Details about Robert F. Stambaugh

Access statistics for papers by Robert F. Stambaugh.

Last updated 2012-02-13. Update your information in the RePEc Author Service.

Short-id: pst282

Working Papers

2011

1. The Short of It: Investor Sentiment and Anomalies
   NBER Working Papers, National Bureau of Economic Research, Inc

2010

2. On the Size of the Active Management Industry
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2010) View citations (4)
   Working Papers, Becker Friedman Institute for Research In Economics (2010) View citations (2)

2009

3. Are Stocks Really Less Volatile in the Long Run?
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (7)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2009) View citations (2)

2008

4. Predictive Systems: Living with Imperfect Predictors
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2007) View citations (7)
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2007) View citations (1)
   See also Journal Article in Journal of Finance (2009)

2002

5. Liquidity Risk and Expected Stock Returns
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (6)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2001) View citations (14)
   CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago View citations (17)
   See also Journal Article in Journal of Political Economy (2003)

2000

6. Evaluating and Investing in Equity Mutual Funds
   NBER Working Papers, National Bureau of Economic Research, Inc
   Also in CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago
   Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
7. The Equity Premium and Structural Breaks
   CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago View citations (2)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2000) View citations (6)
   Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (2)
   Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (2)

1999

8. Comparing Asset Pricing Models: An Investment Perspective
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
   Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (6)
   CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago (1999) View citations (6)
   See also Journal Article in Journal of Financial Economics (2000)
9. Predictive Regressions
   NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (249)
   See also Journal Article in Journal of Financial Economics (1999)

1998

10. Costs of Equity Capital and Model Mispricing
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (1)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (1)
    See also Journal Article in Journal of Finance (1999)

1997

11. Analyzing Investments Whose Histories Differ in Length
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (36)
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (1)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (1)
    See also Journal Article in Journal of Financial Economics (1997)

1995

12. On the Predictability of Stock Returns: An Asset-Allocation Perspective
    NBER Working Papers, National Bureau of Economic Research, Inc
    See also Journal Article in Journal of Finance (1996)

1994

13. Portfolio Inefficiency and the Cross-Section of Expected Returns
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
    See also Journal Article in Journal of Finance (1995)

1993

14. Bayesian Inference and Portfolio Efficiency
    NBER Technical Working Papers, National Bureau of Economic Research, Inc
    Also in Weiss Center Working Papers, Wharton School - Weiss Center for International Financial Research (1991) View citations (1)
    See also Journal Article in Review of Financial Studies (1995)
15. Estimating Conditional Expectations when Volatility Fluctuates
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (7)
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (7)

1991

16. Asset Returns and Intertemporal Preferences
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (123)
    See also Journal Article in Journal of Monetary Economics (1991)

1990

17. ASSET RETURNS, INVESTMENT HORIZONS, AND INTERTEMPORAL PREFERENCES
    Weiss Center Working Papers, Wharton School - Weiss Center for International Financial Research View citations (6)

Undated

18. A Mean-Variance Framework for Tests for Asset Pricing Models
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
    See also Journal Article in Review of Financial Studies (1989)
19. Arbitrage Pricing with Heterogeneous Information
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
20. Asset Returns, Investment Horizons, and Intertemporal Preferences (Reprint 009)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (3)
21. Bayesian Inference and Portfolio Efficiency (Revised: 4-93)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
22. Bayesian Inference and Portfolio Efficiency (Revision of 8-91) (Reprint 046)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
23. Biases in Computed Returns: An Application to the Size Effect (Revision of 2-83)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (35)
24. Changing Risk, Changing Risk Premiums, and Dividend Yield Effects
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
    See also Journal Article in The Journal of Business (1990)
25. Costs of Equity from Factor-Based Models (Revised 4-98)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
26. Expectations and Volatility of Long-Horizon Stock Returns
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
27. Investing in Equity Mutual Funds
    CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago View citations (1)
    See also Journal Article in Journal of Financial Economics (2002)
28. Modeling Expected Stock Returns for Long and Short Horizons
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (16)
29. Mutual Fund Performance and Seemingly Unrelated Assets.”
    CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago View citations (3)
    See also Journal Article in Journal of Financial Economics (2002)
30. On the Exclusion of Assets from Tests of the Two-Parameter Model: A Sensitivity Analysis
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
    See also Journal Article in Journal of Financial Economics (1982)
31. On the Predictability of Stock Returns: An Asset-Allocation Perspective (Reprint 057)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
32. Portfolio Inefficiency and the Cross-Section of Expected Returns (Revision of 3-93)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
33. Portfolio Inefficiency and the Cross-Section of Mean Returns (Revised: 6-94)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (1)
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
34. Predicting Returns in the Stock and Bond Markets
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (8)
    See also Journal Article in Journal of Financial Economics (1986)
35. Testing the CAPM with Broader Market Indexes: A Problem of Mean-Deficiency
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
    See also Journal Article in Journal of Banking & Finance (1983)

Journal Articles

2009

1. Predictive Systems: Living with Imperfect Predictors
   Journal of Finance, 2009, 64, (4), 1583-1628 View citations (9)
   See also Working Paper (2008)

2006

2. Report of the Editor of "The Journal of Finance" for the Year 2005
   Journal of Finance, 2006, 61, (4), 2047-2062

2004

3. Report of the Editor of "The Journal of Finance" for the Year 2003
   Journal of Finance, 2004, 59, (4), 1931-1932

2003

4. Liquidity Risk and Expected Stock Returns
   Journal of Political Economy, 2003, 111, (3), 642-685 View citations (284)
   See also Working Paper (2002)

2002

5. Investing in equity mutual funds
   Journal of Financial Economics, 2002, 63, (3), 351-380 View citations (36)
   See also Working Paper
6. Mutual fund performance and seemingly unrelated assets
   Journal of Financial Economics, 2002, 63, (3), 315-349 View citations (45)
   See also Working Paper

2000

7. Comparing asset pricing models: an investment perspective
   Journal of Financial Economics, 2000, 56, (3), 335-381 View citations (58)
   See also Working Paper (1999)

1999

8. Costs of Equity Capital and Model Mispricing
   Journal of Finance, 1999, 54, (1), 67-121 View citations (33)
   See also Working Paper (1998)
9. Predictive regressions
   Journal of Financial Economics, 1999, 54, (3), 375-421 View citations (247)
   See also Working Paper (1999)

1997

10. Analyzing investments whose histories differ in length
    Journal of Financial Economics, 1997, 45, (3), 285-331 View citations (36)
    See also Working Paper (1997)

1996

11. On the Predictability of Stock Returns: An Asset-Allocation Perspective
    Journal of Finance, 1996, 51, (2), 385-424 View citations (97)
    See also Working Paper (1995)

1995

12. Bayesian Inference and Portfolio Efficiency
    Review of Financial Studies, 1995, 8, (1), 1-53 View citations (27)
    See also Working Paper (1993)
13. Portfolio Inefficiency and the Cross-Section of Expected Returns
    Journal of Finance, 1995, 50, (1), 157-84 View citations (16)
    See also Working Paper (1994)

1994

14. A Mean-Variance Framework for Tests of Asset Pricing Models: Correction
    Review of Financial Studies, 1994, 7, (4), 803-04

1991

15. Asset returns and intertemporal preferences
    Journal of Monetary Economics, 1991, 27, (1), 39-71 View citations (122)
    See also Working Paper (1991)

1990

16. Changing Risk, Changing Risk Premiums, and Dividend Yield Effects
    The Journal of Business, 1990, 63, (1), S51-70 View citations (9)
    See also Working Paper
17. Expectations and Volatility of Consumption and Asset Returns
    Review of Financial Studies, 1990, 3, (2), 207-32 View citations (57)

1989

18. A Mean-Variance Framework for Tests of Asset Pricing Models
    Review of Financial Studies, 1989, 2, (2), 125-56 View citations (11)
    See also Working Paper

1988

19. Stable Factors in Security Returns: Identification Using Cross-Validation: Comment
    Journal of Business & Economic Statistics, 1988, 6, (1), 20-21
20. The information in forward rates: Implications for models of the term structure
    Journal of Financial Economics, 1988, 21, (1), 41-70 View citations (65)

1987

21. Expected stock returns and volatility
    Journal of Financial Economics, 1987, 19, (1), 3-29 View citations (589)
22. Mimicking Portfolios and Exact Arbitrage Pricing
    Journal of Finance, 1987, 42, (1), 1-9 View citations (34)
23. On correlations and inferences about mean-variance efficiency
    Journal of Financial Economics, 1987, 18, (1), 61-90 View citations (37)
24. Tests of Asset Pricing with Time-Varying Expected Risk Premiums and Market Betas
    Journal of Finance, 1987, 42, (2), 201-20 View citations (16)

1986

25. Does the Stock Market Rationally Reflect Fundamental Values? Discussion
    Journal of Finance, 1986, 41, (3), 601-02
26. Predicting returns in the stock and bond markets
    Journal of Financial Economics, 1986, 17, (2), 357-390 View citations (275)
    See also Working Paper

1984

27. A Further Investigation of the Weekend Effect in Stock Returns
    Journal of Finance, 1984, 39, (3), 819-35 View citations (79)

1983

28. Arbitrage pricing with information
    Journal of Financial Economics, 1983, 12, (3), 357-369 View citations (5)
29. Biases in computed returns: An application to the size effect
    Journal of Financial Economics, 1983, 12, (3), 387-404 View citations (55)
30. Testing the CAPM with broader market indexes: A problem of mean-deficiency
    Journal of Banking & Finance, 1983, 7, (1), 5-16
    See also Working Paper

1982

31. On the exclusion of assets from tests of the two-parameter model: A sensitivity analysis
    Journal of Financial Economics, 1982, 10, (3), 237-268 View citations (38)
    See also Working Paper

1977

32. Inequaltty and social status in successive generations
    European Economic Review, 1977, 10, (2), 125-139