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Robert F. Stambaugh

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Personal Details

First Name:Robert
Middle Name:F.
Last Name:Stambaugh
Suffix:
RePEc Short-ID:pst282
[This author has chosen not to make the email address public]
http://finance.wharton.upenn.edu/~stambaug/
(in no particular order)
Philadelphia, Pennsylvania (United States)
http://finance.wharton.upenn.edu/

215.898.7622
215.898.6200
2300 Steinberg Hall - Dietrich Hall, 3620 Locust Walk, Philadelphia, PA 19104-6367
RePEc:edi:fdupaus (more details at EDIRC)
Cambridge, Massachusetts (United States)
http://www.nber.org/

617-868-3900

1050 Massachusetts Avenue, Cambridge, Massachusetts 02138
RePEc:edi:nberrus (more details at EDIRC)
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  1. Robert F. Stambaugh & Yu Yuan, 2015. "Mispricing Factors," NBER Working Papers 21533, National Bureau of Economic Research, Inc.
  2. Lubos Pastor & Robert F. Stambaugh & Lucian A. Taylor, 2014. "Do Funds Make More When They Trade More?," NBER Working Papers 20700, National Bureau of Economic Research, Inc.
  3. Robert F. Stambaugh, 2014. "Investment Noise and Trends," NBER Working Papers 20072, National Bureau of Economic Research, Inc.
  4. Lubos Pastor & Robert F. Stambaugh & Lucian A. Taylor, 2014. "Scale and Skill in Active Management," NBER Working Papers 19891, National Bureau of Economic Research, Inc.
  5. Robert F. Stambaugh & Jianfeng Yu & Yu Yuan, 2012. "The Long of It: Odds that Investor Sentiment Spuriously Predicts Anomaly Returns," NBER Working Papers 18231, National Bureau of Economic Research, Inc.
  6. Robert F. Stambaugh & Jianfeng Yu & Yu Yuan, 2012. "Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle," NBER Working Papers 18560, National Bureau of Economic Research, Inc.
  7. Robert F. Stambaugh & Jianfeng Yu & Yu Yuan, 2011. "The Short of It: Investor Sentiment and Anomalies," NBER Working Papers 16898, National Bureau of Economic Research, Inc.
  8. Lubos Pastor & Robert F. Stambaugh, 2010. "On the Size of the Active Management Industry," NBER Working Papers 15646, National Bureau of Economic Research, Inc.
  9. 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.
  10. Pástor, Luboš & Stambaugh, Robert F., 2007. "Predictive Systems: Living with Imperfect Predictors," CEPR Discussion Papers 6076, C.E.P.R. Discussion Papers.
  11. 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.
  12. Robert F. Stambaugh, 1999. "Predictive Regressions," NBER Technical Working Papers 0240, National Bureau of Economic Research, Inc.
  13. 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.
  14. 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.
  15. Robert F. Stambaugh, 1993. "Estimating Conditional Expectations when Volatility Fluctuates," NBER Technical Working Papers 0140, National Bureau of Economic Research, Inc.
  16. Shmuel Kandel & Robert McCulloch & Robert F. Stambaugh, 1993. "Bayesian Inference and Portfolio Efficiency," NBER Technical Working Papers 0134, National Bureau of Economic Research, Inc.
  17. Shmuel Kandel & Robert F. Stambaugh, 1991. "Asset Returns and Intertemporal Preferences," NBER Working Papers 3633, National Bureau of Economic Research, Inc.
  18. 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.
  19. 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.
  20. 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.
  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. 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.
  23. 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.
  24. 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.
  25. 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.
  26. 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.
  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. 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.
  29. 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.
  30. 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.
  31. 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.
  32. 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.
  33. 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.
  34. 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.
  35. 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.
  36. 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.
  37. 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.
  38. 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.
  39. 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.
  40. 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.
  41. 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.
  1. Robert F. Stambaugh & Jianfeng Yu & Yu Yuan, 2015. "Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle," Journal of Finance, American Finance Association, vol. 70(5), pages 1903-1948, October.
  2. Pástor, Ľuboš & Stambaugh, Robert F. & Taylor, Lucian A., 2015. "Scale and skill in active management," Journal of Financial Economics, Elsevier, vol. 116(1), pages 23-45.
  3. Stambaugh, Robert F. & Yu, Jianfeng & Yuan, Yu, 2014. "The long of it: Odds that investor sentiment spuriously predicts anomaly returns," Journal of Financial Economics, Elsevier, vol. 114(3), pages 613-619.
  4. Robert F. Stambaugh, 2014. "Presidential Address: Investment Noise and Trends," Journal of Finance, American Finance Association, vol. 69(4), pages 1415-1453, 08.
  5. Stambaugh, Robert F. & Yu, Jianfeng & Yuan, Yu, 2012. "The short of it: Investor sentiment and anomalies," Journal of Financial Economics, Elsevier, vol. 104(2), pages 288-302.
  6. Ľuboš Pástor & Robert F. Stambaugh, 2012. "On the Size of the Active Management Industry," Journal of Political Economy, University of Chicago Press, vol. 120(4), pages 740 - 781.
  7. Ľuboš Pástor & Robert F. Stambaugh, 2012. "Are Stocks Really Less Volatile in the Long Run?," Journal of Finance, American Finance Association, vol. 67(2), pages 431-478, 04.
  8. 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.
  9. Robert F. Stambaugh, 2006. "Report of the Editor of "The Journal of Finance" for the Year 2005," Journal of Finance, American Finance Association, vol. 61(4), pages 2047-2062, 08.
  10. 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.
  11. 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.
  12. 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.
  13. Pastor, Lubos & Stambaugh, Robert F., 2002. "Investing in equity mutual funds," Journal of Financial Economics, Elsevier, vol. 63(3), pages 351-380, March.
  14. 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.
  15. 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.
  16. Stambaugh, Robert F., 1999. "Predictive regressions," Journal of Financial Economics, Elsevier, vol. 54(3), pages 375-421, December.
  17. Stambaugh, Robert F., 1997. "Analyzing investments whose histories differ in length," Journal of Financial Economics, Elsevier, vol. 45(3), pages 285-331, September.
  18. 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.
  19. 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.
  20. Kandel, Shmuel & McCulloch, Robert & Stambaugh, Robert F, 1995. "Bayesian Inference and Portfolio Efficiency," Review of Financial Studies, Society for Financial Studies, vol. 8(1), pages 1-53.
  21. Kandel, Shmuel & Stambaugh, Robert F, 1994. "A Mean-Variance Framework for Tests of Asset Pricing Models: Correction," Review of Financial Studies, Society for Financial Studies, vol. 7(4), pages 803-04.
  22. Kandel, Shmuel & Stambaugh, Robert F., 1991. "Asset returns and intertemporal preferences," Journal of Monetary Economics, Elsevier, vol. 27(1), pages 39-71, February.
  23. Chen, Nai-Fu & Grundy, Bruce & Stambaugh, Robert F, 1990. "Changing Risk, Changing Risk Premiums, and Dividend Yield Effects," The Journal of Business, University of Chicago Press, vol. 63(1), pages S51-70, January.
  24. Kandel, Shmuel & Stambaugh, Robert F, 1990. "Expectations and Volatility of Consumption and Asset Returns," Review of Financial Studies, Society for Financial Studies, vol. 3(2), pages 207-32.
  25. Kandel, Shmuel & Stambaugh, Robert F, 1989. "A Mean-Variance Framework for Tests of Asset Pricing Models," Review of Financial Studies, Society for Financial Studies, vol. 2(2), pages 125-56.
  26. 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.
  27. 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.
  28. 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.
  29. 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.
  30. 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.
  31. 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.
  32. 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.
  33. 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.
  34. 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.
  35. 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.
  36. Stambaugh, Robert F., 1983. "Arbitrage pricing with information," Journal of Financial Economics, Elsevier, vol. 12(3), pages 357-369, November.
  37. 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.
  38. 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.
  39. Thell, Henri & Stambaugh, Robert, 1977. "Inequaltty and social status in successive generations," European Economic Review, Elsevier, vol. 10(2), pages 125-139.
26 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BEC: Business Economics (2) 2014-02-15 2014-09-25
  2. NEP-CFN: Corporate Finance (3) 2003-03-14 2011-04-09 2014-05-17
  3. NEP-ECM: Econometrics (5) 1999-05-17 2007-01-23 2007-02-24 2008-02-16 2012-07-29. Author is listed
  4. 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
  5. NEP-FMK: Financial Markets (6) 2001-08-30 2001-09-10 2003-03-14 2009-02-28 2009-03-14 2015-09-11. Author is listed
  6. NEP-HRM: Human Capital & Human Resource Management (1) 2014-02-15
  7. NEP-LMA: Labor Markets - Supply, Demand, & Wages (1) 2014-02-15
  8. NEP-RMG: Risk Management (2) 2003-03-14 2009-03-14
  9. NEP-SOG: Sociology of Economics (1) 2014-02-15
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