Robert F. Stambaugh
Names
first: 
Robert 
middle: 
F. 
last: 
Stambaugh 
Contact
Affiliations

University of Pennsylvania
→ Wharton School of Business
→ Finance Department
 website
 location: Philadelphia, Pennsylvania (United States)

National Bureau of Economic Research (NBER)
 website
 location: Cambridge, Massachusetts (United States)
Research profile
author of:

Liquidity Risk and Expected Stock Returns
by Pastor, Lubos & Stambaugh, Robert F.

Mutual Fund Performance and Seemingly Unrelated Assets.”
by LUBOŠ PÁSTOR & ROBERT F. STAMBAUGH

Liquidity Risk and Expected Stock Returns
by LUBOŠ PÁSTOR & ROBERT F. STAMBAUGH

Investing in Equity Mutual Funds
by LUBOŠ PÁSTOR & ROBERT F. STAMBAUGH

Estimating Conditional Expectations when Volatility Fluctuates
by Robert F. Stambaugh

Liquidity Risk and Expected Stock Returns
by Pástor, Luboš & Stambaugh, Robert F.

On the exclusion of assets from tests of the twoparameter model : A sensitivity analysis
by Stambaugh, Robert F.

Modeling Expected Stock Returns for Long and Short Horizons
by Shmuel Kandel & Robert F. Stambaugh

On correlations and inferences about meanvariance efficiency
by Kandel, Shmuel & Stambaugh, Robert F.

Mimicking Portfolios and Exact Arbitrage Pricing.
by Huberman, Gur & Kandel, Shmuel & Stambaugh, Robert F.

Liquidity Risk and Expected Stock Returns
by Lubos Pastor & Robert F. Stambaugh

Mutual fund performance and seemingly unrelated assets
by Pastor, Lubos & Stambaugh, Robert F.

Evaluating and Investing in Equity Mutual Funds
by Lubos Pastor & Robert F. Stambaugh

Investing in equity mutual funds
by Pastor, Lubos & Stambaugh, Robert F.

Expectations and Volatility of Consumption and Asset Returns.
by Kandel, Shmuel & Stambaugh, Robert F.

On the Predictability of Stock Returns: An AssetAllocation Perspective
by Shmuel Kandel & Robert F. Stambaugh

Evaluating and Investing in Equity Mutual Funds
by Lubos Pastor & Robert F. Stambaugh

Testing the CAPM with broader market indexes : A problem of meandeficiency
by Stambaugh, Robert F.

Expected stock returns and volatility
by French, Kenneth R. & Schwert, G. William & Stambaugh, Robert F.

Expectations and Volatility of LongHorizon Stock Returns
by Shmuel Kandel & Robert F. Stambaugh

On the Predictability of Stock Returns: An AssetAllocation Perspective (Reprint 057)
by Shmuel Kandel & Robert F. Stambaugh

Inequaltty and social status in successive generations
by Thell, Henri & Stambaugh, Robert

On the Exclusion of Assets from Tests of the TwoParameter Model: A Sensitivity Analysis
by Robert Stambaugh

The information in forward rates : Implications for models of the term structure
by Stambaugh, Robert F.

Does the Stock Market Rationally Reflect Fundamental Values? Discussion.
by Stambaugh, Robert F.

Costs of Equity from FactorBased Models (Revised 498)
by Lubos Pastor & Robert F. Stambaugh

Tests of Asset Pricing with TimeVarying Expected Risk Premiums and Market Betas.
by Ferson, Wayne E. & Kandel, Shmuel & Stambaugh, Robert F.

On the Predictability of Stock Returns: An AssetAllocation Perspective.
by Kandel, Shmuel & Stambaugh, Robert F.

Portfolio Inefficiency and the CrossSection of Mean Returns (Revised: 694)
by Shmuel Kandel & Robert F. Stambaugh

Costs of Equity Capital and Model Mispricing
by Lubos Pástor & Robert F. Stambaugh

The Equity Premium and Structural Breaks
by Lubos Pástor & Robert F. Stambaugh

The Equity Premium and Structural Breaks
by Lubos Pastor & Robert F. Stambaugh

The Equity Premium and Structural Breaks
by Lubos Pastor & Robert F. Stambaugh

The Equity Premium and Structural Breaks
by LUBOŠ PÁSTOR & ROBERT F. STAMBAUGH

Evaluating and Investing in Equity Mutual Funds
by LUBOS PASTOR & ROBERT F. STAMBAUGH

Estimating Conditional Expectations When Volatility Fluctuates
by Robert F. Stambaugh

Comparing Asset Pricing Models: An Investment Perspective
by LUBOŠ PÁSTOR & ROBERT F. STAMBAUGH

Comparing Asset Pricing Models: An Investment Perspective
by Lubos Pastor & Robert F. Stambaugh

Portfolio Inefficiency and the CrossSection of Mean Returns (Revised: 694)
by Shmuel Kandel & Robert F. Stambaugh

Costs of Equity Capital and Model Mispricing
by Ľuboš Pástor & Robert F. Stambaugh

Comparing Asset Pricing Models: An Investment Perspective
by Lubos Pastor & Robert F. Stambaugh

Changing Risk, Changing Risk Premiums, and Dividend Yield Effects.
by Chen, NaiFu & Grundy, Bruce & Stambaugh, Robert F.

Testing the CAPM with Broader Market Indexes: A Problem of MeanDeficiency
by Robert F. Stambaugh

Portfolio Inefficiency and the CrossSection of Expected Returns (Revision of 393)
by Shmuel Kandel & Robert F. Stambaugh

Costs of Equity Capital and Model Mispricing
by Lubos Pastor & Robert F. Stambaugh

Costs of Equity from FactorBased Models (Revised 498)
by Lubos Pastor & Robert F. Stambaugh

Costs of Equity Capital and Model Mispricing
by Lubos Pástor & Robert F. Stambaugh

Comparing asset pricing models: an investment perspective
by Pastor, Lubos & Stambaugh, Robert F.

Portfolio Inefficiency and the CrossSection of Expected Returns.
by Kandel, Shmuel & Stambaugh, Robert F.

Portfolio Inefficiency and the CrossSection of Expected Returns (Revision of 393)
by Shmuel Kandel & Robert F. Stambaugh

Bayesian Inference and Portfolio Efficiency
by Shmuel Kandel & Robert McCulloch & Robert F. Stambaugh

Bayesian Inference and Portfolio Efficiency.
by Kandel, S. & McCulloch, R. & Stambaugh, R. F.

Changing Risk, Changing Risk Premiums, and Dividend Yield Effects
by NaiFu Chen & Bruce Grundy & Robert F. Stambaugh

Biases in computed returns : An application to the size effect
by Blume, Marshall E. & Stambaugh, Robert F.

Predictive regressions
by Stambaugh, Robert F.

Biases in Computed Returns: An Application to the Size Effect (Revision of 283)
by Marshall Blume & Robert Stambaugh

Predicting returns in the stock and bond markets
by Keim, Donald B. & Stambaugh, Robert F.

Portfolio Inefficiency and the CrossSection of Expected Returns
by Shmuel Kandel & Robert F. Stambaugh

Predictive Regressions
by Robert F. Stambaugh

Predicting Returns in the Stock and Bond Markets
by Donald B. Keim & Robert F. Stambaugh

Predictive Systems: Living with Imperfect Predictors
by Pástor, Luboš & Stambaugh, Robert F.

Bayesian Inference and Portfolio Efficiency (Revision of 891) (Reprint 046)
by Shmuel Kandel & Robert McCulloch & Robert F. Stambaugh

Bayesian Inference and Portfolio Efficiency.
by Kandel, Shmuel & McCulloch, Robert & Stambaugh, Robert F.

Predictive Systems: Living with Imperfect Predictors
by Lubos Pastor & Robert F. Stambaugh

A Further Investigation of the Weekend Effect in Stock Returns.
by Keim, Donald B. & Stambaugh, Robert F.

Asset Returns, Investment Horizons, and Intertemporal Preferences (Reprint 009)
by Shmuel Kandel & Robert F. Stambaugh

ASSET RETURNS, INVESTMENT HORIZONS, AND INTERTEMPORAL PREFERENCES.
by KANDEL, S. & STAMBAUGH, R. F.

Report of the Editor of The Journal of Finance for the Year 2005
by ROBERT F. STAMBAUGH

Bayesian Inference and Portfolio Efficiency (Revision of 891) (Reprint 046)
by Shmuel Kandel & Robert McCulloch & Robert F. Stambaugh

Stable Factors in Security Returns: Identification Using CrossValidation: Comment.
by Stambaugh, Robert F.

A MeanVariance Framework for Tests for Asset Pricing Models
by Shumel Kandel & Robert F. Stambaugh

Arbitrage Pricing with Heterogeneous Information
by Robert F. Stambaugh

Arbitrage Pricing with Heterogeneous Information
by Robert F. Stambaugh

Asset Returns and Intertemporal Preferences
by Shmuel Kandel & Robert F. Stambaugh

Analyzing Investments Whose Histories Differ in Length
by Robert F. Stambaugh

Analyzing Investments Whose Histories Differ in Length
by Robert F. Stambaugh

Arbitrage pricing with information
by Stambaugh, Robert F.

Asset returns and intertemporal preferences
by Kandel, Shmuel & Stambaugh, Robert F.

A MeanVariance Framework for Tests of Asset Pricing Models.
by Kandel, Shmuel & Stambaugh, Robert F.

Asset Returns, Investment Horizons, and Intertemporal Preferences (Reprint 009)
by Shmuel Kandel & Robert F. Stambaugh

Analyzing Investments Whose Histories Differ in Length
by Robert F. Stambaugh

Analyzing investments whose histories differ in length
by Stambaugh, Robert F.

Testing the CAPM with Broader Market Indexes: A Problem of MeanDeficiency
by Robert F. Stambaugh

A MeanVariance Framework for Tests of Asset Pricing Models: Correction.
by Kandel, Shmuel & Stambaugh, Robert F.

Bayesian Inference and Portfolio Efficiency (Revised: 493)
by Shmuel Kandel & Robert McCulloch & Robert H. Stambaugh

Predictive Systems: Living with Imperfect Predictors
by Lubos Pastor & Robert F. Stambaugh

Bayesian Inference and Portfolio Efficiency (Revised: 493)
by Shmuel Kandel & Robert McCulloch & Robert H. Stambaugh

Are Stocks Really Less Volatile in the Long Run?
by Lubos Pastor & Robert F. Stambaugh

Are Stocks Really Less Volatile in the Long Run?
by Pástor, Luboš & Stambaugh, Robert F.

Predictive Systems: Living with Imperfect Predictors
by ĽUBOŠ PÁSTOR & ROBERT F. STAMBAUGH

On the Size of the Active Management Industry
by Lubos Pastor & Robert F. Stambaugh

On the Size of the Active Management Industry
by Pástor, Luboš & Stambaugh, Robert F.

The Short of It: Investor Sentiment and Anomalies
by Robert F. Stambaugh & Jianfeng Yu & Yu Yuan

The Long of It: Odds that Investor Sentiment Spuriously Predicts Anomaly Returns
by Robert F. Stambaugh & Jianfeng Yu & Yu Yuan

Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle
by Robert F. Stambaugh & Jianfeng Yu & Yu Yuan

Scale and Skill in Active Management
by Lubos Pastor & Robert F. Stambaugh & Lucian A. Taylor

Investment Noise and Trends
by Robert F. Stambaugh

The short of it: Investor sentiment and anomalies
by Stambaugh, Robert F. & Yu, Jianfeng & Yuan, Yu

Presidential Address: Investment Noise and Trends
by ROBERT F. STAMBAUGH

On the Size of the Active Management Industry
by Ľuboš Pástor & Robert F. Stambaugh

Are Stocks Really Less Volatile in the Long Run?
by ĽUBOŠ PÁSTOR & ROBERT F. STAMBAUGH

Do Funds Make More When They Trade More?
by Lubos Pastor & Robert F. Stambaugh & Lucian A. Taylor

Do Funds Make More When They Trade More?
by Pastor, Lubos & Stambaugh, Robert F. & Taylor, Lucian

Scale and skill in active management
by Pástor, Ľuboš & Stambaugh, Robert F. & Taylor, Lucian A.

The long of it: Odds that investor sentiment spuriously predicts anomaly returns
by Stambaugh, Robert F. & Yu, Jianfeng & Yuan, Yu

Scale and Skill in Active Management
by Pástor, Luboš & Stambaugh, Robert F. & Taylor, Lucian

Mispricing Factors
by Robert F. Stambaugh & Yu Yuan

Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle
by ROBERT F. STAMBAUGH & JIANFENG YU & YU YUAN

Fund Tradeoffs
by Lubos Pastor & Robert F. Stambaugh & Lucian A. Taylor

Anomalies Abroad: Beyond Data Mining
by Xiaomeng Lu & Robert F. Stambaugh & Yu Yuan

Size and Value in China
by Jianan Liu & Robert F. Stambaugh & Yu Yuan

Liquidity Risk After 20 Years
by Lubos Pastor & Robert F. Stambaugh

Skill and Fees in Active Management
by Robert F. Stambaugh

Inference about Survivors
by Robert F. Stambaugh

Portfolio Liquidity and Diversification: Theory and Evidence
by Pï¿½stor, Luboï¿½ & Stambaugh, Robert F. & Taylor, Lucian

Liquidity Risk After 20 Years
by Pástor, Luboš & Stambaugh, Robert F.

Report of the Editor of The Journal of Finance for the Year 2004
by ROBERT F. STAMBAUGH

Absolving beta of volatility’s effects
by Liu, Jianan & Stambaugh, Robert F. & Yuan, Yu

Mispricing Factors
by Robert F. Stambaugh & Yu Yuan

Size and value in China
by Liu, Jianan & Stambaugh, Robert F. & Yuan, Yu

Fund Tradeoffs
by Pï¿½stor, Luboï¿½ & Stambaugh, Robert F. & Taylor, Lucian

Do Funds Make More When They Trade More?
by ĽUBOŠ PÁSTOR & ROBERT F. STAMBAUGH & LUCIAN A. TAYLOR

Sustainable Investing in Equilibrium
by Lubos Pastor & Robert F. Stambaugh & Lucian A. Taylor

Sustainable Investing in Equilibrium
by Pástor, Luboš & Stambaugh, Robert F. & Taylor, Lucian

Liquidity Risk After 20 Years
by PÃ¡stor, LuboÅ¡ & Stambaugh, Robert F.

Sustainable Investing in Equilibrium
by Lubos Pastor & Robert F. Stambaugh & Lucian A. Taylor

The Equity Premium and Structural Breaks
by Ľluboš Pástor & Robert F. Stambaugh