

Liquidity Risk After 20 Years

Chicago Booth Research Paper No. 19-13
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 830 (30,718)
Citation 1

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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
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 19 (588,936)
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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 (721,381)
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liquidity, liquidity beta, liquidity factor, liquidity risk

20.
Downloads 691 ( 39,906)
Citation 10

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 683 (39,950)

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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
Robert F. Stambaugh
University of Pennsylvania - The Wharton School
Downloads 8 (670,010)
Citation 4

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21.
Downloads 619 ( 46,199)

Skill and Fees in Active Management

Number of pages: 44 Posted: 25 Mar 2019 Last Revised: 11 Nov 2019
Robert F. Stambaugh
University of Pennsylvania - The Wharton School
Downloads 610 (46,455)

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active management, institutional investors, market efficiency

Skill and Fees in Active Management

NBER Working Paper No. w26027
Number of pages: 40 Posted: 01 Jul 2019
Robert F. Stambaugh
University of Pennsylvania - The Wharton School
Downloads 9 (662,385)
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22.

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 597 (48,473)

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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 570 (50,745)

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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
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 17 (603,184)
Citation 8

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24.
Downloads 537 ( 55,432)
Citation 86

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 468 (65,175)

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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 69 (362,571)
Citation 6

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25.

Predictive Regressions

NBER Working Paper No. t0240
Number of pages: 50 Posted: 17 Mar 2000 Last Revised: 30 Aug 2010
Robert F. Stambaugh
University of Pennsylvania - The Wharton School
Downloads 423 (74,383)
Citation 62

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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: 05 Oct 2010
Robert F. Stambaugh
University of Pennsylvania - The Wharton School
Downloads 334 (96,992)
Citation 4

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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.

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 265 (125,301)
Citation 1

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Active Management, Noise Traders, Skill

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: 30 Aug 2010
Shmuel Kandel (deceased) and Robert F. Stambaugh
Deceased and University of Pennsylvania - The Wharton School
Downloads 165 (195,706)
Citation 8

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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
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
Deceased and University of Pennsylvania - The Wharton School

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29.

Comparing Asset Pricing Models: an Investment Perspective

NBER Working Paper No. w7284
Number of pages: 50 Posted: 05 May 2000 Last Revised: 13 Mar 2008
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 111 (266,763)
Citation 13

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30.

Asset Returns and Intertemporal Preferences

NBER Working Paper No. w3633
Number of pages: 48 Posted: 28 Dec 2006 Last Revised: 18 May 2008
Shmuel Kandel (deceased) and Robert F. Stambaugh
Deceased and University of Pennsylvania - The Wharton School
Downloads 109 (270,286)

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31.

Costs of Equity Capital and Model Mispricing

NBER Working Paper No. w6490
Number of pages: 63 Posted: 04 Aug 2000 Last Revised: 09 Oct 2010
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 72 (350,188)
Citation 1

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Bayesian Inference and Portfolio Efficiency

NBER Working Paper No. t0134
Number of pages: 47 Posted: 29 Dec 2006 Last Revised: 18 May 2008
Deceased, University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 52 (418,565)

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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

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33.

Estimating Conditional Expectations When Volatility Fluctuates

NBER Working Paper No. t0140
Number of pages: 40 Posted: 25 May 2006 Last Revised: 10 Jun 2007
Robert F. Stambaugh
University of Pennsylvania - The Wharton School
Downloads 29 (509,449)

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34.

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 25 (531,958)
Citation 10

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35.

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

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36.

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

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