NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Publications by Robert F. Stambaugh

Contact and additional information for this authorAll papers and publicationsWorking Papers onlyWorking Papers with publication info

Working Papers and Chapters

April 2014Investment Noise and Trends
w20072
February 2014Scale and Skill in Active Management
with Lubos Pastor, Lucian A. Taylor: w19891
November 2012Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle
with Jianfeng Yu, Yu Yuan: w18560
July 2012The Long of It: Odds that Investor Sentiment Spuriously Predicts Anomaly Returns
with Jianfeng Yu, Yu Yuan: w18231
March 2011The Short of It: Investor Sentiment and Anomalies
with Jianfeng Yu, Yu Yuan: w16898
January 2010On the Size of the Active Management Industry
with Lubos Pastor: w15646
February 2009Are Stocks Really Less Volatile in the Long Run?
with Lubos Pastor: w14757
February 2008Predictive Systems: Living with Imperfect Predictors
with Lubos Pastor: w13804
January 2007Predictive Systems: Living with Imperfect Predictors
with Lubos Pastor: w12814
September 2001Liquidity Risk and Expected Stock Returns
with Lubos Pastor: w8462
July 2000The Equity Premium and Structural Breaks
with Lubos Pastor: w7778
Evaluating and Investing in Equity Mutual Funds
with Lubos Pastor: w7779
August 1999Comparing Asset Pricing Models: An Investment Perspective
with Lubos Pastor: w7284
May 1999Predictive Regressions
t0240
April 1998Costs of Equity Capital and Model Mispricing
with Lubos Pastor: w6490
February 1997Analyzing Investments Whose Histories Differ in Length
w5918
January 1995On the Predictability of Stock Returns: An Asset-Allocation Perspective
with Shmuel Kandel: w4997
April 1994Portfolio Inefficiency and the Cross-Section of Expected Returns
with Shmuel Kandel: w4702
August 1993Estimating Conditional Expectations when Volatility Fluctuates
t0140
May 1993Bayesian Inference and Portfolio Efficiency
with Shmuel Kandel, Robert McCulloch: t0134
February 1991Asset Returns and Intertemporal Preferences
with Shmuel Kandel: w3633

Contact and additional information for this authorAll papers and publicationsWorking Papers onlyWorking Papers with publication info

 
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