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List of works by Robert F. Stambaugh

Analyzing Investments Whose Histories Differ in Length

scientific article published in February 1997

Anomalies Abroad: Beyond Data Mining

scientific article published in September 2017

Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle

scientific article published in November 2012

Are Stocks Really Less Volatile in the Long Run?

scientific article published in February 2009

Asset Returns and Intertemporal Preferences

Bayesian Inference and Portfolio Efficiency

Comparing Asset Pricing Models: An Investment Perspective

scientific article published in August 1999

Costs of Equity Capital and Model Mispricing

scientific article published in April 1998

Do Funds Make More When They Trade More?

scientific article published in November 2014

Estimating Conditional Expectations when Volatility Fluctuates

Evaluating and Investing in Equity Mutual Funds

scientific article published in July 2000

Fund Tradeoffs

scientific article published in August 2017

Investment Noise and Trends

scientific article published in April 2014

Liquidity Risk After 20 Years

Liquidity Risk and Expected Stock Returns

Mispricing Factors

scientific article published in September 2015

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

scientific article published in January 1995

On the Size of the Active Management Industry

scientific article published in January 2010

Portfolio Inefficiency and the Cross-Section of Expected Returns

Predictive Regressions

Predictive Systems: Living with Imperfect Predictors

scientific article published in February 2008

Scale and Skill in Active Management

scientific article published in February 2014

Size and Value in China

scientific article published in April 2018

Skill and Profit in Active Management

scientific article published in July 2019

Sustainable Investing in Equilibrium

scientific article published in December 2019

The Equity Premium and Structural Breaks

scientific article published in July 2000

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

scientific article published in July 2012

The Short of It: Investor Sentiment and Anomalies

scientific article published in March 2011