Access Statistics for Robert F. Stambaugh

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Mean-Variance Framework for Tests for Asset Pricing Models 0 0 0 0 0 0 1 345
ASSET RETURNS, INVESTMENT HORIZONS, AND INTERTEMPORAL PREFERENCES 0 0 0 0 0 0 1 287
Analyzing Investments Whose Histories Differ in Length 0 0 0 0 1 8 21 369
Analyzing Investments Whose Histories Differ in Length 0 0 0 0 0 1 1 639
Analyzing Investments Whose Histories Differ in Length 0 0 0 651 0 2 4 1,554
Anomalies Abroad: Beyond Data Mining 0 0 0 29 1 2 11 143
Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle 0 0 1 98 1 1 6 253
Arbitrage Pricing with Heterogeneous Information 0 0 0 0 0 0 0 38
Arbitrage Pricing with Heterogeneous Information 0 0 0 0 0 0 0 48
Are Stocks Really Less Volatile in the Long Run? 0 0 0 267 0 1 2 631
Are Stocks Really Less Volatile in the Long Run? 0 1 1 122 0 1 1 341
Asset Returns and Intertemporal Preferences 0 0 0 266 0 0 2 692
Asset Returns, Investment Horizons, and Intertemporal Preferences (Reprint 009) 0 0 0 1 0 0 3 227
Asset Returns, Investment Horizons, and Intertemporal Preferences (Reprint 009) 0 0 0 1 0 0 0 102
Bayesian Inference and Portfolio Efficiency 0 0 0 114 0 1 2 402
Bayesian Inference and Portfolio Efficiency 0 0 0 0 0 0 2 273
Bayesian Inference and Portfolio Efficiency (Revised: 4-93) 0 0 0 0 0 0 0 258
Bayesian Inference and Portfolio Efficiency (Revised: 4-93) 0 0 0 0 0 0 0 98
Bayesian Inference and Portfolio Efficiency (Revision of 8-91) (Reprint 046) 0 0 0 0 0 0 1 88
Bayesian Inference and Portfolio Efficiency (Revision of 8-91) (Reprint 046) 0 0 0 1 0 0 0 155
Biases in Computed Returns: An Application to the Size Effect (Revision of 2-83) 0 0 0 1 1 2 5 550
Carbon Burden 1 2 10 10 3 5 22 22
Changing Risk, Changing Risk Premiums, and Dividend Yield Effects 0 0 0 0 0 0 0 459
Comparing Asset Pricing Models: An Investment Perspective 0 0 0 235 0 0 1 478
Comparing Asset Pricing Models: An Investment Perspective 0 0 0 430 0 1 1 902
Comparing Asset Pricing Models: An Investment Perspective 0 0 1 310 0 0 1 997
Costs of Equity Capital and Model Mispricing 0 0 0 1 0 0 0 844
Costs of Equity Capital and Model Mispricing 0 0 0 0 0 1 1 330
Costs of Equity Capital and Model Mispricing 0 0 1 402 0 0 3 1,735
Costs of Equity from Factor-Based Models (Revised 4-98) 0 0 0 0 0 0 0 706
Costs of Equity from Factor-Based Models (Revised 4-98) 0 0 0 0 0 0 0 162
Diseconomies of Scale in Active Management: Robust Evidence 0 0 0 5 0 3 9 32
Dissecting Green Returns 3 5 23 72 10 25 105 328
Dissecting Green Returns 1 3 5 53 5 9 27 201
Do Funds Make More When They Trade More? 0 0 0 9 0 0 2 90
Do Funds Make More When They Trade More? 0 1 2 74 1 2 3 199
Estimating Conditional Expectations When Volatility Fluctuates 0 0 0 0 0 0 0 217
Estimating Conditional Expectations when Volatility Fluctuates 0 0 0 108 0 0 0 650
Evaluating and Investing in Equity Mutual Funds 0 0 0 446 0 0 0 787
Evaluating and Investing in Equity Mutual Funds 0 0 0 380 0 0 1 849
Evaluating and Investing in Equity Mutual Funds 0 0 0 336 0 1 1 1,009
Expectations and Volatility of Long-Horizon Stock Returns 0 0 0 0 0 0 1 118
Fund Tradeoffs 0 0 0 15 1 1 2 79
Fund Tradeoffs 0 0 0 9 0 0 0 63
Green Tilts 0 0 4 17 2 4 22 44
Green Tilts 0 0 0 11 1 3 11 65
Investing in Equity Mutual Funds 0 0 0 411 1 1 1 1,018
Investment Noise and Trends 1 1 2 40 1 2 8 123
Liquidity Risk After 20 Years 0 0 2 36 0 0 3 93
Liquidity Risk After 20 Years 0 0 0 18 0 0 4 76
Liquidity Risk and Expected Stock Returns 2 4 16 596 12 25 81 1,943
Liquidity Risk and Expected Stock Returns 0 0 0 591 1 4 5 1,320
Liquidity Risk and Expected Stock Returns 0 1 4 1,412 2 3 12 4,097
Mispricing Factors 1 1 1 115 3 5 10 351
Modeling Expected Stock Returns for Long and Short Horizons 0 0 0 1 0 0 1 633
Mutual Fund Performance and Seemingly Unrelated Assets.” 0 0 0 179 0 0 1 962
On the Exclusion of Assets from Tests of the Two-Parameter Model: A Sensitivity Analysis 0 0 0 0 0 0 1 910
On the Predictability of Stock Returns: An Asset-Allocation Perspective 0 0 0 681 0 3 4 1,952
On the Predictability of Stock Returns: An Asset-Allocation Perspective (Reprint 057) 0 0 0 1 0 0 0 446
On the Size of the Active Management Industry 0 0 0 74 0 0 1 301
On the Size of the Active Management Industry 0 0 1 15 0 1 2 134
Portfolio Inefficiency and the Cross-Section of Expected Returns 0 0 0 300 0 2 5 1,143
Portfolio Inefficiency and the Cross-Section of Expected Returns (Revision of 3-93) 0 0 0 0 0 0 0 96
Portfolio Inefficiency and the Cross-Section of Expected Returns (Revision of 3-93) 0 0 0 1 0 0 0 157
Portfolio Inefficiency and the Cross-Section of Mean Returns (Revised: 6-94) 0 0 0 0 0 0 0 263
Portfolio Inefficiency and the Cross-Section of Mean Returns (Revised: 6-94) 0 0 0 0 0 0 1 126
Portfolio Liquidity and Diversification: Theory and Evidence 0 0 1 36 0 0 11 207
Predicting Returns in the Stock and Bond Markets 0 0 0 8 0 0 3 2,544
Predictive Regressions 0 0 6 1,370 0 2 16 3,783
Predictive Systems: Living with Imperfect Predictors 0 0 1 101 1 1 3 335
Predictive Systems: Living with Imperfect Predictors 0 0 0 109 0 0 1 443
Predictive Systems: Living with Imperfect Predictors 0 0 0 73 0 0 0 259
Pricing Without Mispricing 0 0 0 24 0 0 4 62
Scale and Skill in Active Management 0 1 2 24 0 3 9 133
Scale and Skill in Active Management 0 1 2 96 0 1 6 302
Size and Value in China 0 1 6 284 1 9 44 1,456
Skill and Profit in Active Management 0 0 0 2 0 0 0 29
Sustainable Investing 1 1 6 6 1 1 11 11
Sustainable Investing in Equilibrium 0 1 4 22 2 3 13 84
Sustainable Investing in Equilibrium 1 2 17 136 6 14 63 421
Sustainable Investing in Equilibrium 1 1 3 47 2 3 10 233
Testing the CAPM with Broader Market Indexes: A Problem of Mean-Deficiency 0 0 0 0 0 0 1 224
Testing the CAPM with Broader Market Indexes: A Problem of Mean-Deficiency 0 0 0 0 0 0 0 175
The Equity Premium and Structural Breaks 0 0 0 120 0 0 1 494
The Equity Premium and Structural Breaks 0 0 0 103 0 1 1 325
The Equity Premium and Structural Breaks 0 0 0 52 0 0 0 372
The Equity Premium and Structural Breaks 0 0 0 210 1 2 2 462
The Long of It: Odds that Investor Sentiment Spuriously Predicts Anomaly Returns 0 0 0 58 0 0 4 162
The Short of It: Investor Sentiment and Anomalies 0 1 1 194 0 2 6 540
Total Working Papers 12 28 123 12,020 61 162 625 48,059

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Further Investigation of the Weekend Effect in Stock Returns 1 2 9 510 1 3 20 1,143
A Mean-Variance Framework for Tests of Asset Pricing Models 0 0 0 181 0 0 0 718
A Mean-Variance Framework for Tests of Asset Pricing Models: Correction 0 0 0 28 0 0 1 234
Absolving beta of volatility’s effects 0 0 1 72 2 4 9 256
Analyzing investments whose histories differ in length 0 1 1 259 0 3 10 616
Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle 0 0 4 66 1 1 27 326
Arbitrage pricing with information 0 0 0 47 0 0 0 128
Are Stocks Really Less Volatile in the Long Run? 0 0 1 117 1 4 9 443
Asset returns and intertemporal preferences 0 0 1 231 0 1 7 640
Bayesian Inference and Portfolio Efficiency 0 0 0 160 0 0 1 471
Biases in computed returns: An application to the size effect 0 0 9 434 5 7 19 911
Changing Risk, Changing Risk Premiums, and Dividend Yield Effects 0 0 0 141 1 2 2 457
Comparing asset pricing models: an investment perspective 1 1 5 290 1 5 20 795
Costs of Equity Capital and Model Mispricing 0 1 4 85 1 2 14 370
Diseconomies of Scale in Active Management: Robust Evidence 0 0 0 4 0 3 8 19
Dissecting green returns 11 24 136 316 38 86 376 866
Do Funds Make More When They Trade More? 0 0 0 32 3 4 16 225
Does the Stock Market Rationally Reflect Fundamental Values? Discussion 2 4 5 110 2 5 11 305
Expectations and Volatility of Consumption and Asset Returns 0 0 0 137 0 0 1 523
Expected stock returns and volatility 0 4 16 1,606 2 10 46 3,725
Fund tradeoffs 0 3 11 35 1 4 30 129
Inequaltty and social status in successive generations 0 0 0 5 0 0 0 45
Inference about Survivors 0 0 0 1 0 1 2 14
Investing in Socially Responsible Mutual Funds 0 0 5 25 0 2 15 99
Investing in equity mutual funds 0 0 2 144 0 2 9 462
Liquidity Risk After 20 Years 0 0 0 27 0 1 7 145
Liquidity Risk and Expected Stock Returns 4 18 83 1,927 25 71 290 5,827
Mimicking Portfolios and Exact Arbitrage Pricing 1 1 9 291 2 3 15 620
Mispricing Factors 0 1 3 121 0 4 22 489
Mutual fund performance and seemingly unrelated assets 0 3 8 417 0 5 21 1,083
On correlations and inferences about mean-variance efficiency 0 0 1 147 0 0 2 382
On the Predictability of Stock Returns: An Asset-Allocation Perspective 0 0 1 366 0 0 2 843
On the Size of the Active Management Industry 0 1 6 208 2 6 21 999
On the exclusion of assets from tests of the two-parameter model: A sensitivity analysis 0 0 3 788 0 1 5 1,423
Portfolio Inefficiency and the Cross-Section of Expected Returns 0 0 0 75 0 0 0 342
Predicting returns in the stock and bond markets 0 0 3 1,202 0 2 17 2,309
Predictive Systems: Living with Imperfect Predictors 0 0 1 94 2 3 9 398
Predictive regressions 0 0 4 414 0 1 14 936
Presidential Address: Investment Noise and Trends 0 0 4 39 0 1 14 164
Report of the Editor of The Journal of Finance for the Year 2004 0 0 0 0 0 0 1 13
Report of the Editor of The Journal of Finance for the Year 2005 0 0 0 13 0 0 0 100
Scale and skill in active management 0 3 20 341 7 22 78 1,045
Size and value in China 2 3 11 188 5 8 53 882
Stable Factors in Security Returns: Identification Using Cross-Validation: Comment 0 0 0 0 0 0 1 87
Sustainable investing in equilibrium 33 63 267 997 100 222 817 2,833
Testing the CAPM with broader market indexes: A problem of mean-deficiency 0 0 0 94 0 1 1 265
Tests of Asset Pricing with Time-Varying Expected Risk Premiums and Market Betas 0 0 1 127 0 2 4 334
The Equity Premium and Structural Breaks 1 1 3 113 2 5 13 466
The information in forward rates: Implications for models of the term structure 0 0 3 414 0 0 7 762
The long of it: Odds that investor sentiment spuriously predicts anomaly returns 0 0 1 15 0 0 4 131
The short of it: Investor sentiment and anomalies 0 1 4 210 0 8 52 962
Total Journal Articles 56 135 646 13,664 204 515 2,123 37,760
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Statistics updated 2025-06-06