Robert Stambaugh
41 catalog papers. Identity-linked publications and additional name matches are distinguished below.
ORCID: 0009-0008-5137-9045
University of Pennsylvania, 3620 Locust Walk, Philadelphia, PA 19104, USA; NBER, USA
Publications
- Green tilts — Journal of Financial Economics 2025
- Dissecting green returns — Journal of Financial Economics 2022
- Sustainable investing in equilibrium — Journal of Financial Economics 2021
- Fund tradeoffs — Journal of Financial Economics 2020
- Size and value in China — Journal of Financial Economics 2019
- Absolving beta of volatility’s effects — Journal of Financial Economics 2018
- Do Funds Make More When They Trade More? — The Journal of Finance 2017
- Mispricing Factors — The Review of Financial Studies 2017
- Scale and skill in active management — Journal of Financial Economics 2015
- Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle — The Journal of Finance 2015
- The long of it: Odds that investor sentiment spuriously predicts anomaly returns — Journal of Financial Economics 2014
- Presidential Address: Investment Noise and Trends — The Journal of Finance 2014
- On the Size of the Active Management Industry — Journal of Political Economy 2012
- Are Stocks Really Less Volatile in the Long Run? — The Journal of Finance 2012
- The short of it: Investor sentiment and anomalies — Journal of Financial Economics 2012
- Predictive Systems: Living with Imperfect Predictors — The Journal of Finance 2009
- Report of the Editor ofThe Journal of Financefor the Year 2005 — The Journal of Finance 2006
- Liquidity Risk and Expected Stock Returns — Journal of Political Economy 2003
- Mutual fund performance and seemingly unrelated assets — Journal of Financial Economics 2002
- Investing in equity mutual funds — Journal of Financial Economics 2002
- The Equity Premium and Structural Breaks — The Journal of Finance 2001
- Comparing asset pricing models: an investment perspective — Journal of Financial Economics 2000
- Costs of Equity Capital and Model Mispricing — The Journal of Finance 1999
- Predictive regressions — Journal of Financial Economics 1999
- Analyzing investments whose histories differ in length — Journal of Financial Economics 1997
- On the Predictability of Stock Returns: An Asset-Allocation Perspective — The Journal of Finance 1996
- Bayesian Inference and Portfolio Efficiency — The Review of Financial Studies 1995
- Portfolio Inefficiency and the Cross-section of Expected Returns — The Journal of Finance 1995
- Correction: A Mean-Variance Framework for Tests of Asset Pricing Models — The Review of Financial Studies 1994
- Expectations and Volatility of Consumption and Asset Returns — The Review of Financial Studies 1990
- A Mean-Variance Framework for Tests of Asset Pricing Models — The Review of Financial Studies 1989
- The information in forward rates — Journal of Financial Economics 1988
- Tests of Asset Pricing with Time-Varying Expected Risk Premiums and Market Betas — The Journal of Finance 1987
- Expected stock returns and volatility — Journal of Financial Economics 1987
- On correlations and inferences about mean-variance efficiency — Journal of Financial Economics 1987
- Mimicking Portfolios and Exact Arbitrage Pricing — The Journal of Finance 1987
- Predicting returns in the stock and bond markets — Journal of Financial Economics 1986
- A Further Investigation of the Weekend Effect in Stock Returns — The Journal of Finance 1984
- Arbitrage pricing with information — Journal of Financial Economics 1983
- Biases in computed returns: An application to the size effect — Journal of Financial Economics 1983
- On the exclusion of assets from tests of the two-parameter model — Journal of Financial Economics 1982