NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Robert F. Stambaugh

Finance Department
The Wharton School
University of Pennsylvania
Philadelphia, PA 19104-6367
Tel: 215/898-5734
Fax: 215/898-6200

E-Mail: EmailAddress: hidden: you can email any NBER-related person as first underscore last at nber dot org
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NBER Program Affiliations: AP
NBER Affiliation: Research Associate

NBER Working Papers and Publications

September 2017Anomalies Abroad: Beyond Data Mining
with Xiaomeng Lu, Yu Yuan: w23809
August 2017Portfolio Liquidity and Diversification: Theory and Evidence
with Lubos Pastor, Lucian A. Taylor: w23670
September 2015Mispricing Factors
with Yu Yuan: w21533
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

Published: 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. citation courtesy of

November 2012Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle
with Jianfeng Yu, Yu Yuan: w18560

Published: 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. citation courtesy of

July 2012The Long of It: Odds that Investor Sentiment Spuriously Predicts Anomaly Returns
with Jianfeng Yu, Yu Yuan: w18231

Published: “The Long of It: Odds That Investor Sentiment Spuriously Predicts Anomaly Returns,” Journal of Financial Economics (2014): 613–619, with Jianfeng Yu and Yu Yuan. citation courtesy of

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

 
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