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Information about:
Robert F. Stambaugh

Personal Details | Affiliation | Works
This is information that was supplied by Robert Stambaugh in registering through RePEc. If you are Robert F. Stambaugh , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

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Personal Details

First Name: Robert
Middle Name: F.
Last Name: Stambaugh
Suffix:

RePEc Short-ID: pst282

Email: [This author has chosen not to make the email address public]
Homepage: http://finance.wharton.upenn.edu/~stambaug/
Postal Address:
Phone:

Affiliation

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Lists

This author is among the top 5% authors according to these criteria:
  1. Average Rank Score
  2. Number of Works
  3. Number of Distinct Works, Weighted by Simple Impact Factor
  4. Number of Distinct Works, Weighted by Recursive Impact Factor
  5. Number of Distinct Works, Weighted by Number of Authors and Simple Impact Factors
  6. Number of Distinct Works, Weighted by Number of Authors and Recursive Impact Factors
  7. Number of Citations
  8. Number of Citations, Discounted by Citation Age
  9. Number of Citations, Weighted by Simple Impact Factor
  10. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
  11. Number of Citations, Weighted by Recursive Impact Factor
  12. Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
  13. Number of Citations, Weighted by Number of Authors
  14. Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
  15. Number of Citations, Weighted by Number of Authors and Simple Impact Factors
  16. Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
  17. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
  18. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
  19. h, where author has written h papers that have each been cited at least h times.
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  22. Number of Journal Pages
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  24. Number of Journal Pages, Weighted by Recursive Impact Factor
  25. Number of Journal Pages, Weighted by Number of Authors
  26. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
  27. Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors
  28. Number of Abstract Views in RePEc Services over the past 12 months
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  30. Number of Abstract Views in RePEc Services over the past 12 months, Weighted by Number of Authors
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  32. Wu-Index

Works

| Working papers | Articles | Editor | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Lubos Pastor & Robert F. Stambaugh, 2009. "Are Stocks Really Less Volatile in the Long Run?," NBER Working Papers 14757, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:

  2. Pástor, Luboš & Stambaugh, Robert F, 2007. "Predictive Systems: Living with Imperfect Predictors," CEPR Discussion Papers 6076, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Other versions:
    Published as:

  3. Luboš Pástor & Robert F. Stambaugh, 1999. "Comparing Asset Pricing Models: An Investment Perspective," CRSP working papers 497, Center for Research in Security Prices, Graduate School of Business, University of Chicago. [Downloadable!]
    Other versions:
    Published as:

  4. Robert F. Stambaugh, 1999. "Predictive Regressions," NBER Technical Working Papers 0240, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Published as:

  5. Shmuel Kandel & Robert F. Stambaugh, 1995. "On the Predictability of Stock Returns: An Asset-Allocation Perspective," NBER Working Papers 4997, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Published as:

  6. Shmuel Kandel & Robert F. Stambaugh, 1994. "Portfolio Inefficiency and the Cross-Section of Expected Returns," NBER Working Papers 4702, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Published as:

  7. Robert F. Stambaugh, 1993. "Estimating Conditional Expectations when Volatility Fluctuates," NBER Technical Working Papers 0140, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:

  8. Shmuel Kandel & Robert McCulloch & Robert F. Stambaugh, 1993. "Bayesian Inference and Portfolio Efficiency," NBER Technical Working Papers 0134, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    Published as:

  9. Shmuel Kandel & Robert F. Stambaugh, 1991. "Asset Returns and Intertemporal Preferences," NBER Working Papers 3633, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Published as:

  10. Kandel, S. & Stambaugh, R.F., 1990. "Asset Returns, Investment Horizons, And Intertemporal Preferences," Weiss Center Working Papers 7-90, Wharton School - Weiss Center for International Financial Research.

  11. Lubos Pástor & Robert F. Stambaugh, . "Costs of Equity Capital and Model Mispricing," Rodney L. White Center for Financial Research Working Papers 4-98, Wharton School Rodney L. White Center for Financial Research.
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    Published as:

  12. Marshall Blume & Robert Stambaugh, . "Biases in Computed Returns: An Application to the Size Effect (Revision of 2-83)," Rodney L. White Center for Financial Research Working Papers 11-83, Wharton School Rodney L. White Center for Financial Research.

  13. Shmuel Kandel & Robert McCulloch & Robert F. Stambaugh, . "Bayesian Inference and Portfolio Efficiency (Revision of 8-91) (Reprint 046)," Rodney L. White Center for Financial Research Working Papers 04-93, Wharton School Rodney L. White Center for Financial Research.
    Other versions:

  14. Shmuel Kandel & Robert F. Stambaugh, . "Portfolio Inefficiency and the Cross-Section of Expected Returns (Revision of 3-93)," Rodney L. White Center for Financial Research Working Papers 06-94, Wharton School Rodney L. White Center for Financial Research.
    Other versions:

  15. Robert F. Stambaugh, . "Analyzing Investments Whose Histories Differ in Length," Rodney L. White Center for Financial Research Working Papers 05-96, Wharton School Rodney L. White Center for Financial Research.
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    Published as:

  16. Shmuel Kandel & Robert F. Stambaugh, . "Portfolio Inefficiency and the Cross-Section of Mean Returns (Revised: 6-94)," Rodney L. White Center for Financial Research Working Papers 3-93, Wharton School Rodney L. White Center for Financial Research.
    Other versions:

  17. Shumel Kandel & Robert F. Stambaugh, . "A Mean-Variance Framework for Tests for Asset Pricing Models," Rodney L. White Center for Financial Research Working Papers 25-88, Wharton School Rodney L. White Center for Financial Research.
    Published as:

  18. Luboš Pástor & Robert F. Stambaugh, . "Liquidity Risk and Expected Stock Returns," CRSP working papers 531, Center for Research in Security Prices, Graduate School of Business, University of Chicago. [Downloadable!]
    Other versions:
    Published as:

  19. Lubos Pastor & Robert F. Stambaugh, . "Costs of Equity from Factor-Based Models (Revised 4-98)," Rodney L. White Center for Financial Research Working Papers 8-97, Wharton School Rodney L. White Center for Financial Research.
    Other versions:

  20. Lubos Pastor & Robert F. Stambaugh, . "Evaluating and Investing in Equity Mutual Funds," Rodney L. White Center for Financial Research Working Papers 10-00, Wharton School Rodney L. White Center for Financial Research. [Downloadable!]
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  21. Shmuel Kandel & Robert F. Stambaugh, . "On the Predictability of Stock Returns: An Asset-Allocation Perspective (Reprint 057)," Rodney L. White Center for Financial Research Working Papers 27-94, Wharton School Rodney L. White Center for Financial Research.

  22. Donald B. Keim & Robert F. Stambaugh, . "Predicting Returns in the Stock and Bond Markets," Rodney L. White Center for Financial Research Working Papers 15-85, Wharton School Rodney L. White Center for Financial Research.
    Published as:

  23. Shmuel Kandel & Robert F. Stambaugh, . "Modeling Expected Stock Returns for Long and Short Horizons," Rodney L. White Center for Financial Research Working Papers 42-88, Wharton School Rodney L. White Center for Financial Research.

  24. Robert F. Stambaugh, . "Arbitrage Pricing with Heterogeneous Information," Rodney L. White Center for Financial Research Working Papers 02-82, Wharton School Rodney L. White Center for Financial Research.
    Other versions:

  25. Lubos Pástor & Robert F. Stambaugh, . "The Equity Premium and Structural Breaks," Rodney L. White Center for Financial Research Working Papers 21-98, Wharton School Rodney L. White Center for Financial Research. [Downloadable!]
    Other versions:
    Published as:

  26. Robert F. Stambaugh, . "Testing the CAPM with Broader Market Indexes: A Problem of Mean-Deficiency," Rodney L. White Center for Financial Research Working Papers 1-82, Wharton School Rodney L. White Center for Financial Research.
    Other versions:
    Published as:

  27. Shmuel Kandel & Robert F. Stambaugh, . "Expectations and Volatility of Long-Horizon Stock Returns," Rodney L. White Center for Financial Research Working Papers 12-89, Wharton School Rodney L. White Center for Financial Research.

  28. Shmuel Kandel & Robert F. Stambaugh, . "Asset Returns, Investment Horizons, and Intertemporal Preferences (Reprint 009)," Rodney L. White Center for Financial Research Working Papers 07-90, Wharton School Rodney L. White Center for Financial Research.
    Other versions:

  29. Luboš Pástor & Robert F. Stambaugh, . "Mutual Fund Performance and Seemingly Unrelated Assets.”," CRSP working papers 527, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
    Published as:

  30. Robert Stambaugh, . "On the Exclusion of Assets from Tests of the Two-Parameter Model: A Sensitivity Analysis," Rodney L. White Center for Financial Research Working Papers 13-81, Wharton School Rodney L. White Center for Financial Research.
    Published as:

  31. Nai-Fu Chen & Bruce Grundy & Robert F Stambaugh, . "Changing Risk, Changing Risk Premiums, and Dividend Yield Effects," Rodney L. White Center for Financial Research Working Papers 26-88, Wharton School Rodney L. White Center for Financial Research.
    Published as:

  32. Luboš Pástor & Robert F. Stambaugh, . "Investing in Equity Mutual Funds," CRSP working papers 532, Center for Research in Security Prices, Graduate School of Business, University of Chicago. [Downloadable!]
    Published as:

  33. Shmuel Kandel & Robert McCulloch & Robert H. Stambaugh, . "Bayesian Inference and Portfolio Efficiency (Revised: 4-93)," Rodney L. White Center for Financial Research Working Papers 08-91, Wharton School Rodney L. White Center for Financial Research.
    Other versions:

Articles

  1. Lubos Pástor & Robert F. Stambaugh, 2009. "Predictive Systems: Living with Imperfect Predictors," Journal of Finance, American Finance Association, vol. 64(4), pages 1583-1628, 08. [Downloadable!] (restricted)
    Other versions:

  2. Robert F. Stambaugh, 2004. "Report of the Editor of "The Journal of Finance" for the Year 2003," Journal of Finance, American Finance Association, vol. 59(4), pages 1931-1932, 08. [Downloadable!] (restricted)
    Published as:

  3. Pastor, Lubos & Stambaugh, Robert F., 2003. "Liquidity Risk and Expected Stock Returns," Journal of Political Economy, University of Chicago Press, vol. 111(3), pages 642-685, June. [Downloadable!] (restricted)
    Other versions:

  4. Pastor, Lubos & Stambaugh, Robert F., 2002. "Mutual fund performance and seemingly unrelated assets," Journal of Financial Economics, Elsevier, vol. 63(3), pages 315-349, March. [Downloadable!] (restricted)
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  5. Pastor, Lubos & Stambaugh, Robert F., 2002. "Investing in equity mutual funds," Journal of Financial Economics, Elsevier, vol. 63(3), pages 351-380, March. [Downloadable!] (restricted)
    Other versions:

  6. Pastor, Lubos & Stambaugh, Robert F., 2000. "Comparing asset pricing models: an investment perspective," Journal of Financial Economics, Elsevier, vol. 56(3), pages 335-381, June. [Downloadable!] (restricted)
    Other versions:

  7. Stambaugh, Robert F., 1999. "Predictive regressions," Journal of Financial Economics, Elsevier, vol. 54(3), pages 375-421, December. [Downloadable!] (restricted)
    Other versions:

  8. Lubos Pástor & Robert F. Stambaugh, 1999. "Costs of Equity Capital and Model Mispricing," Journal of Finance, American Finance Association, vol. 54(1), pages 67-121, 02. [Downloadable!] (restricted)
    Other versions:

  9. Stambaugh, Robert F., 1997. "Analyzing investments whose histories differ in length," Journal of Financial Economics, Elsevier, vol. 45(3), pages 285-331, September. [Downloadable!] (restricted)
    Other versions:

  10. Kandel, Shmuel & Stambaugh, Robert F, 1996. " On the Predictability of Stock Returns: An Asset-Allocation Perspective," Journal of Finance, American Finance Association, vol. 51(2), pages 385-424, June. [Downloadable!] (restricted)
    Other versions:

  11. Kandel, Shmuel & McCulloch, Robert & Stambaugh, Robert F, 1995. "Bayesian Inference and Portfolio Efficiency," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 8(1), pages 1-53. [Downloadable!] (restricted)
    Other versions:

  12. Kandel, Shmuel & Stambaugh, Robert F, 1995. " Portfolio Inefficiency and the Cross-Section of Expected Returns," Journal of Finance, American Finance Association, vol. 50(1), pages 157-84, March. [Downloadable!] (restricted)
    Other versions:

  13. Kandel, Shmuel & Stambaugh, Robert F, 1994. "A Mean-Variance Framework for Tests of Asset Pricing Models: Correction," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 7(4), pages 803-04. [Downloadable!] (restricted)

  14. Kandel, Shmuel & Stambaugh, Robert F., 1991. "Asset returns and intertemporal preferences," Journal of Monetary Economics, Elsevier, vol. 27(1), pages 39-71, February. [Downloadable!] (restricted)
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  15. Kandel, Shmuel & Stambaugh, Robert F, 1990. "Expectations and Volatility of Consumption and Asset Returns," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 3(2), pages 207-32. [Downloadable!] (restricted)

  16. Chen, Nai-Fu & Grundy, Bruce & Stambaugh, Robert F, 1990. "Changing Risk, Changing Risk Premiums, and Dividend Yield Effects," Journal of Business, University of Chicago Press, vol. 63(1), pages S51-70, January. [Downloadable!] (restricted)
    Other versions:

  17. Kandel, Shmuel & Stambaugh, Robert F, 1989. "A Mean-Variance Framework for Tests of Asset Pricing Models," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 2(2), pages 125-56. [Downloadable!] (restricted)
    Other versions:

  18. Stambaugh, Robert F, 1988. "Stable Factors in Security Returns: Identification Using Cross-Validation: Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 6(1), pages 20-21, January.

  19. Stambaugh, Robert F., 1988. "The information in forward rates : Implications for models of the term structure," Journal of Financial Economics, Elsevier, vol. 21(1), pages 41-70, May. [Downloadable!] (restricted)

  20. Kandel, Shmuel & Stambaugh, Robert F., 1987. "On correlations and inferences about mean-variance efficiency," Journal of Financial Economics, Elsevier, vol. 18(1), pages 61-90, March. [Downloadable!] (restricted)

  21. French, Kenneth R. & Schwert, G. William & Stambaugh, Robert F., 1987. "Expected stock returns and volatility," Journal of Financial Economics, Elsevier, vol. 19(1), pages 3-29, September. [Downloadable!] (restricted)

  22. Ferson, Wayne E & Kandel, Shmuel & Stambaugh, Robert F, 1987. " Tests of Asset Pricing with Time-Varying Expected Risk Premiums and Market Betas," Journal of Finance, American Finance Association, vol. 42(2), pages 201-20, June. [Downloadable!] (restricted)

  23. Huberman, Gur & Kandel, Shmuel & Stambaugh, Robert F, 1987. " Mimicking Portfolios and Exact Arbitrage Pricing," Journal of Finance, American Finance Association, vol. 42(1), pages 1-9, March. [Downloadable!] (restricted)

  24. Keim, Donald B. & Stambaugh, Robert F., 1986. "Predicting returns in the stock and bond markets," Journal of Financial Economics, Elsevier, vol. 17(2), pages 357-390, December. [Downloadable!] (restricted)
    Other versions:

  25. Stambaugh, Robert F, 1986. " Does the Stock Market Rationally Reflect Fundamental Values? Discussion," Journal of Finance, American Finance Association, vol. 41(3), pages 601-02, July. [Downloadable!] (restricted)

  26. Keim, Donald B & Stambaugh, Robert F, 1984. " A Further Investigation of the Weekend Effect in Stock Returns," Journal of Finance, American Finance Association, vol. 39(3), pages 819-35, July. [Downloadable!] (restricted)

  27. Stambaugh, Robert F., 1983. "Arbitrage pricing with information," Journal of Financial Economics, Elsevier, vol. 12(3), pages 357-369, November. [Downloadable!] (restricted)

  28. Stambaugh, Robert F., 1983. "Testing the CAPM with broader market indexes : A problem of mean-deficiency," Journal of Banking & Finance, Elsevier, vol. 7(1), pages 5-16, March. [Downloadable!] (restricted)
    Other versions:

  29. Blume, Marshall E. & Stambaugh, Robert F., 1983. "Biases in computed returns : An application to the size effect," Journal of Financial Economics, Elsevier, vol. 12(3), pages 387-404, November. [Downloadable!] (restricted)

  30. Stambaugh, Robert F., 1982. "On the exclusion of assets from tests of the two-parameter model : A sensitivity analysis," Journal of Financial Economics, Elsevier, vol. 10(3), pages 237-268, November. [Downloadable!] (restricted)
    Other versions:

  31. Thell, Henri & Stambaugh, Robert, 1977. "Inequaltty and social status in successive generations," European Economic Review, Elsevier, vol. 10(2), pages 125-139. [Downloadable!] (restricted)

Editor

  1. Journal of Finance, American Finance Association.

NEP Fields

15 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CFN: Corporate Finance (1) 2003-03-14
  2. NEP-ECM: Econometrics (4) 1999-05-17 2007-01-23 2007-02-24 2008-02-16 Author is listed
  3. NEP-FIN: Finance (8) 1999-05-17 1999-08-27 2000-07-11 2000-07-11 2000-10-23 2000-10-23 2001-08-30 2001-08-30 Author is listed
  4. NEP-FMK: Financial Markets (5) 2001-08-30 2001-09-10 2003-03-14 2009-02-28 2009-03-14 Author is listed
  5. NEP-RMG: Risk Management (2) 2003-03-14 2009-03-14
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This page was last updated on 2009-11-14.

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