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 2023-06-08. Update your information in the RePEc Author Service.

Short-id: pst282

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Working Papers

2022

1. 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 (28)
   See also Journal Article in Journal of Financial Economics (2022)

2021

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

2020

4. Sustainable Investing in Equilibrium
   Working Papers, Becker Friedman Institute for Research In Economics View citations (48)
   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 in Journal of Financial Economics (2021)

2019

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

2018

7. Size and Value in China
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (5)
   See also Journal Article in Journal of Financial Economics (2019)

2017

8. Anomalies Abroad: Beyond Data Mining
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (5)
9. Fund Tradeoffs
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2017)
   See also Journal Article in Journal of Financial Economics (2020)
10. Portfolio Liquidity and Diversification: Theory and Evidence
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (2)

2015

11. Mispricing Factors
    NBER Working Papers, National Bureau of Economic Research, Inc
    See also Journal Article in Review of Financial Studies (2017)

2014

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

2012

15. Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
    See also Journal Article in Journal of Finance (2015)
16. 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 in Journal of Financial Economics (2014)

2011

17. The Short of It: Investor Sentiment and Anomalies
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
    See also Journal Article in Journal of Financial Economics (2012)

2010

18. 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 in Journal of Political Economy (2012)

2009

19. 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 in Journal of Finance (2012)

2008

20. 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 in Journal of Finance (2009)

2002

21. Liquidity Risk and Expected Stock Returns
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (8)
    Also in CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago View citations (16)
    NBER Working Papers, National Bureau of Economic Research, Inc (2001) View citations (28)
    See also Journal Article in Journal of Political Economy (2003)

2000

22. 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)
23. 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 (6)
    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 (2)
    See also Journal Article in Journal of Finance (2001)

1999

24. Comparing Asset Pricing Models: An Investment Perspective
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (7)
    Also in CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago (1999) View citations (7)
    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 in Journal of Financial Economics (2000)
25. Predictive Regressions
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (749)
    See also Journal Article in Journal of Financial Economics (1999)

1998

26. 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 in Journal of Finance (1999)

1997

27. 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 in Journal of Financial Economics (1997)

1995

28. 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 in Journal of Finance (1996)

1994

29. 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 in Journal of Finance (1995)

1993

30. 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)
31. 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

32. Asset Returns and Intertemporal Preferences
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (219)
    See also Journal Article in Journal of Monetary Economics (1991)

1990

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

Undated

34. 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)
35. 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 (2)
36. 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)
37. 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
38. 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
39. 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)
40. 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)
41. 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
42. 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)
43. 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)
44. 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)
45. 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)
46. 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)
47. 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
48. 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
49. 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)
50. 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 in Journal of Financial Economics (1986)
51. 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

2022

1. Diseconomies of Scale in Active Management: Robust Evidence
   Critical Finance Review, 2022, 11, (3-4), 593-611
   See also Working Paper (2021)
2. Dissecting green returns
   Journal of Financial Economics, 2022, 146, (2), 403-424 View citations (35)
   See also Working Paper (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 (5)
4. Sustainable investing in equilibrium
   Journal of Financial Economics, 2021, 142, (2), 550-571 View citations (128)
   See also Working Paper (2020)

2020

5. Fund tradeoffs
   Journal of Financial Economics, 2020, 138, (3), 614-634
   See also Working Paper (2017)

2019

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

2018

8. Absolving beta of volatility’s effects
   Journal of Financial Economics, 2018, 128, (1), 1-15 View citations (34)

2017

9. Do Funds Make More When They Trade More?
   Journal of Finance, 2017, 72, (4), 1483-1528 View citations (45)
   See also Working Paper (2014)
10. Mispricing Factors
    Review of Financial Studies, 2017, 30, (4), 1270-1315 View citations (5)
    See also Working Paper (2015)

2015

11. Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle
    Journal of Finance, 2015, 70, (5), 1903-1948 View citations (266)
    See also Working Paper (2012)
12. Scale and skill in active management
    Journal of Financial Economics, 2015, 116, (1), 23-45 View citations (151)
    See also Working Paper (2014)

2014

13. Presidential Address: Investment Noise and Trends
    Journal of Finance, 2014, 69, (4), 1415-1453 View citations (52)
14. The long of it: Odds that investor sentiment spuriously predicts anomaly returns
    Journal of Financial Economics, 2014, 114, (3), 613-619 View citations (61)
    See also Working Paper (2012)

2012

15. Are Stocks Really Less Volatile in the Long Run?
    Journal of Finance, 2012, 67, (2), 431-478 View citations (72)
    See also Working Paper (2009)
16. On the Size of the Active Management Industry
    Journal of Political Economy, 2012, 120, (4), 740 - 781 View citations (75)
    See also Working Paper (2010)
17. The short of it: Investor sentiment and anomalies
    Journal of Financial Economics, 2012, 104, (2), 288-302 View citations (551)
    See also Working Paper (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 (138)
    See also Working Paper (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 (1814)
    See also Working Paper (2002)

2002

23. Investing in equity mutual funds
    Journal of Financial Economics, 2002, 63, (3), 351-380 View citations (87)
    See also Working Paper
24. Mutual fund performance and seemingly unrelated assets
    Journal of Financial Economics, 2002, 63, (3), 315-349 View citations (151)
    See also Working Paper

2001

25. The Equity Premium and Structural Breaks
    Journal of Finance, 2001, 56, (4), 1207-1239 View citations (144)
    See also Working Paper (2000)

2000

26. Comparing asset pricing models: an investment perspective
    Journal of Financial Economics, 2000, 56, (3), 335-381 View citations (176)
    See also Working Paper (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 (1998)
28. Predictive regressions
    Journal of Financial Economics, 1999, 54, (3), 375-421 View citations (746)
    See also Working Paper (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 (1997)

1996

30. On the Predictability of Stock Returns: An Asset-Allocation Perspective
    Journal of Finance, 1996, 51, (2), 385-424 View citations (325)
    See also Working Paper (1995)

1995

31. Bayesian Inference and Portfolio Efficiency
    Review of Financial Studies, 1995, 8, (1), 1-53 View citations (42)
    See also Working Paper (1993)
32. Portfolio Inefficiency and the Cross-Section of Expected Returns
    Journal of Finance, 1995, 50, (1), 157-84 View citations (96)
    See also Working Paper (1994)

1994

33. A Mean-Variance Framework for Tests of Asset Pricing Models: Correction
    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 (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
36. Expectations and Volatility of Consumption and Asset Returns
    Review of Financial Studies, 1990, 3, (2), 207-32 View citations (112)

1989

37. A Mean-Variance Framework for Tests of Asset Pricing Models
    Review of Financial Studies, 1989, 2, (2), 125-56 View citations (26)
    See also Working Paper

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 (1602)
41. Mimicking Portfolios and Exact Arbitrage Pricing
    Journal of Finance, 1987, 42, (1), 1-9 View citations (66)
42. On correlations and inferences about mean-variance efficiency
    Journal of Financial Economics, 1987, 18, (1), 61-90 View citations (53)
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 (686)
    See also Working Paper

1984

46. A Further Investigation of the Weekend Effect in Stock Returns
    Journal of Finance, 1984, 39, (3), 819-35 View citations (215)

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 (223)
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

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 (106)
    See also Working Paper

1977

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