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

40

DOWNLOADS
Rank 264

SSRN RANKINGS

Top 264

in Total Papers Downloads

74,972

SSRN CITATIONS
Rank 56

SSRN RANKINGS

Top 56

in Total Papers Citations

2,231

CROSSREF CITATIONS

5,327

Scholarly Papers (40)

1.
Downloads 12,763 ( 394)
Citation 57

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 12,595 (398)
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 Apr 2021
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 159 (233,692)

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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 (754,537)
Citation 9
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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 7,533 (1,035)
Citation 123

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socially responsible investing, mutual funds, portfolio selection

3.
Downloads 5,836 ( 1,610)
Citation 284

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 5,717 (1,644)
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: 04 Sep 2021
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 119 (293,739)
Citation 62

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4.
Downloads 5,595 ( 1,721)
Citation 108

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 5,548 (1,720)
Citation 66

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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: 03 May 2021
Robert F. Stambaugh and Yu Yuan
University of Pennsylvania - The Wharton School and Shanghai Mingshi Investment Company
Downloads 47 (501,105)
Citation 37

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5.
Downloads 4,680 ( 2,366)
Citation 1,275

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 4,424 (2,570)
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: 16 Aug 2021
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 226 (170,017)

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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 (591,599)
Citation 193
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Asset pricing, liquidity risk, expected returns

6.
Downloads 4,367 ( 2,673)
Citation 95

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 3,782 (3,343)
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 386 (96,365)
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 146 (250,901)

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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: 09 May 2021
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 49 (492,076)

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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 (797,089)
Citation 23
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mutual funds, returns to scale, skill

7.
Downloads 3,668 ( 3,600)
Citation 38

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: 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 3,451 (3,927)
Citation 22

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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 204 (187,389)
Citation 11

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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: 18 Jul 2021
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 13 (720,302)

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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 11
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ESG, social impact, Socially responsible investing, sustainable investing

8.
Downloads 3,457 ( 3,996)
Citation 60

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 3,330 (4,165)
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 86 (365,518)

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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: 07 Oct 2021
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 39 (540,197)
Citation 12

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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 (816,524)
Citation 22
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active management, learning, returns to scale

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 3,059 (4,843)
Citation 73

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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: 19 Sep 2021
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 29 (598,057)
Citation 44

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10.
Downloads 2,982 ( 5,157)
Citation 73

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 2,882 (5,340)
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: 20 Sep 2021
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 63 (436,644)

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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 2021
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 34 (567,629)
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 (805,882)
Citation 7
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Expected stock return, predictability, predictive regression, predictive system, state space model

11.
Downloads 2,913 ( 5,354)
Citation 18

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
University of Hong Kong, University of Pennsylvania - The Wharton School and Shanghai Mingshi Investment Company
Downloads 2,855 (5,417)
Citation 5

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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 2021
Jianan Liu, Robert F. Stambaugh and Yu Yuan
University of Hong Kong, University of Pennsylvania - The Wharton School and Shanghai Mingshi Investment Company
Downloads 58 (455,292)
Citation 10

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12.
Downloads 2,381 ( 7,428)
Citation 34

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 2,277 (7,846)

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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 88 (360,332)

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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: 25 Jul 2021
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 16 (695,160)
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
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active management, mutual funds, performance, skill, turnover

13.
Downloads 1,738 ( 12,356)
Citation 12

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 1,705 (12,516)
Citation 9

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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: 05 Sep 2021
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 31 (585,380)
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 (829,715)
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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 (829,715)
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Diversification, Mutual funds, portfolio liquidity

14.

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
University of Hong Kong, University of Pennsylvania - The Wharton School and Shanghai Mingshi Investment Company
Downloads 1,537 (14,991)
Citation 10

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beta anomaly, IVOL anomaly, investor sentiment

15.

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 1,362 (18,090)
Citation 22

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mutual funds, portfolio selection

16.
Downloads 1,314 ( 19,042)
Citation 1

Dissecting Green Returns

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 53 Posted: 11 Jun 2021 Last Revised: 08 Sep 2021
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 1,107 (24,221)
Citation 1

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sustainable investing, ESG, green factor, greenium

Dissecting Green Returns

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2021-70
Number of pages: 53 Posted: 18 Jun 2021 Last Revised: 08 Sep 2021
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 198 (192,731)

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

Dissecting Green Returns

NBER Working Paper No. w28940
Number of pages: 54 Posted: 21 Jun 2021 Last Revised: 12 Sep 2021
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 9 (754,537)
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Dissecting Green Returns

CEPR Discussion Paper No. DP16260
Number of pages: 56 Posted: 14 Jul 2021 Last Revised: 22 Sep 2021
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
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ESG, green factor, greenium, sustainable investing

17.
Downloads 1,253 ( 20,495)
Citation 1

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 1,220 (20,961)
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 Last Revised: 05 Jun 2021
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 31 (585,380)

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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 (816,524)
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liquidity, liquidity beta, liquidity factor, liquidity risk

18.
Downloads 1,032 ( 27,199)
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 1,032 (26,797)
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

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 927 (31,267)

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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: 07 Oct 2021
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 74 (399,916)

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20.
Downloads 991 ( 28,819)
Citation 4

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, Xiaomeng Lu, Robert F. Stambaugh and Yu Yuan
Fudan University, Fanhai International School of FinanceShanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), University of Pennsylvania - The Wharton School and Shanghai Mingshi Investment Company
Downloads 928 (31,225)
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 2021
Xiaomeng Lu, Xiaomeng Lu, Robert F. Stambaugh and Yu Yuan
Fudan University, Fanhai International School of FinanceShanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), University of Pennsylvania - The Wharton School and Shanghai Mingshi Investment Company
Downloads 63 (436,644)

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21.
Downloads 807 ( 38,391)

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 792 (38,853)

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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: 14 Aug 2021
Robert F. Stambaugh
University of Pennsylvania - The Wharton School
Downloads 15 (703,252)

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22.
Downloads 720 ( 44,840)
Citation 11

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 710 (45,056)
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 2021
Robert F. Stambaugh
University of Pennsylvania - The Wharton School
Downloads 10 (745,874)
Citation 2

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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 605 (55,685)

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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: 25 Oct 2021
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 21 (655,823)
Citation 13

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24.

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 607 (56,145)

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25.
Downloads 544 ( 64,378)
Citation 89

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 473 (75,827)
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 71 (409,421)
Citation 9

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26.

Predictive Regressions

NBER Working Paper No. t0240
Number of pages: 50 Posted: 17 Mar 2000 Last Revised: 28 Feb 2021
Robert F. Stambaugh
University of Pennsylvania - The Wharton School
Downloads 486 (74,044)
Citation 89

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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 2021
Robert F. Stambaugh
University of Pennsylvania - The Wharton School
Downloads 448 (80,931)
Citation 5

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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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28.

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
Downloads 291 (132,479)
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: 29 Aug 2021
Shmuel Kandel (deceased) and Robert F. Stambaugh
Deceased and University of Pennsylvania - The Wharton School
Downloads 181 (208,806)
Citation 7

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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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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 163 (229,916)
Citation 1

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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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Active management, diseconomies of scale, Returns to Scale, robust regression

31.

Pricing Without Mispricing

Number of pages: 48 Posted: 08 Jul 2021 Last Revised: 31 Aug 2021
University of Hong Kong, Yale University, Yale SOMAQR Capital and University of Pennsylvania - The Wharton School
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asset pricing, mispricing, market efficiency

32.

Comparing Asset Pricing Models: an Investment Perspective

NBER Working Paper No. w7284
Number of pages: 50 Posted: 05 May 2000 Last Revised: 29 May 2021
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 126 (280,352)
Citation 16

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33.

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 116 (297,545)
Citation 19

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34.

Costs of Equity Capital and Model Mispricing

NBER Working Paper No. w6490
Number of pages: 63 Posted: 04 Aug 2000 Last Revised: 28 Mar 2021
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 81 (375,602)
Citation 2

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Bayesian Inference and Portfolio Efficiency

NBER Working Paper No. t0134
Number of pages: 47 Posted: 29 Dec 2006 Last Revised: 16 May 2021
Deceased, University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 55 (467,085)

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Bayesian Inference and Portfolio Efficiency

Posted: 26 Oct 1999
Deceased, University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School

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36.

Estimating Conditional Expectations When Volatility Fluctuates

NBER Working Paper No. t0140
Number of pages: 40 Posted: 25 May 2006 Last Revised: 22 May 2021
Robert F. Stambaugh
University of Pennsylvania - The Wharton School
Downloads 35 (548,997)

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37.

Portfolio Inefficiency and the Cross-Section of Expected Returns

NBER Working Paper No. w4702
Number of pages: 26 Posted: 08 Nov 2011 Last Revised: 09 May 2021
Shmuel Kandel and Robert F. Stambaugh
affiliation not provided to SSRN and University of Pennsylvania - The Wharton School
Downloads 28 (588,559)
Citation 10

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38.

Pricing Without Mispricing

NBER Working Paper No. w29016
Number of pages: 49 Posted: 12 Jul 2021 Last Revised: 14 Oct 2021
The University of Hong Kong - University of Hong Kong, Yale University, Yale SOMAQR Capital and University of Pennsylvania - The Wharton School
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39.

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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40.

Portfolio Inefficiency and the Cross Section of Expected Returns

Posted: 10 May 2000
Shmuel Kandel (deceased) and Robert F. Stambaugh
Deceased and University of Pennsylvania - The Wharton School

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