NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Working Papers by Robert F. Stambaugh

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers onlyInformation about this author at RePEc

Working Papers

November 2014Do Funds Make More When They Trade More?
with Lubos Pastor, Lucian A. Taylor: w20700
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

Published: 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. citation courtesy of

January 2010On the Size of the Active Management Industry
with Lubos Pastor: w15646

Published: ĽuboÅ¡ 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. citation courtesy of

February 2009Are Stocks Really Less Volatile in the Long Run?
with Lubos Pastor: w14757

Published: 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. citation courtesy of

February 2008Predictive Systems: Living with Imperfect Predictors
with Lubos Pastor: w13804

Published: 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. citation courtesy of

January 2007Predictive Systems: Living with Imperfect Predictors
with Lubos Pastor: w12814

Published: 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. citation courtesy of

September 2001Liquidity Risk and Expected Stock Returns
with Lubos Pastor: w8462

Published: Pastor, Lubos and Robert F. Stambaugh. "Liquidity Risk And Expected Stock Returns," Journal of Political Economy, 2003, v111(3,Jun), 642-685. citation courtesy of

July 2000The Equity Premium and Structural Breaks
with Lubos Pastor: w7778

Published: Pastor, Lubos and Robert F. Stambaugh. "The Equity Premium And Structural Breaks," Journal of Finance, 2001, v56(4,Aug), 1207-1239. citation courtesy of

Evaluating and Investing in Equity Mutual Funds
with Lubos Pastor: w7779

Published: Pastor, Lubog and Robert F. Stambaugh. "Investing In Equity Mutual Funds," Journal of Financial Economics, 2002, v63(3,Mar), 351-380.

August 1999Comparing Asset Pricing Models: An Investment Perspective
with Lubos Pastor: w7284

Published: Journal of Financial Economics, Vol. 56 (2000): 335-381. citation courtesy of

May 1999Predictive Regressions
t0240

Published: Journal of Financial Economics, Vol. 54 (1999): 375-421.

April 1998Costs of Equity Capital and Model Mispricing
with Lubos Pastor: w6490

Published: Journal of Finance, Vol. 54 (1999): 67-121. citation courtesy of

February 1997Analyzing Investments Whose Histories Differ in Length
w5918

Published: Journal of Financial Economics, Vol. 45 (1997): 285-331. citation courtesy of

January 1995On the Predictability of Stock Returns: An Asset-Allocation Perspective
with Shmuel Kandel: w4997

Published: Journal of Finance 51 (1996):385-424. citation courtesy of

April 1994Portfolio Inefficiency and the Cross-Section of Expected Returns
with Shmuel Kandel: w4702

Published: Journal of Finance 50(1995):157-184. citation courtesy of

August 1993Estimating Conditional Expectations when Volatility Fluctuates
t0140
May 1993Bayesian Inference and Portfolio Efficiency
with Shmuel Kandel, Robert McCulloch: t0134

Published: in Review of Financial Studies August 1995, pp.1-53.

February 1991Asset Returns and Intertemporal Preferences
with Shmuel Kandel: w3633

Published: Journal of Monetary Economics, Vol. 27 No. 1, pp. 39-71, February 1991. citation courtesy of

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers onlyInformation about this author at RePEc

 
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