Robert F. Stambaugh

University of Pennsylvania - The Wharton School

The Wharton School, Finance Department

University of Pennsylvania

Philadelphia, PA 19104-6367

United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

40

DOWNLOADS
Rank 262

SSRN RANKINGS

Top 262

in Total Papers Downloads

76,589

SSRN CITATIONS
Rank 55

SSRN RANKINGS

Top 55

in Total Papers Citations

2,232

CROSSREF CITATIONS

5,326

Scholarly Papers (40)

1.
Downloads 12,781 ( 412)
Citation 57

Are Stocks Really Less Volatile in the Long Run?

EFA 2009 Bergen Meetings Paper, AFA 2010 Atlanta Meetings Paper
Number of pages: 56 Posted: 26 May 2008 Last Revised: 13 Dec 2011
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 12,611 (414)
Citation 1

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stock, volatility, target-date funds, Bayesian, predictive system, predictive variance

Are Stocks Really Less Volatile in the Long Run?

Number of pages: 54 Posted: 26 Feb 2009 Last Revised: 29 Oct 2021
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 161 (234,411)

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Are Stocks Really Less Volatile in the Long Run?

Number of pages: 48 Posted: 11 Mar 2009
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 9 (763,055)
Citation 9
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long-run, risk, stock, variance

2.

Investing in Socially Responsible Mutual Funds

Number of pages: 56 Posted: 22 Jul 2003
Christopher Geczy, Robert F. Stambaugh and David Levin
University of Pennsylvania - The Wharton School, Finance Department, University of Pennsylvania - The Wharton School and University of Pennsylvania - The Wharton School
Downloads 7,574 (1,048)
Citation 123

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socially responsible investing, mutual funds, portfolio selection

3.
Downloads 5,882 ( 1,632)
Citation 284

The Short of It: Investor Sentiment and Anomalies

Journal of Financial Economics (JFE), Vol. 104, pp 288-302, May 2012, AFA 2012 Chicago Meetings Paper
Number of pages: 37 Posted: 15 Mar 2010 Last Revised: 11 Mar 2012
Robert F. Stambaugh, Jianfeng Yu and Yu Yuan
University of Pennsylvania - The Wharton School, Tsinghua University - PBC School of Finance and Shanghai Mingshi Investment Company
Downloads 5,760 (1,664)
Citation 79

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Investor Sentiment, Anomaly, Short-sale Constraint

The Short of it: Investor Sentiment and Anomalies

Number of pages: 32 Posted: 28 Mar 2011 Last Revised: 04 Sep 2021
Robert F. Stambaugh, Jianfeng Yu and Yu Yuan
University of Pennsylvania - The Wharton School, Tsinghua University - PBC School of Finance and Shanghai Mingshi Investment Company
Downloads 122 (292,501)
Citation 62

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4.
Downloads 5,652 ( 1,724)
Citation 108

Mispricing Factors

Review of Financial Studies 30, April 2017, pp 1270-1315., Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 93 Posted: 05 Jul 2015 Last Revised: 02 Sep 2020
Robert F. Stambaugh and Yu Yuan
University of Pennsylvania - The Wharton School and Shanghai Mingshi Investment Company
Downloads 5,603 (1,731)
Citation 66

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Factor Models, Anomalies, Mispricing, Investor Sentiment

Mispricing Factors

Number of pages: 64 Posted: 08 Sep 2015 Last Revised: 03 Nov 2021
Robert F. Stambaugh and Yu Yuan
University of Pennsylvania - The Wharton School and Shanghai Mingshi Investment Company
Downloads 49 (498,528)
Citation 37

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5.
Downloads 4,703 ( 2,415)
Citation 1,275

Liquidity Risk and Expected Stock Returns

Number of pages: 38 Posted: 17 Aug 2001
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 4,445 (2,614)
Citation 21

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Asset pricing, liquidity risk, expected returns

Liquidity Risk and Expected Stock Returns

Number of pages: 38 Posted: 10 Sep 2001 Last Revised: 16 Aug 2021
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 228 (171,017)

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Liquidity Risk and Expected Stock Returns

Number of pages: 48 Posted: 20 Sep 2002
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 30 (599,104)
Citation 193
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Asset pricing, liquidity risk, expected returns

6.
Downloads 4,387 ( 2,723)
Citation 95

Scale and Skill in Active Management

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 51 Posted: 01 Sep 2013 Last Revised: 11 Aug 2020
Lubos Pastor, Robert F. Stambaugh and Lucian Taylor
University of Chicago - Booth School of Business, University of Pennsylvania - The Wharton School and University of Pennsylvania - The Wharton School
Downloads 3,800 (3,401)
Citation 9

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returns to scale, mutual funds, active management, skill

Scale and Skill in Active Management

Becker Friedman Institute for Research in Economics Working Paper No. 2014-03
Number of pages: 51 Posted: 05 Feb 2014
Lubos Pastor, Robert F. Stambaugh and Lucian A. Taylor
University of Chicago - Booth School of Business, University of Pennsylvania - The Wharton School and University of Pennsylvania - The Wharton School
Downloads 386 (97,803)
Citation 1

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Scale and Skill in Active Management

Chicago Booth Research Paper No. 14-20
Number of pages: 52 Posted: 15 Jul 2014
Lubos Pastor, Robert F. Stambaugh and Lucian A. Taylor
University of Chicago - Booth School of Business, University of Pennsylvania - The Wharton School and University of Pennsylvania - The Wharton School
Downloads 146 (254,424)

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Scale and Skill in Active Management

Number of pages: 51 Posted: 11 Feb 2014 Last Revised: 09 May 2021
Lubos Pastor, Robert F. Stambaugh and Lucian Taylor
University of Chicago - Booth School of Business, University of Pennsylvania - The Wharton School and University of Pennsylvania - The Wharton School
Downloads 51 (489,839)

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Scale and Skill in Active Management

Number of pages: 53 Posted: 02 Jun 2014
Lubos Pastor, Robert F. Stambaugh and Lucian Taylor
University of Chicago - Booth School of Business, University of Pennsylvania - The Wharton School and University of Pennsylvania - The Wharton School
Downloads 4 (805,719)
Citation 23
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mutual funds, returns to scale, skill

7.
Downloads 3,963 ( 3,243)
Citation 38

Sustainable Investing in Equilibrium

Chicago Booth Research Paper No. 20-12, Fama-Miller Working Paper, Journal of Financial Economics (JFE), Forthcoming, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 54 Posted: 19 Dec 2019 Last Revised: 12 Aug 2020
Lubos Pastor, Robert F. Stambaugh and Lucian A. Taylor
University of Chicago - Booth School of Business, University of Pennsylvania - The Wharton School and University of Pennsylvania - The Wharton School
Downloads 3,731 (3,500)
Citation 22

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sustainable investing, socially responsible investing, ESG, social impact

Sustainable Investing in Equilibrium

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2020-24
Number of pages: 53 Posted: 24 Mar 2020
Lubos Pastor, Robert F. Stambaugh and Lucian A. Taylor
University of Chicago - Booth School of Business, University of Pennsylvania - The Wharton School and University of Pennsylvania - The Wharton School
Downloads 212 (183,358)
Citation 11

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sustainable investing, socially responsible investing, ESG, social impact

Sustainable Investing in Equilibrium

Number of pages: 55 Posted: 16 Dec 2019 Last Revised: 05 Nov 2021
Lubos Pastor, Robert F. Stambaugh and Lucian A. Taylor
University of Chicago - Booth School of Business, University of Pennsylvania - The Wharton School and University of Pennsylvania - The Wharton School
Downloads 20 (671,646)

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Sustainable Investing in Equilibrium

Number of pages: 57 Posted: 17 Dec 2019 Last Revised: 16 Jun 2020
Lubos Pastor, Robert F. Stambaugh and Lucian A. Taylor
University of Chicago - Booth School of Business, University of Pennsylvania - The Wharton School and University of Pennsylvania - The Wharton School
Downloads 0
Citation 11
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ESG, social impact, Socially responsible investing, sustainable investing

8.
Downloads 3,461 ( 4,081)
Citation 60

On the Size of the Active Management Industry

CRSP Working Paper
Number of pages: 44 Posted: 06 Jan 2010 Last Revised: 24 Jul 2012
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 3,334 (4,243)
Citation 2

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active management, returns to scale, learning, mutual funds

On the Size of the Active Management Industry

MFI Working Paper No. 2010-001
Number of pages: 47 Posted: 13 Jan 2010 Last Revised: 13 Dec 2011
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 86 (370,635)

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On the Size of the Active Management Industry

Number of pages: 45 Posted: 18 Jan 2010 Last Revised: 07 Oct 2021
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 39 (547,161)
Citation 12

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On the Size of the Active Management Industry

Number of pages: 48 Posted: 20 Jan 2010
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 2 (825,361)
Citation 22
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active management, learning, returns to scale

Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle

Journal of Finance, Vol 70, pp 1903-1948, 2015, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 58 Posted: 02 Oct 2012 Last Revised: 02 Sep 2020
Robert F. Stambaugh, Jianfeng Yu and Yu Yuan
University of Pennsylvania - The Wharton School, Tsinghua University - PBC School of Finance and Shanghai Mingshi Investment Company
Downloads 3,103 (4,822)
Citation 73

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arbitrage risk, idiosyncratic volatility puzzle, short-sale constraints, investor sentiment

Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle

Number of pages: 35 Posted: 22 Nov 2012 Last Revised: 19 Sep 2021
Robert F. Stambaugh, Jianfeng Yu and Yu Yuan
University of Pennsylvania - The Wharton School, Tsinghua University - PBC School of Finance and Shanghai Mingshi Investment Company
Downloads 30 (599,104)
Citation 44

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10.
Downloads 2,987 ( 5,245)
Citation 73

Predictive Systems: Living with Imperfect Predictors

CRSP Working Paper No. 617, EFA 2007 Ljubljana Meetings Paper
Number of pages: 51 Posted: 19 Feb 2007 Last Revised: 13 Dec 2011
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 2,885 (5,424)
Citation 4

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predictability, expected stock return, state space model, predictive system, predictive regression, imperfect predictors, Bayesian

Predictive Systems: Living with Imperfect Predictors

Number of pages: 59 Posted: 12 Jan 2007 Last Revised: 20 Sep 2021
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 64 (438,908)

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Predictive Systems: Living with Imperfect Predictors

Number of pages: 59 Posted: 07 Jul 2012 Last Revised: 08 Jul 2021
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 35 (569,139)
Citation 6

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Predictive Systems: Living with Imperfect Predictors

Number of pages: 61 Posted: 29 Jun 2007
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 3 (814,678)
Citation 7
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Expected stock return, predictability, predictive regression, predictive system, state space model

11.
Downloads 2,980 ( 5,267)
Citation 18

Size and Value in China

Journal of Financial Economics (JFE), Forthcoming, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 56 Posted: 24 Jan 2018 Last Revised: 12 Aug 2020
Jianan Liu, Robert F. Stambaugh and Yu Yuan
University of Hong Kong, University of Pennsylvania - The Wharton School and Shanghai Mingshi Investment Company
Downloads 2,915 (5,346)
Citation 5

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Size; Value; China; Factors; Anomalies

Size and Value in China

Number of pages: 57 Posted: 02 Apr 2018 Last Revised: 31 Oct 2021
Jianan Liu, Robert F. Stambaugh and Yu Yuan
University of Hong Kong, University of Pennsylvania - The Wharton School and Shanghai Mingshi Investment Company
Downloads 65 (435,300)
Citation 10

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12.
Downloads 2,399 ( 7,492)
Citation 34

Do Funds Make More When They Trade More?

Journal of Finance, Forthcoming, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 53 Posted: 16 Nov 2014 Last Revised: 11 Aug 2020
Lubos Pastor, Robert F. Stambaugh and Lucian A. Taylor
University of Chicago - Booth School of Business, University of Pennsylvania - The Wharton School and University of Pennsylvania - The Wharton School
Downloads 2,295 (7,890)

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turnover, skill, performance, active management, mutual funds

Do Funds Make More When They Trade More?

Fama-Miller Working Paper , Chicago Booth Research Paper No. 14-39
Number of pages: 46 Posted: 19 Nov 2014
Lubos Pastor, Robert F. Stambaugh and Lucian A. Taylor
University of Chicago - Booth School of Business, University of Pennsylvania - The Wharton School and University of Pennsylvania - The Wharton School
Downloads 88 (365,315)

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Do Funds Make More When They Trade More?

Number of pages: 51 Posted: 24 Nov 2014 Last Revised: 25 Jul 2021
Lubos Pastor, Robert F. Stambaugh and Lucian A. Taylor
University of Chicago - Booth School of Business, University of Pennsylvania - The Wharton School and University of Pennsylvania - The Wharton School
Downloads 16 (703,477)
Citation 11

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Do Funds Make More When They Trade More?

Number of pages: 48 Posted: 24 Nov 2014
Lubos Pastor, Robert F. Stambaugh and Lucian Taylor
University of Chicago - Booth School of Business, University of Pennsylvania - The Wharton School and University of Pennsylvania - The Wharton School
Downloads 0
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active management, mutual funds, performance, skill, turnover

13.
Downloads 2,103 ( 9,244)
Citation 1

Dissecting Green Returns

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 53 Posted: 11 Jun 2021 Last Revised: 08 Sep 2021
Lubos Pastor, Robert F. Stambaugh and Lucian A. Taylor
University of Chicago - Booth School of Business, University of Pennsylvania - The Wharton School and University of Pennsylvania - The Wharton School
Downloads 1,825 (11,429)
Citation 1

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sustainable investing, ESG, green factor, greenium

Dissecting Green Returns

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2021-70
Number of pages: 53 Posted: 18 Jun 2021 Last Revised: 08 Sep 2021
Lubos Pastor, Robert F. Stambaugh and Lucian A. Taylor
University of Chicago - Booth School of Business, University of Pennsylvania - The Wharton School and University of Pennsylvania - The Wharton School
Downloads 267 (146,276)

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Sustainable investing, ESG, environment, climate change, green bonds

Dissecting Green Returns

Number of pages: 54 Posted: 21 Jun 2021 Last Revised: 18 Nov 2021
Lubos Pastor, Robert F. Stambaugh and Lucian A. Taylor
University of Chicago - Booth School of Business, University of Pennsylvania - The Wharton School and University of Pennsylvania - The Wharton School
Downloads 11 (745,909)
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Dissecting Green Returns

Number of pages: 56 Posted: 14 Jul 2021 Last Revised: 22 Sep 2021
Lubos Pastor, Robert F. Stambaugh and Lucian A. Taylor
University of Chicago - Booth School of Business, University of Pennsylvania - The Wharton School and University of Pennsylvania - The Wharton School
Downloads 0
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ESG, green factor, greenium, sustainable investing

14.
Downloads 1,758 ( 12,365)
Citation 12

Fund Tradeoffs

Journal of Financial Economics (JFE), Forthcoming, Chicago Booth Research Paper No. 20-10, Fama-Miller Working Paper , Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 55 Posted: 02 Aug 2017 Last Revised: 12 Aug 2020
Lubos Pastor, Robert F. Stambaugh and Lucian A. Taylor
University of Chicago - Booth School of Business, University of Pennsylvania - The Wharton School and University of Pennsylvania - The Wharton School
Downloads 1,725 (12,505)
Citation 9

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fund tradeoffs, fund characteristics, portfolio liquidity, diversification

Fund Tradeoffs

Number of pages: 55 Posted: 17 Aug 2017 Last Revised: 05 Sep 2021
Lubos Pastor, Robert F. Stambaugh and Lucian A. Taylor
University of Chicago - Booth School of Business, University of Pennsylvania - The Wharton School and University of Pennsylvania - The Wharton School
Downloads 31 (592,802)
Citation 2

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Portfolio Liquidity and Diversification: Theory and Evidence

Number of pages: 49 Posted: 11 Aug 2017
Lubos Pastor, Robert F. Stambaugh and Lucian A. Taylor
University of Chicago - Booth School of Business, University of Pennsylvania - The Wharton School and University of Pennsylvania - The Wharton School
Downloads 1 (838,703)
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Diversification, Mutual funds, portfolio liquidity

Fund Tradeoffs

Number of pages: 44 Posted: 19 Dec 2017 Last Revised: 22 Oct 2018
Lubos Pastor, Robert F. Stambaugh and Lucian A. Taylor
University of Chicago - Booth School of Business, University of Pennsylvania - The Wharton School and University of Pennsylvania - The Wharton School
Downloads 1 (838,703)
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Diversification, Mutual funds, portfolio liquidity

15.

Absolving Beta of Volatility's Effects

Journal of Financial Economics (JFE), Volume 128, Issue 1, April 2018, Pages 1-15, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 37 Posted: 07 Sep 2016 Last Revised: 11 Aug 2020
Jianan Liu, Robert F. Stambaugh and Yu Yuan
University of Hong Kong, University of Pennsylvania - The Wharton School and Shanghai Mingshi Investment Company
Downloads 1,553 (15,016)
Citation 10

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beta anomaly, IVOL anomaly, investor sentiment

16.

Investing in Equity Mutual Funds

Number of pages: 37 Posted: 20 Sep 2001
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 1,366 (18,321)
Citation 22

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mutual funds, portfolio selection

17.
Downloads 1,275 ( 20,301)
Citation 1

Liquidity Risk After 20 Years

Chicago Booth Research Paper No. 19-13, Fama-Miller Working Paper
Number of pages: 25 Posted: 15 Apr 2019 Last Revised: 10 May 2019
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 1,241 (20,776)
Citation 1

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liquidity, liquidity risk, liquidity factor, liquidity beta

Liquidity Risk after 20 Years

Number of pages: 23 Posted: 30 Apr 2019 Last Revised: 05 Dec 2021
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 32 (586,715)

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Liquidity Risk after 20 Years

Number of pages: 28 Posted: 24 Apr 2019
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 2 (825,361)
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liquidity, liquidity beta, liquidity factor, liquidity risk

18.
Downloads 1,034 ( 27,594)
Citation 24

Mutual Fund Performance and Seemingly Unrelated Assets

Number of pages: 44 Posted: 27 Feb 2001
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 1,034 (27,192)
Citation 24

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Performance evaluation; Mutual funds; Bayesian analysis

Mutual Fund Performance and Seemingly Unrelated Assets

Posted: 02 Oct 2001
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School

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performance evaluation, mutual funds, Bayesian analysis

19.
Downloads 1,002 ( 28,877)
Citation 4

Anomalies Abroad: Beyond Data Mining

Finance Down Under 2018 Building on the Best from the Cellars of Finance Paper, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 62 Posted: 03 Aug 2017 Last Revised: 11 Aug 2020
Xiaomeng Lu, Robert F. Stambaugh and Yu Yuan
Fudan University, Fanhai International School of Finance, University of Pennsylvania - The Wharton School and Shanghai Mingshi Investment Company
Downloads 936 (31,340)
Citation 3

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Anomalies, Data Mining, Idiosyncratic Volatility, Mispricing

Anomalies Abroad: Beyond Data Mining

Number of pages: 48 Posted: 18 Sep 2017 Last Revised: 01 Nov 2021
Xiaomeng Lu, Robert F. Stambaugh and Yu Yuan
Fudan University, Fanhai International School of Finance, University of Pennsylvania - The Wharton School and Shanghai Mingshi Investment Company
Downloads 66 (431,836)

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Evaluating and Investing in Equity Mutual Funds

Number of pages: 54 Posted: 13 Jun 2000
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 927 (31,774)

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Evaluating and Investing in Equity Mutual Funds

Number of pages: 54 Posted: 20 Jul 2000 Last Revised: 07 Oct 2021
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 74 (405,318)

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21.
Downloads 819 ( 38,323)

Skill and Profit in Active Management

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 46 Posted: 25 Mar 2019 Last Revised: 03 Dec 2020
Robert F. Stambaugh
University of Pennsylvania - The Wharton School
Downloads 803 (38,839)

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active management, investment profit, stock selection

Skill and Profit in Active Management

Number of pages: 47 Posted: 01 Jul 2019 Last Revised: 14 Aug 2021
Robert F. Stambaugh
University of Pennsylvania - The Wharton School
Downloads 16 (703,477)

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22.
Downloads 722 ( 45,371)
Citation 11

Investment Noise and Trends

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 47 Posted: 04 Jan 2014 Last Revised: 11 Aug 2020
Robert F. Stambaugh
University of Pennsylvania - The Wharton School
Downloads 711 (45,720)
Citation 5

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active management, noise traders

Investment Noise and Trends

Number of pages: 48 Posted: 28 Apr 2014 Last Revised: 06 Nov 2021
Robert F. Stambaugh
University of Pennsylvania - The Wharton School
Downloads 11 (745,909)
Citation 2

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The Long of It: Odds That Investor Sentiment Spuriously Predicts Anomaly Returns

Journal of Financial Economics (JFE) 114, December 2014, pp 613-619.
Number of pages: 15 Posted: 11 Jul 2012 Last Revised: 06 Nov 2014
Robert F. Stambaugh, Jianfeng Yu and Yu Yuan
University of Pennsylvania - The Wharton School, Tsinghua University - PBC School of Finance and Shanghai Mingshi Investment Company
Downloads 608 (56,197)

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investor sentiment, anomalies, spurious regressors

The Long of it: Odds that Investor Sentiment Spuriously Predicts Anomaly Returns

Number of pages: 13 Posted: 21 Jul 2012 Last Revised: 25 Oct 2021
Robert F. Stambaugh, Jianfeng Yu and Yu Yuan
University of Pennsylvania - The Wharton School, Tsinghua University - PBC School of Finance and Shanghai Mingshi Investment Company
Downloads 21 (663,891)
Citation 13

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24.

Costs of Equity from Factor-Based Models

Rodney L. White Center Working Paper Series #8-97
Number of pages: 47 Posted: 20 Oct 1997
Robert F. Stambaugh and Lubos Pastor
University of Pennsylvania - The Wharton School and University of Chicago - Booth School of Business
Downloads 607 (56,979)

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25.
Downloads 545 ( 65,253)
Citation 89

The Equity Premium and Structural Breaks

Number of pages: 40 Posted: 27 Oct 1998
Robert F. Stambaugh and Lubos Pastor
University of Pennsylvania - The Wharton School and University of Chicago - Booth School of Business
Downloads 474 (76,796)
Citation 1

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The Equity Premium and Structural Breaks

Number of pages: 39 Posted: 25 Jul 2000 Last Revised: 14 Sep 2001
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 71 (414,926)
Citation 9

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26.

Predictive Regressions

Number of pages: 50 Posted: 17 Mar 2000 Last Revised: 28 Feb 2021
Robert F. Stambaugh
University of Pennsylvania - The Wharton School
Downloads 494 (73,739)
Citation 91

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Analyzing Investments Whose Histories Differ in Length

Number of pages: 52 Posted: 13 Jul 2000 Last Revised: 04 Sep 2021
Robert F. Stambaugh
University of Pennsylvania - The Wharton School
Downloads 453 (81,126)

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Analyzing Investments Whose Histories Differ in Length

Rodney L. White Center Working Paper No. 5-96
Posted: 24 Apr 1998
Robert F. Stambaugh
University of Pennsylvania - The Wharton School

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28.

Noisy Active Management

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 46 Posted: 22 Jun 2017 Last Revised: 11 Aug 2020
Robert F. Stambaugh
University of Pennsylvania - The Wharton School
Downloads 292 (133,899)
Citation 1

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Active Management, Noise Traders, Skill

29.

Pricing Without Mispricing

Number of pages: 48 Posted: 08 Jul 2021 Last Revised: 31 Aug 2021
University of Hong Kong, Yale University, Yale SOMAQR Capital and University of Pennsylvania - The Wharton School
Downloads 202 (192,988)

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asset pricing, mispricing, market efficiency

Diseconomies of Scale in Active Management: Robust Evidence

Number of pages: 21 Posted: 16 Jul 2021
Lubos Pastor, Robert F. Stambaugh, Lucian A. Taylor and Min Zhu
University of Chicago - Booth School of Business, University of Pennsylvania - The Wharton School, University of Pennsylvania - The Wharton School and University of Queensland
Downloads 197 (196,401)
Citation 1

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returns to scale, diseconomies of scale, active management, robust regression

Diseconomies of Scale in Active Management: Robust Evidence

Number of pages: 24 Posted: 22 Sep 2021
Lubos Pastor, Robert F. Stambaugh, Lucian A. Taylor and Min Zhu
University of Chicago - Booth School of Business, University of Pennsylvania - The Wharton School, University of Pennsylvania - The Wharton School and University of Queensland
Downloads 2 (825,361)
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Active management, diseconomies of scale, Returns to Scale, robust regression

On the Predictability of Stock Returns: An Asset-Allocation Perspective

Number of pages: 41 Posted: 20 Jul 2000 Last Revised: 29 Aug 2021
Shmuel Kandel (deceased) and Robert F. Stambaugh
Deceased and University of Pennsylvania - The Wharton School
Downloads 185 (207,813)

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On the Predictability of Stock Returns: An Asset- Allocation Perspective

Posted: 31 Aug 1995
Shmuel Kandel (deceased) and Robert F. Stambaugh
Deceased and University of Pennsylvania - The Wharton School

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On the Predictability of Stock Returns: An Asset-Allocation Perspective

J. OF FINANCE, Vol. 51 No. 2, June 1996
Posted: 11 Sep 1996
Shmuel Kandel (deceased) and Robert F. Stambaugh
Deceased and University of Pennsylvania - The Wharton School

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32.

Comparing Asset Pricing Models: an Investment Perspective

Number of pages: 50 Posted: 05 May 2000 Last Revised: 28 Nov 2021
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 126 (284,389)
Citation 16

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33.

Asset Returns and Intertemporal Preferences

Number of pages: 48 Posted: 28 Dec 2006 Last Revised: 18 May 2008
Shmuel Kandel (deceased) and Robert F. Stambaugh
Deceased and University of Pennsylvania - The Wharton School
Downloads 116 (301,797)
Citation 19

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34.

Costs of Equity Capital and Model Mispricing

Number of pages: 63 Posted: 04 Aug 2000 Last Revised: 28 Mar 2021
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
Downloads 81 (380,739)
Citation 2

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Bayesian Inference and Portfolio Efficiency

Number of pages: 47 Posted: 29 Dec 2006 Last Revised: 16 May 2021
Deceased, University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
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Bayesian Inference and Portfolio Efficiency

Posted: 26 Oct 1999
Deceased, University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School

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36.

Estimating Conditional Expectations When Volatility Fluctuates

Number of pages: 40 Posted: 25 May 2006 Last Revised: 21 Nov 2021
Robert F. Stambaugh
University of Pennsylvania - The Wharton School
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37.

Portfolio Inefficiency and the Cross-Section of Expected Returns

Number of pages: 26 Posted: 08 Nov 2011 Last Revised: 09 May 2021
Shmuel Kandel and Robert F. Stambaugh
affiliation not provided to SSRN and University of Pennsylvania - The Wharton School
Downloads 28 (595,941)
Citation 10

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38.

Pricing Without Mispricing

Number of pages: 49 Posted: 12 Jul 2021 Last Revised: 18 Nov 2021
The University of Hong Kong - University of Hong Kong, Yale University, Yale SOMAQR Capital and University of Pennsylvania - The Wharton School
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39.

Liquidity Risk and Expect Stock Returns

Posted: 22 Jul 2003
Lubos Pastor and Robert F. Stambaugh
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School

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40.

Portfolio Inefficiency and the Cross Section of Expected Returns

Posted: 10 May 2000
Shmuel Kandel (deceased) and Robert F. Stambaugh
Deceased and University of Pennsylvania - The Wharton School

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