Details about Robert F. Stambaugh

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

Access statistics for papers by Robert F. Stambaugh.

Last updated 2024-06-10. Update your information in the RePEc Author Service.

Short-id: pst282

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Jump to Journal Articles

Working Papers

2023

1. Green Tilts
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2023)

2022

2. Dissecting Green Returns
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2021) View citations (31)
   See also Journal Article Dissecting green returns, Journal of Financial Economics, Elsevier (2022) View citations (98) (2022)

2021

3. Diseconomies of Scale in Active Management: Robust Evidence
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   See also Journal Article Diseconomies of Scale in Active Management: Robust Evidence, Critical Finance Review, now publishers (2022) View citations (1) (2022)
4. Pricing Without Mispricing
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)

2020

5. Sustainable Investing in Equilibrium
   Working Papers, Becker Friedman Institute for Research In Economics View citations (55)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2019) View citations (6)
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2019) View citations (6)
   See also Journal Article Sustainable investing in equilibrium, Journal of Financial Economics, Elsevier (2021) View citations (128) (2021)

2019

6. Liquidity Risk After 20 Years
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (10)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2019) View citations (8)
   See also Journal Article Liquidity Risk After 20 Years, Critical Finance Review, now publishers (2019) View citations (8) (2019)
7. Skill and Profit in Active Management
   NBER Working Papers, National Bureau of Economic Research, Inc

2018

8. Size and Value in China
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
   See also Journal Article Size and value in China, Journal of Financial Economics, Elsevier (2019) View citations (163) (2019)

2017

9. Anomalies Abroad: Beyond Data Mining
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (8)
10. Fund Tradeoffs
    NBER Working Papers, National Bureau of Economic Research, Inc
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2017)
    See also Journal Article Fund tradeoffs, Journal of Financial Economics, Elsevier (2020) View citations (1) (2020)
11. Portfolio Liquidity and Diversification: Theory and Evidence
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (2)

2015

12. Mispricing Factors
    NBER Working Papers, National Bureau of Economic Research, Inc
    See also Journal Article Mispricing Factors, The Review of Financial Studies, Society for Financial Studies (2017) View citations (6) (2017)

2014

13. Do Funds Make More When They Trade More?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2014) View citations (2)
    See also Journal Article Do Funds Make More When They Trade More?, Journal of Finance, American Finance Association (2017) View citations (51) (2017)
14. Investment Noise and Trends
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (56)
15. Scale and Skill in Active Management
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (13)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2014) View citations (13)
    See also Journal Article Scale and skill in active management, Journal of Financial Economics, Elsevier (2015) View citations (162) (2015)

2012

16. Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
    See also Journal Article Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle, Journal of Finance, American Finance Association (2015) View citations (312) (2015)
17. The Long of It: Odds that Investor Sentiment Spuriously Predicts Anomaly Returns
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
    See also Journal Article The long of it: Odds that investor sentiment spuriously predicts anomaly returns, Journal of Financial Economics, Elsevier (2014) View citations (72) (2014)

2011

18. The Short of It: Investor Sentiment and Anomalies
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (7)
    See also Journal Article The short of it: Investor sentiment and anomalies, Journal of Financial Economics, Elsevier (2012) View citations (608) (2012)

2010

19. On the Size of the Active Management Industry
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (9)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2010) View citations (9)
    See also Journal Article On the Size of the Active Management Industry, Journal of Political Economy, University of Chicago Press (2012) View citations (78) (2012)

2009

20. Are Stocks Really Less Volatile in the Long Run?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (12)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2009) View citations (11)
    See also Journal Article Are Stocks Really Less Volatile in the Long Run?, Journal of Finance, American Finance Association (2012) View citations (75) (2012)

2008

21. Predictive Systems: Living with Imperfect Predictors
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2007) View citations (3)
    NBER Working Papers, National Bureau of Economic Research, Inc (2007) View citations (3)
    See also Journal Article Predictive Systems: Living with Imperfect Predictors, Journal of Finance, American Finance Association (2009) View citations (142) (2009)

2002

22. Liquidity Risk and Expected Stock Returns
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (8)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2001) View citations (29)
    CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago View citations (16)
    See also Journal Article Liquidity Risk and Expected Stock Returns, Journal of Political Economy, University of Chicago Press (2003) View citations (1892) (2003)

2000

23. Evaluating and Investing in Equity Mutual Funds
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
    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 View citations (1)
24. The Equity Premium and Structural Breaks
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (9)
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (2)
    CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago (2000) View citations (6)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (6)
    See also Journal Article The Equity Premium and Structural Breaks, Journal of Finance, American Finance Association (2001) View citations (149) (2001)

1999

25. Comparing Asset Pricing Models: An Investment Perspective
    NBER 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)
    CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago (1999) View citations (7)
    See also Journal Article Comparing asset pricing models: an investment perspective, Journal of Financial Economics, Elsevier (2000) View citations (193) (2000)
26. Predictive Regressions
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (775)
    See also Journal Article Predictive regressions, Journal of Financial Economics, Elsevier (1999) View citations (745) (1999)

1998

27. Costs of Equity Capital and Model Mispricing
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)
    Also in 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)
    See also Journal Article Costs of Equity Capital and Model Mispricing, Journal of Finance, American Finance Association (1999) View citations (80) (1999)

1997

28. Analyzing Investments Whose Histories Differ in Length
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (72)
    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 Analyzing investments whose histories differ in length, Journal of Financial Economics, Elsevier (1997) View citations (72) (1997)

1995

29. On the Predictability of Stock Returns: An Asset-Allocation Perspective
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (7)
    See also Journal Article On the Predictability of Stock Returns: An Asset-Allocation Perspective, Journal of Finance, American Finance Association (1996) View citations (336) (1996)

1994

30. Portfolio Inefficiency and the Cross-Section of Expected Returns
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)
    See also Journal Article Portfolio Inefficiency and the Cross-Section of Expected Returns, Journal of Finance, American Finance Association (1995) View citations (100) (1995)

1993

31. 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 Bayesian Inference and Portfolio Efficiency, The Review of Financial Studies, Society for Financial Studies (1995) View citations (43) (1995)
32. Estimating Conditional Expectations when Volatility Fluctuates
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (12)
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (7)

1991

33. Asset Returns and Intertemporal Preferences
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (220)
    See also Journal Article Asset returns and intertemporal preferences, Journal of Monetary Economics, Elsevier (1991) View citations (219) (1991)

1990

34. ASSET RETURNS, INVESTMENT HORIZONS, AND INTERTEMPORAL PREFERENCES
    Weiss Center Working Papers, Wharton School - Weiss Center for International Financial Research View citations (7)

Undated

35. 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 A Mean-Variance Framework for Tests of Asset Pricing Models, The Review of Financial Studies, Society for Financial Studies (1989) View citations (27) (1989)
36. Arbitrage Pricing with Heterogeneous Information
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (2)
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
37. 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 (1)
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (4)
38. 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
39. 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
40. 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 (165)
41. 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 Changing Risk, Changing Risk Premiums, and Dividend Yield Effects, The Journal of Business, University of Chicago Press (1990) View citations (29) (1990)
42. 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
43. 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 View citations (1)
44. 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 Investing in equity mutual funds, Journal of Financial Economics, Elsevier (2002) View citations (91) (2002)
45. 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 (29)
46. 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 Mutual fund performance and seemingly unrelated assets, Journal of Financial Economics, Elsevier (2002) View citations (157) (2002)
47. 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 On the exclusion of assets from tests of the two-parameter model: A sensitivity analysis, Journal of Financial Economics, Elsevier (1982) View citations (109) (1982)
48. 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
49. 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
50. 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 (2)
51. 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 (7)
    See also Journal Article Predicting returns in the stock and bond markets, Journal of Financial Economics, Elsevier (1986) View citations (695) (1986)
52. 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 Testing the CAPM with broader market indexes: A problem of mean-deficiency, Journal of Banking & Finance, Elsevier (1983) (1983)

Journal Articles

2022

1. Diseconomies of Scale in Active Management: Robust Evidence
   Critical Finance Review, 2022, 11, (3-4), 593-611 View citations (1)
   See also Working Paper Diseconomies of Scale in Active Management: Robust Evidence, CEPR Discussion Papers (2021) (2021)
2. Dissecting green returns
   Journal of Financial Economics, 2022, 146, (2), 403-424 View citations (98)
   See also Working Paper Dissecting Green Returns, CEPR Discussion Papers (2022) (2022)

2021

3. Investing in Socially Responsible Mutual Funds
   (Should investors avoid all actively managed mutual funds? A study in Bayesian performance evaluation)
   The Review of Asset Pricing Studies, 2021, 11, (2), 309-351 View citations (8)
4. Sustainable investing in equilibrium
   Journal of Financial Economics, 2021, 142, (2), 550-571 View citations (128)
   See also Working Paper Sustainable Investing in Equilibrium, Working Papers (2020) View citations (55) (2020)

2020

5. Fund tradeoffs
   Journal of Financial Economics, 2020, 138, (3), 614-634 View citations (1)
   See also Working Paper Fund Tradeoffs, NBER Working Papers (2017) (2017)

2019

6. Liquidity Risk After 20 Years
   Critical Finance Review, 2019, 8, (1-2), 277-299 View citations (8)
   See also Working Paper Liquidity Risk After 20 Years, NBER Working Papers (2019) View citations (10) (2019)
7. Size and value in China
   Journal of Financial Economics, 2019, 134, (1), 48-69 View citations (163)
   See also Working Paper Size and Value in China, NBER Working Papers (2018) View citations (6) (2018)

2018

8. Absolving beta of volatility’s effects
   Journal of Financial Economics, 2018, 128, (1), 1-15 View citations (39)

2017

9. Do Funds Make More When They Trade More?
   Journal of Finance, 2017, 72, (4), 1483-1528 View citations (51)
   See also Working Paper Do Funds Make More When They Trade More?, NBER Working Papers (2014) View citations (2) (2014)
10. Mispricing Factors
    The Review of Financial Studies, 2017, 30, (4), 1270-1315 View citations (6)
    See also Working Paper Mispricing Factors, NBER Working Papers (2015) (2015)

2015

11. Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle
    Journal of Finance, 2015, 70, (5), 1903-1948 View citations (312)
    See also Working Paper Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle, NBER Working Papers (2012) View citations (6) (2012)
12. Scale and skill in active management
    Journal of Financial Economics, 2015, 116, (1), 23-45 View citations (162)
    See also Working Paper Scale and Skill in Active Management, NBER Working Papers (2014) View citations (13) (2014)

2014

13. Presidential Address: Investment Noise and Trends
    Journal of Finance, 2014, 69, (4), 1415-1453 View citations (58)
14. The long of it: Odds that investor sentiment spuriously predicts anomaly returns
    Journal of Financial Economics, 2014, 114, (3), 613-619 View citations (72)
    See also Working Paper The Long of It: Odds that Investor Sentiment Spuriously Predicts Anomaly Returns, NBER Working Papers (2012) View citations (1) (2012)

2012

15. Are Stocks Really Less Volatile in the Long Run?
    Journal of Finance, 2012, 67, (2), 431-478 View citations (75)
    See also Working Paper Are Stocks Really Less Volatile in the Long Run?, CEPR Discussion Papers (2009) View citations (12) (2009)
16. On the Size of the Active Management Industry
    Journal of Political Economy, 2012, 120, (4), 740 - 781 View citations (78)
    See also Working Paper On the Size of the Active Management Industry, CEPR Discussion Papers (2010) View citations (9) (2010)
17. The short of it: Investor sentiment and anomalies
    Journal of Financial Economics, 2012, 104, (2), 288-302 View citations (608)
    See also Working Paper The Short of It: Investor Sentiment and Anomalies, NBER Working Papers (2011) View citations (7) (2011)

2011

18. Inference about Survivors
    Quarterly Journal of Finance (QJF), 2011, 01, (03), 423-464

2009

19. Predictive Systems: Living with Imperfect Predictors
    Journal of Finance, 2009, 64, (4), 1583-1628 View citations (142)
    See also Working Paper Predictive Systems: Living with Imperfect Predictors, NBER Working Papers (2008) View citations (6) (2008)

2006

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

2005

21. Report of the Editor of The Journal of Finance for the Year 2004
    Journal of Finance, 2005, 60, (4), 2125-2139

2003

22. Liquidity Risk and Expected Stock Returns
    Journal of Political Economy, 2003, 111, (3), 642-685 View citations (1892)
    See also Working Paper Liquidity Risk and Expected Stock Returns, CEPR Discussion Papers (2002) View citations (8) (2002)

2002

23. Investing in equity mutual funds
    Journal of Financial Economics, 2002, 63, (3), 351-380 View citations (91)
    See also Working Paper Investing in Equity Mutual Funds, CRSP working papers View citations (1)
24. Mutual fund performance and seemingly unrelated assets
    Journal of Financial Economics, 2002, 63, (3), 315-349 View citations (157)
    See also Working Paper Mutual Fund Performance and Seemingly Unrelated Assets.”, CRSP working papers View citations (3)

2001

25. The Equity Premium and Structural Breaks
    Journal of Finance, 2001, 56, (4), 1207-1239 View citations (149)
    See also Working Paper The Equity Premium and Structural Breaks, NBER Working Papers (2000) View citations (9) (2000)

2000

26. Comparing asset pricing models: an investment perspective
    Journal of Financial Economics, 2000, 56, (3), 335-381 View citations (193)
    See also Working Paper Comparing Asset Pricing Models: An Investment Perspective, NBER Working Papers (1999) View citations (7) (1999)

1999

27. Costs of Equity Capital and Model Mispricing
    Journal of Finance, 1999, 54, (1), 67-121 View citations (80)
    See also Working Paper Costs of Equity Capital and Model Mispricing, NBER Working Papers (1998) View citations (3) (1998)
28. Predictive regressions
    Journal of Financial Economics, 1999, 54, (3), 375-421 View citations (745)
    See also Working Paper Predictive Regressions, NBER Technical Working Papers (1999) View citations (775) (1999)

1997

29. Analyzing investments whose histories differ in length
    Journal of Financial Economics, 1997, 45, (3), 285-331 View citations (72)
    See also Working Paper Analyzing Investments Whose Histories Differ in Length, NBER Working Papers (1997) View citations (72) (1997)

1996

30. On the Predictability of Stock Returns: An Asset-Allocation Perspective
    Journal of Finance, 1996, 51, (2), 385-424 View citations (336)
    See also Working Paper On the Predictability of Stock Returns: An Asset-Allocation Perspective, NBER Working Papers (1995) View citations (7) (1995)

1995

31. Bayesian Inference and Portfolio Efficiency
    The Review of Financial Studies, 1995, 8, (1), 1-53 View citations (43)
    See also Working Paper Bayesian Inference and Portfolio Efficiency, NBER Technical Working Papers (1993) (1993)
32. Portfolio Inefficiency and the Cross-Section of Expected Returns
    Journal of Finance, 1995, 50, (1), 157-84 View citations (100)
    See also Working Paper Portfolio Inefficiency and the Cross-Section of Expected Returns, NBER Working Papers (1994) View citations (3) (1994)

1994

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

1991

34. Asset returns and intertemporal preferences
    Journal of Monetary Economics, 1991, 27, (1), 39-71 View citations (219)
    See also Working Paper Asset Returns and Intertemporal Preferences, NBER Working Papers (1991) View citations (220) (1991)

1990

35. Changing Risk, Changing Risk Premiums, and Dividend Yield Effects
    The Journal of Business, 1990, 63, (1), S51-70 View citations (29)
    See also Working Paper Changing Risk, Changing Risk Premiums, and Dividend Yield Effects, Rodney L. White Center for Financial Research Working Papers
36. Expectations and Volatility of Consumption and Asset Returns
    The Review of Financial Studies, 1990, 3, (2), 207-32 View citations (115)

1989

37. A Mean-Variance Framework for Tests of Asset Pricing Models
    The Review of Financial Studies, 1989, 2, (2), 125-56 View citations (27)
    See also Working Paper A Mean-Variance Framework for Tests for Asset Pricing Models, Rodney L. White Center for Financial Research Working Papers

1988

38. Stable Factors in Security Returns: Identification Using Cross-Validation: Comment
    Journal of Business & Economic Statistics, 1988, 6, (1), 20-21
39. The information in forward rates: Implications for models of the term structure
    Journal of Financial Economics, 1988, 21, (1), 41-70 View citations (110)

1987

40. Expected stock returns and volatility
    Journal of Financial Economics, 1987, 19, (1), 3-29 View citations (1634)
41. Mimicking Portfolios and Exact Arbitrage Pricing
    Journal of Finance, 1987, 42, (1), 1-9 View citations (70)
42. On correlations and inferences about mean-variance efficiency
    Journal of Financial Economics, 1987, 18, (1), 61-90 View citations (55)
43. Tests of Asset Pricing with Time-Varying Expected Risk Premiums and Market Betas
    Journal of Finance, 1987, 42, (2), 201-20 View citations (58)

1986

44. Does the Stock Market Rationally Reflect Fundamental Values? Discussion
    Journal of Finance, 1986, 41, (3), 601-02
45. Predicting returns in the stock and bond markets
    Journal of Financial Economics, 1986, 17, (2), 357-390 View citations (695)
    See also Working Paper Predicting Returns in the Stock and Bond Markets, Rodney L. White Center for Financial Research Working Papers View citations (7)

1984

46. A Further Investigation of the Weekend Effect in Stock Returns
    Journal of Finance, 1984, 39, (3), 819-35 View citations (222)

1983

47. Arbitrage pricing with information
    Journal of Financial Economics, 1983, 12, (3), 357-369 View citations (8)
48. Biases in computed returns: An application to the size effect
    Journal of Financial Economics, 1983, 12, (3), 387-404 View citations (225)
49. 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 Testing the CAPM with Broader Market Indexes: A Problem of Mean-Deficiency, Rodney L. White Center for Financial Research Working Papers

1982

50. 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 (109)
    See also Working Paper On the Exclusion of Assets from Tests of the Two-Parameter Model: A Sensitivity Analysis, Rodney L. White Center for Financial Research Working Papers

1977

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