EconPapers    
Economics at your fingertips  
 

Details about Robert F. Stambaugh

Homepage:http://finance.wharton.upenn.edu/~stambaug/
Workplace:Finance Department, Wharton School, University of Pennsylvania, (more information at EDIRC)
National Bureau of Economic Research (NBER), (more information at EDIRC)

Access statistics for papers by Robert F. Stambaugh.

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

Short-id: pst282


Jump to Journal Articles

Working Papers

2014

  1. Investment Noise and Trends
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
  2. Scale and Skill in Active Management
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads

2012

  1. Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (2)
  2. The Long of It: Odds that Investor Sentiment Spuriously Predicts Anomaly Returns
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads

2011

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

2010

  1. On the Size of the Active Management Industry
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (3)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2010) Downloads View citations (5)
    Working Papers, Becker Friedman Institute for Research In Economics (2010) Downloads View citations (3)

2009

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

2008

  1. Predictive Systems: Living with Imperfect Predictors
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2007) Downloads View citations (1)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2007) Downloads View citations (1)

    See also Journal Article in Journal of Finance (2009)

2002

  1. Liquidity Risk and Expected Stock Returns
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (7)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2001) Downloads View citations (15)
    CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago Downloads View citations (17)

    See also Journal Article in Journal of Political Economy (2003)

2000

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

1999

  1. Comparing Asset Pricing Models: An Investment Perspective
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (6)
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research Downloads View citations (6)
    CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago (1999) Downloads View citations (6)

    See also Journal Article in Journal of Financial Economics (2000)
  2. Predictive Regressions
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (334)
    See also Journal Article in Journal of Financial Economics (1999)

1998

  1. Costs of Equity Capital and Model Mispricing
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (2)
    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

  1. Analyzing Investments Whose Histories Differ in Length
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (42)
    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

  1. On the Predictability of Stock Returns: An Asset-Allocation Perspective
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    See also Journal Article in Journal of Finance (1996)

1994

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

1993

  1. Bayesian Inference and Portfolio Efficiency
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads
    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)
  2. Estimating Conditional Expectations when Volatility Fluctuates
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (8)
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (7)

1991

  1. Asset Returns and Intertemporal Preferences
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (141)
    See also Journal Article in Journal of Monetary Economics (1991)

1990

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

Undated

  1. 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)
  2. 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 View citations (1)
  3. 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 View citations (3)
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
  4. 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
  5. 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
  6. 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 (52)
  7. 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)
  8. 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
  9. 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
  10. Investing in Equity Mutual Funds
    CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago Downloads View citations (1)
    See also Journal Article in Journal of Financial Economics (2002)
  11. 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)
  12. 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)
  13. 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)
  14. 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
  15. 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
  16. 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
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (1)
  17. 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)
  18. 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 Downloads View citations (33)
    See also Working Paper (2008)

2006

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

2004

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

2003

  1. Liquidity Risk and Expected Stock Returns
    Journal of Political Economy, 2003, 111, (3), 642-685 Downloads View citations (462)
    See also Working Paper (2002)

2002

  1. Investing in equity mutual funds
    Journal of Financial Economics, 2002, 63, (3), 351-380 Downloads View citations (45)
    See also Working Paper
  2. Mutual fund performance and seemingly unrelated assets
    Journal of Financial Economics, 2002, 63, (3), 315-349 Downloads View citations (68)
    See also Working Paper

2000

  1. Comparing asset pricing models: an investment perspective
    Journal of Financial Economics, 2000, 56, (3), 335-381 Downloads View citations (80)
    See also Working Paper (1999)

1999

  1. Costs of Equity Capital and Model Mispricing
    Journal of Finance, 1999, 54, (1), 67-121 Downloads View citations (45)
    See also Working Paper (1998)
  2. Predictive regressions
    Journal of Financial Economics, 1999, 54, (3), 375-421 Downloads View citations (332)
    See also Working Paper (1999)

1997

  1. Analyzing investments whose histories differ in length
    Journal of Financial Economics, 1997, 45, (3), 285-331 Downloads View citations (42)
    See also Working Paper (1997)

1996

  1. On the Predictability of Stock Returns: An Asset-Allocation Perspective
    Journal of Finance, 1996, 51, (2), 385-424 Downloads View citations (144)
    See also Working Paper (1995)

1995

  1. Bayesian Inference and Portfolio Efficiency
    Review of Financial Studies, 1995, 8, (1), 1-53 Downloads View citations (30)
    See also Working Paper (1993)
  2. Portfolio Inefficiency and the Cross-Section of Expected Returns
    Journal of Finance, 1995, 50, (1), 157-84 Downloads View citations (29)
    See also Working Paper (1994)

1994

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

1991

  1. Asset returns and intertemporal preferences
    Journal of Monetary Economics, 1991, 27, (1), 39-71 Downloads View citations (141)
    See also Working Paper (1991)

1990

  1. Changing Risk, Changing Risk Premiums, and Dividend Yield Effects
    The Journal of Business, 1990, 63, (1), S51-70 Downloads View citations (9)
    See also Working Paper
  2. Expectations and Volatility of Consumption and Asset Returns
    Review of Financial Studies, 1990, 3, (2), 207-32 Downloads View citations (68)

1989

  1. A Mean-Variance Framework for Tests of Asset Pricing Models
    Review of Financial Studies, 1989, 2, (2), 125-56 Downloads View citations (15)
    See also Working Paper

1988

  1. Stable Factors in Security Returns: Identification Using Cross-Validation: Comment
    Journal of Business & Economic Statistics, 1988, 6, (1), 20-21
  2. The information in forward rates: Implications for models of the term structure
    Journal of Financial Economics, 1988, 21, (1), 41-70 Downloads View citations (72)

1987

  1. Expected stock returns and volatility
    Journal of Financial Economics, 1987, 19, (1), 3-29 Downloads View citations (722)
  2. Mimicking Portfolios and Exact Arbitrage Pricing
    Journal of Finance, 1987, 42, (1), 1-9 Downloads View citations (41)
  3. On correlations and inferences about mean-variance efficiency
    Journal of Financial Economics, 1987, 18, (1), 61-90 Downloads View citations (37)
  4. Tests of Asset Pricing with Time-Varying Expected Risk Premiums and Market Betas
    Journal of Finance, 1987, 42, (2), 201-20 Downloads View citations (21)

1986

  1. Does the Stock Market Rationally Reflect Fundamental Values? Discussion
    Journal of Finance, 1986, 41, (3), 601-02 Downloads
  2. Predicting returns in the stock and bond markets
    Journal of Financial Economics, 1986, 17, (2), 357-390 Downloads View citations (330)
    See also Working Paper

1984

  1. A Further Investigation of the Weekend Effect in Stock Returns
    Journal of Finance, 1984, 39, (3), 819-35 Downloads View citations (99)

1983

  1. Arbitrage pricing with information
    Journal of Financial Economics, 1983, 12, (3), 357-369 Downloads View citations (6)
  2. Biases in computed returns: An application to the size effect
    Journal of Financial Economics, 1983, 12, (3), 387-404 Downloads View citations (68)
  3. Testing the CAPM with broader market indexes: A problem of mean-deficiency
    Journal of Banking & Finance, 1983, 7, (1), 5-16 Downloads
    See also Working Paper

1982

  1. On the exclusion of assets from tests of the two-parameter model: A sensitivity analysis
    Journal of Financial Economics, 1982, 10, (3), 237-268 Downloads View citations (45)
    See also Working Paper

1977

  1. Inequaltty and social status in successive generations
    European Economic Review, 1977, 10, (2), 125-139 Downloads
 
Page updated 2014-10-22