Roberto Stein

University of Nebraska at Lincoln - Department of Finance

Assistant Professor of Practice

Lincoln, NE 68588-0490

United States

SCHOLARLY PAPERS

9

DOWNLOADS

760

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (9)

1.

Are Mutual Fund Managers Good Gamblers?

Number of pages: 77 Posted: 17 Feb 2017 Last Revised: 03 Dec 2019
Roberto Stein
University of Nebraska at Lincoln - Department of Finance
Downloads 435 (72,485)

Abstract:

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Mutual funds, portfolio holdings, fund performance, fund manager skill

What Drives the Trend and Behavior in Aggregate (Idiosyncratic) Variance? Follow the Bid-Ask Bounce

Number of pages: 55 Posted: 27 Jun 2016 Last Revised: 13 May 2018
Tulane University - A.B. Freeman School of Business, University of Oklahoma, University of Nebraska at Lincoln - Department of Finance and Tulane University - A.B. Freeman School of Business
Downloads 75 (348,221)

Abstract:

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Aggregate Firm-Level Variance, Trend, Bid-Ask Spread, Decimalization, Odd-Eighth Quotes

3.

The (Mutual Fund) Imitation Game: On the Performance of 'Smart' Copycat Funds

Number of pages: 54 Posted: 31 Oct 2017 Last Revised: 07 Feb 2020
David A. Lesmond and Roberto Stein
Tulane University - A.B. Freeman School of Business and University of Nebraska at Lincoln - Department of Finance
Downloads 107 (275,499)

Abstract:

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copycat portfolios; mutual funds; portfolio holdings; fund performance; fund manager skill

4.

Herding or Claustrophobia? Using Random Portfolios to Analyze a Measure of Herding

Number of pages: 30 Posted: 16 Sep 2012
Roberto Stein
University of Nebraska at Lincoln - Department of Finance
Downloads 67 (366,426)

Abstract:

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Herding, herding measures, non parametric measures, random portfolios

5.

Why Does Skewness Matter? Ask Kurtosis.

Number of pages: 39 Posted: 22 Aug 2019
Roberto Stein
University of Nebraska at Lincoln - Department of Finance
Downloads 49 (425,253)

Abstract:

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skewness, kurtosis, idiosyncratic moments, asset pricing

6.

A Cross-Country Study of Innovation and Religiosity

Number of pages: 33 Posted: 19 Sep 2019
John Osiri, Boris Houenou and Roberto Stein
University of Nebraska-Lincoln, Washington State University and University of Nebraska at Lincoln - Department of Finance
Downloads 27 (523,689)

Abstract:

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innovation, religion, GII, patents

7.

Portfolio Performance Under Reference-Day Risk

Gonzalez, M., Rodriguez, A., & Stein, R. (2017). Portfolio performance under reference-day risk. Investment Analysts Journal, 46(1), 32-43.
Posted: 24 Aug 2017
Marcelo Gonzalez, Arturo Rodriguez and Roberto Stein
University of Chile - School of Economics and Business, Universidad de Chile and University of Nebraska at Lincoln - Department of Finance

Abstract:

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estimation risk, reference-day risk, mutual funds, performance, alpha

8.

Adjusted Betas under Reference-Day Risk

Gonzalez, M., Rodriguez, A., & Stein, R. (2014). Adjusted betas under reference-day risk. The Engineering Economist, 59(1), 79-88.
Posted: 15 Jan 2013 Last Revised: 22 Aug 2017
Marcelo Gonzalez, Arturo Rodriguez and Roberto Stein
University of Chile - School of Economics and Business, Universidad de Chile and University of Nebraska at Lincoln - Department of Finance

Abstract:

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Adjusted Betas, CAPM, Reference-day risk

9.

Not Fooled by Randomness: Using Random Portfolios to Analyze Investment Funds

Stein, R. (2014). Not fooled by randomness: Using random portfolios to analyse investment funds. Investment Analysts Journal, 2014 (79), 1-16
Posted: 08 Sep 2012 Last Revised: 22 Aug 2017
Roberto Stein
University of Nebraska at Lincoln - Department of Finance

Abstract:

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Mutual Fund Management, Luck, Skill, Factor Models, Non parametric measures