Robert F. Stambaugh : Citation Profile


Are you Robert F. Stambaugh?

University of Pennsylvania
National Bureau of Economic Research (NBER)

26

H index

32

i10 index

4404

Citations

RESEARCH PRODUCTION:

39

Articles

72

Papers

RESEARCH ACTIVITY:

   38 years (1977 - 2015). See details.
   Cites by year: 115
   Journals where Robert F. Stambaugh has often published
   Relations with other researchers
   Recent citing documents: 339.    Total self citations: 40 (0.9 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pst282
   Updated: 2017-04-22    RAS profile: 2016-07-19    
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Relations with other researchers


Works with:

Pastor, Lubos (8)

Yuan, Yu (6)

Authors registered in RePEc who have co-authored more than one work in the last five years with Robert F. Stambaugh.

Is cited by:

Campbell, John (63)

Wachter, Jessica (45)

Shanken, Jay (41)

Zhou, Guofu (38)

Timmermann, Allan (38)

Bekaert, Geert (37)

Guidolin, Massimo (35)

Pettenuzzo, Davide (34)

Santa-Clara, Pedro (29)

Bollerslev, Tim (27)

Ferson, Wayne (27)

Cites to:

Pastor, Lubos (31)

Titman, Sheridan (23)

French, Kenneth (22)

Fama, Eugene (15)

Shleifer, Andrei (13)

Baker, Malcolm (13)

Wurgler, Jeffrey (13)

Campbell, John (11)

Shanken, Jay (10)

Yuan, Yu (9)

Grinblatt, Mark (9)

Main data


Where Robert F. Stambaugh has published?


Journals with more than one article published# docs
Journal of Financial Economics15
Journal of Finance13
Review of Financial Studies4
Journal of Political Economy2

Working Papers Series with more than one paper published# docs
Working Papers / Becker Friedman Institute for Research In Economics2

Recent works citing Robert F. Stambaugh (2017 and 2016)


YearTitle of citing document
2017Picking Funds with Confidence. (2017). Wermers, Russ ; Timmermann, Allan ; Lunde, Asger ; Gronborg, Niels S. In: CREATES Research Papers. RePEc:aah:create:2017-13.

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2016Anchoring and Adjustment Heuristic: A Unified Explanation for Asset-Return Puzzles. (2016). Siddiqi, Hammad . In: Risk and Sustainable Management Group Working Papers. RePEc:ags:uqsers:229607.

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2016Heterotic Risk Models. (2016). Kakushadze, Zura . In: Papers. RePEc:arx:papers:1508.04883.

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2016Multifactor Risk Models and Heterotic CAPM. (2016). Yu, Willie ; Kakushadze, Zura . In: Papers. RePEc:arx:papers:1602.04902.

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2017Statistical Risk Models. (2017). Kakushadze, Zura ; Yu, Willie . In: Papers. RePEc:arx:papers:1602.08070.

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2016Asymmetric volatility connectedness on forex markets. (2016). Vacha, Lukas ; Kočenda, Evžen ; Baruník, Jozef. In: Papers. RePEc:arx:papers:1607.08214.

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2016The microstructural foundations of leverage effect and rough volatility. (2016). Euch, EL ; Mathieu, Rosenbaum ; Masaaki, Fukasawa . In: Papers. RePEc:arx:papers:1609.05177.

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2016Hysteresis and Duration Dependence of Financial Crises in the US: Evidence from 1871-2016. (2016). Menezes, Rui ; Bentes, Sonia . In: Papers. RePEc:arx:papers:1610.00259.

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2016A diagnostic criterion for approximate factor structure. (2016). Scaillet, Olivier ; Ossola, Elisa ; Gagliardini, Patrick . In: Papers. RePEc:arx:papers:1612.04990.

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2016Predictability Hidden by Anomalous Observations. (2016). Scaillet, Olivier ; Camponovo, Lorenzo ; Trojani, Fabio . In: Papers. RePEc:arx:papers:1612.05072.

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2017Media Network and Return Predictability. (2017). Tao, Yubo ; Guo, LI. In: Papers. RePEc:arx:papers:1703.02715.

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2016Regime Shifts in Excess Stock Return Predictability: An Out-of-Sample Portfolio Analysis. (2016). Guidolin, Massimo ; Vasile, Fabiola ; Pedio, Manuela ; Pra, Giulia Dal . In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1637.

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2016Applying the stock evaluation models on the Bulgarian stock market. (2016). Donev, Doncho . In: Economic Thought journal. RePEc:bas:econth:y:2016:i:2:p:109-124.

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2017Small-Sample Tests for Stock Return Predictability with Possibly Non-Stationary Regressors and GARCH-Type Effects. (2017). Gungor, Sermin ; Luger, Richard . In: Staff Working Papers. RePEc:bca:bocawp:17-10.

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2016Monetary Policy and the Stock Market: Time-Series Evidence. (2016). Weber, Michael ; Neuhierl, Andreas . In: Working Papers. RePEc:bfi:wpaper:2016-26.

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2016Information in the Term Structure of Yield Curve Volatility. (2016). Cieslak, Anna ; Povala, Pavol . In: Journal of Finance. RePEc:bla:jfinan:v:71:y:2016:i:3:p:1393-1436.

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2016Forecasting stock market returns by summing the frequency-decomposed parts. (2016). Verona, Fabio ; Faria, Gonalo . In: Research Discussion Papers. RePEc:bof:bofrdp:2016_029.

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2017Forecasting the equity risk premium with frequency-decomposed predictors. (2017). Verona, Fabio ; Faria, Gonalo . In: Research Discussion Papers. RePEc:bof:bofrdp:2017_001.

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2016Behavioural finance perspectives on Malaysian stock market efficiency. (2016). Tuyon, Jasman ; Ahmada, Zamri . In: Borsa Istanbul Review. RePEc:bor:bistre:v:16:y:2016:i:1:p:43-61.

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2016Bond Return Predictability: Economic Value and Links to the Macroeconomy. (2016). Pettenuzzo, Davide ; Timmermann, Allan ; Gargano, Antonio . In: Working Papers. RePEc:brd:wpaper:75r.

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2017Timing Strategy Performance in the Crude Oil Futures Market. (2017). Taylor, Nick. In: Bristol Accounting and Finance Discussion Papers. RePEc:bri:accfin:17/7.

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2016Forecasting stock market returns by summing the frequency-decomposed parts. (2016). Verona, Fabio ; Faria, Gonalo . In: Working Papers de Economia (Economics Working Papers). RePEc:cap:wpaper:052016.

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2016Forecasting the equity risk premium with frequency-decomposed predictors. (2016). Verona, Fabio ; Faria, Gonalo . In: Working Papers de Economia (Economics Working Papers). RePEc:cap:wpaper:062016.

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2016Cash Flow Duration and the Term Structure of Equity Returns. (2016). Weber, Michael. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6043.

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2016Rumors and Runs in Opaque Markets: Evidence from the Panic of 1907. (2016). Gehrig, Thomas ; Fohlin, Caroline ; Haas, Marlene . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6048.

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2016Monetary Policy and the Stock Market: Time-Series Evidence. (2016). Weber, Michael ; Neuhierl, Andreas . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6199.

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2016Robustness in Foreign Exchange Rate Forecasting Models: Economics-Based Modelling After the Financial Crisis. (2016). Medel, Carlos A. ; Kania, Stefan ; Hsu, Hsiang-Ling ; Camilleri, Gilmour ; Touloumtzoglou, Miltiadis . In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:784.

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2016Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns. (2016). Garcia, René ; Gungor, Sermin ; Fontaine, Jean-Sebastien . In: CIRANO Working Papers. RePEc:cir:cirwor:2016s-21.

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2016On the use of high frequency measures of volatility in MIDAS regressions. (2016). Andreou, Elena . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11307.

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2016Expected skewness and momentum. (2016). Weber, Martin ; Jacobs, Heiko ; Regele, Tobias . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11455.

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2016The Booms and Busts of Beta Arbitrage. (2016). Lou, Dong ; Huang, Shiyang ; Polk, Christopher . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11531.

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2016Divergent Risk-Attitudes and Endogenous Collateral Constraints. (2016). Faia, Ester ; Curatola, Giuliano . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11678.

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2016High & Dry: The Liquidity and Credit of Colonial and Foreign Government Debt and the London Stock Exchange (1880-1910). (2016). Chavaz, Matthieu ; Flandreau, Marc . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11679.

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2017Picking Funds with Confidence. (2017). Wermers, Russ ; Timmermann, Allan G ; Lunde, Asger ; Groenborg, Niels . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11896.

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2016Impact of the NYSE Shocks on the European Developed Capital Markets. (2016). Stefanescu, Razvan ; Dumitriu, Ramona . In: Risk in Contemporary Economy. RePEc:ddj:fserec:y:2016:p:327-334.

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2016An Empirical Test of the Validity of the Capital Asset Pricing Model on the Zimbabwe Stock Exchange. (2016). Nyangara, Melody ; Tyavambiza, Takawira ; Ndlovu, Godfrey . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2016-02-1.

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2017Emission trading and carbon market performance in Shenzhen, China. (2017). Cong, Ren ; Lo, Alex Y. In: Applied Energy. RePEc:eee:appene:v:193:y:2017:i:c:p:414-425.

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2016Institutional investments in pure play stocks and implications for hedging decisions. (2016). Minton, Bernadette A ; Schrand, Catherine . In: Journal of Corporate Finance. RePEc:eee:corfin:v:37:y:2016:i:c:p:132-151.

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2016Board governance, monetary interest, and closed-end fund performance. (2016). Kryzanowski, Lawrence ; Mohebshahedin, Mahmood . In: Journal of Corporate Finance. RePEc:eee:corfin:v:38:y:2016:i:c:p:196-217.

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2016Executives horizon, internal governance and stock market liquidity. (2016). Jain, Pawan ; Mekhaimer, Mohamed ; Jiang, Christine . In: Journal of Corporate Finance. RePEc:eee:corfin:v:40:y:2016:i:c:p:1-23.

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2016Property crime, earnings variability, and the cost of capital. (2016). Serfling, Matthew ; Fairhurst, Douglas ; Dhaliwal, Dan ; Brushwood, James . In: Journal of Corporate Finance. RePEc:eee:corfin:v:40:y:2016:i:c:p:142-173.

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2016Going public via special purpose acquisition companies: Frogs do not turn into princes. (2016). Tykvova, Tereza ; Kolb, Johannes . In: Journal of Corporate Finance. RePEc:eee:corfin:v:40:y:2016:i:c:p:80-96.

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2016Horizon effect in the term structure of long-run risk-return trade-offs. (2016). Okou, Cedric ; Jacquier, Eric . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:445-466.

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2017Empirical properties of a heterogeneous agent model in large dimensions. (2017). Coqueret, Guillaume . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:77:y:2017:i:c:p:180-201.

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2016Does the vector error correction model perform better than others in forecasting stock price? An application of residual income valuation theory. (2016). Kuo, Chen-Yin . In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pb:p:772-789.

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2016Industry returns, market returns and economic fundamentals: Evidence for the United States. (2016). laopodis, nikiforos. In: Economic Modelling. RePEc:eee:ecmode:v:53:y:2016:i:c:p:89-106.

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2016On the usefulness of intraday price ranges to gauge liquidity in cap-based portfolios. (2016). PETITJEAN, Mikael ; Mazza, Paolo . In: Economic Modelling. RePEc:eee:ecmode:v:54:y:2016:i:c:p:67-81.

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2016A high-frequency analysis of the interactions between REIT return and volatility. (2016). Zhou, Jian. In: Economic Modelling. RePEc:eee:ecmode:v:56:y:2016:i:c:p:102-108.

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2016Do stock market trading activities forecast recessions?. (2016). Chatterjee, Ujjal K. In: Economic Modelling. RePEc:eee:ecmode:v:59:y:2016:i:c:p:370-386.

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2016Returns, correlations, and volatilities in equity markets: Evidence from six OECD countries during the US financial crisis. (2016). Kim, Hyun-Seok ; McDonald, Judith A ; Min, Hong-Ghi . In: Economic Modelling. RePEc:eee:ecmode:v:59:y:2016:i:c:p:9-22.

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2017Stock return autocorrelations and predictability in the Chinese stock market—Evidence from threshold quantile autoregressive models. (2017). Xue, Wen-Jun ; Zhang, Li-Wen . In: Economic Modelling. RePEc:eee:ecmode:v:60:y:2017:i:c:p:391-401.

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2017Beauty contest, bounded rationality, and sentiment pricing dynamics. (2017). Liang, Hanchao ; Cai, Chuangqun ; Yang, Chunpeng . In: Economic Modelling. RePEc:eee:ecmode:v:60:y:2017:i:c:p:71-80.

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2017Leverage versus volatility: Evidence from the capital structure of European firms. (2017). el Alaoui, Abdelkader O ; Asutay, Mehmet ; Masih, Mansur ; Bacha, Obiyathulla Ismath . In: Economic Modelling. RePEc:eee:ecmode:v:62:y:2017:i:c:p:145-160.

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2016On the robustness of persistence in mutual fund performance. (2016). Matallin-Saez, Juan Carlos ; Tortosa-Ausina, Emili ; Soler-Dominguez, Amparo . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:36:y:2016:i:c:p:192-231.

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2016Wealth effect and investor sentiment. (2016). I-Chun Tsai, . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:38:y:2016:i:c:p:111-123.

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2016Individual stock crowded trades, individual stock investor sentiment and excess returns. (2016). Yang, Chunpeng ; Zhou, Liyun . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:38:y:2016:i:c:p:39-53.

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2017Firm size, economic risks, and the cross-section of international stock returns. (2017). Nitschka, Thomas ; Atanasov, Victoria . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:39:y:2017:i:c:p:110-126.

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2017Precision about manager skill, mutual fund flows, and performance persistence. (2017). Jeon, Hyunglae ; Lee, Changjun ; Kang, Jangkoo . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:40:y:2017:i:c:p:222-237.

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2017Bounded rationality, anchoring-and-adjustment sentiment, and asset pricing. (2017). Liang, Hanchao ; Cai, Chuangqun ; Zhang, Rengui ; Yang, Chunpeng . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:40:y:2017:i:c:p:85-102.

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2016A refined asymptotic framework for dividend yield in predictive regressions. (2016). Deng, Kaihua . In: Economics Letters. RePEc:eee:ecolet:v:138:y:2016:i:c:p:60-63.

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2016A reexamination of stock return predictability. (2016). Choi, Yongok ; Park, Joon Y ; Jacewitz, Stefan . In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:1:p:168-189.

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2016On the use of high frequency measures of volatility in MIDAS regressions. (2016). Andreou, Elena . In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:2:p:367-389.

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2016Estimating dynamic equilibrium models using mixed frequency macro and financial data. (2016). van der Wel, Michel ; Posch, Olaf ; Christensen, Bent Jesper. In: Journal of Econometrics. RePEc:eee:econom:v:194:y:2016:i:1:p:116-137.

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2016A nonparametric test of a strong leverage hypothesis. (2016). LINTON, OLIVER ; Yen, Yu-Min ; Whang, Yoon-Jae . In: Journal of Econometrics. RePEc:eee:econom:v:194:y:2016:i:1:p:153-186.

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2016Between data cleaning and inference: Pre-averaging and robust estimators of the efficient price. (2016). Mykland, Per A ; Zhang, Lan . In: Journal of Econometrics. RePEc:eee:econom:v:194:y:2016:i:2:p:242-262.

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2016Asymptotics for parametric GARCH-in-Mean models. (2016). Conrad, Christian ; Mammen, Enno . In: Journal of Econometrics. RePEc:eee:econom:v:194:y:2016:i:2:p:319-329.

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2017Bayesian estimation of the global minimum variance portfolio. (2017). Bodnar, Taras ; Okhrin, Yarema ; Mazur, Stepan . In: European Journal of Operational Research. RePEc:eee:ejores:v:256:y:2017:i:1:p:292-307.

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2016Stock return predictability and determinants of predictability and profits. (2016). Narayan, Paresh ; Bannigidadmath, Deepa. In: Emerging Markets Review. RePEc:eee:ememar:v:26:y:2016:i:c:p:153-173.

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2016Measuring volatility persistence for conventional and Islamic banks: An FI-EGARCH approach. (2016). JAWADI, Fredj ; Selmi, Nadhem ; Hachicha, Nejib ; Fakhfekh, Mohamed ; Cheffou, Abdoulkarim Idi . In: Emerging Markets Review. RePEc:eee:ememar:v:27:y:2016:i:c:p:84-99.

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2016Calendar trading of Taiwan stock market: A study of holidays on trading detachment and interruptions. (2016). Yang, Ann Shawing . In: Emerging Markets Review. RePEc:eee:ememar:v:28:y:2016:i:c:p:140-154.

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2017The role of Islamic asset classes in the diversified portfolios: Mean variance spanning test. (2017). Dewandaru, Ginanjar ; Mansur, A ; Bacha, Obiyathulla Ismath ; Masih, Rumi . In: Emerging Markets Review. RePEc:eee:ememar:v:30:y:2017:i:c:p:66-95.

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2016Conditional portfolio allocation: Does aggregate market liquidity matter?. (2016). Bazgour, Tarik ; Sougne, Danielle . In: Journal of Empirical Finance. RePEc:eee:empfin:v:35:y:2016:i:c:p:110-135.

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2016Inflation illusion and stock returns. (2016). Brown, William O ; Wang, Fang ; Huang, Dayong . In: Journal of Empirical Finance. RePEc:eee:empfin:v:35:y:2016:i:c:p:14-24.

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2016The usefulness of cross-sectional dispersion for forecasting aggregate stock price volatility. (2016). Byun, Sung Je ; Je, Sung . In: Journal of Empirical Finance. RePEc:eee:empfin:v:36:y:2016:i:c:p:162-180.

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2016Public news arrival and the idiosyncratic volatility puzzle. (2016). Shi, Yanlin ; Ho, Kin-Yip ; Liu, Wai-Man . In: Journal of Empirical Finance. RePEc:eee:empfin:v:37:y:2016:i:c:p:159-172.

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2016Are idiosyncratic volatility and MAX priced in the Canadian market?. (2016). Aboulamer, Anas ; Kryzanowski, Lawrence . In: Journal of Empirical Finance. RePEc:eee:empfin:v:37:y:2016:i:c:p:20-36.

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2016Limits to mutual funds ability to rely on mean/variance optimization. (2016). Karagiannidis, Iordanis ; Vozlyublennaia, Nadia . In: Journal of Empirical Finance. RePEc:eee:empfin:v:37:y:2016:i:c:p:282-292.

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2016Leverage and asymmetric volatility: The firm-level evidence. (2016). Mazzotta, Stefano ; Ericsson, Jan ; Huang, Xiao . In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pa:p:1-21.

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2016Free float and market liquidity around the world. (2016). Ding, Xiaoya ; Ni, Yang ; Zhong, Ligang . In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pa:p:236-257.

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2016CDS-bond basis and bond return predictability. (2016). Zhang, Weina ; Li, Haitao . In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pa:p:307-337.

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2017When no news is good news – The decrease in investor fear after the FOMC announcement. (2017). Fernandez-Perez, Adrian ; Tourani-Rad, Alireza ; Frijns, Bart . In: Journal of Empirical Finance. RePEc:eee:empfin:v:41:y:2017:i:c:p:187-199.

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2016Predicting the oil prices: Do technical indicators help?. (2016). Yang, Qingyuan ; Yin, Libo . In: Energy Economics. RePEc:eee:eneeco:v:56:y:2016:i:c:p:338-350.

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2016Trader types and volatility of emission allowance prices. Evidence from EU ETS Phase I. (2016). Balietti, Anca Claudia . In: Energy Policy. RePEc:eee:enepol:v:98:y:2016:i:c:p:607-620.

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2016Explaining turn of the year order flow imbalance. (2016). Chelley-Steeley, Patricia L ; Lambertides, Neophytos . In: International Review of Financial Analysis. RePEc:eee:finana:v:43:y:2016:i:c:p:76-95.

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2016A review of behavioural and management effects in mutual fund performance. (2016). Cuthbertson, Keith ; O'Sullivan, Niall ; Nitzsche, Dirk . In: International Review of Financial Analysis. RePEc:eee:finana:v:44:y:2016:i:c:p:162-176.

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2016UK equity mutual fund alphas make a comeback. (2016). Mateus, Irina B ; Todorovic, Natasa . In: International Review of Financial Analysis. RePEc:eee:finana:v:44:y:2016:i:c:p:98-110.

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2016Return predictability following different drivers of large price changes. (2016). Patel, Vinay ; Michayluk, David. In: International Review of Financial Analysis. RePEc:eee:finana:v:45:y:2016:i:c:p:202-214.

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2016Institutional investors: Arbitrageurs or rational trend chasers. (2016). Zeng, Yeqin . In: International Review of Financial Analysis. RePEc:eee:finana:v:45:y:2016:i:c:p:240-262.

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2016Real option component of cash holdings, business cycle, and stock returns. (2016). Chen, Jiun-Lin ; Sun, Ping-Wen ; Jia, Tingting Z. In: International Review of Financial Analysis. RePEc:eee:finana:v:45:y:2016:i:c:p:97-106.

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2016Benefits from social trading? Empirical evidence for certificates on wikifolios. (2016). Wendt, Stefan ; Horn, Matthias ; Oehler, Andreas . In: International Review of Financial Analysis. RePEc:eee:finana:v:46:y:2016:i:c:p:202-210.

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2016The impact of the French securities transaction tax on market liquidity and volatility. (2016). Havrylchyk, Olena ; CAPELLE-BLANCARD, Gunther. In: International Review of Financial Analysis. RePEc:eee:finana:v:47:y:2016:i:c:p:166-178.

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2016Dynamic conditional copula correlation and optimal hedge ratios with currency futures. (2016). Kotkatvuori-ornberg, Juha . In: International Review of Financial Analysis. RePEc:eee:finana:v:47:y:2016:i:c:p:60-69.

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2016Herd behavior and equity market liquidity: Evidence from major markets. (2016). Spyrou, Spyros ; Galariotis, Emilios C ; Krokida, Styliani-Iris . In: International Review of Financial Analysis. RePEc:eee:finana:v:48:y:2016:i:c:p:140-149.

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2016Time-varying risk, mispricing attributes, and the accrual premium. (2016). Simlai, Prodosh E. In: International Review of Financial Analysis. RePEc:eee:finana:v:48:y:2016:i:c:p:150-161.

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2016Asymmetries of the intraday return-volatility relation. (2016). Badshah, Ihsan ; Tourani-Rad, Alireza ; Knif, Johan ; Frijns, Bart . In: International Review of Financial Analysis. RePEc:eee:finana:v:48:y:2016:i:c:p:182-192.

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2016Does investor sentiment really matter?. (2016). Koutmos, Dimitrios ; Deesomsak, Rataporn ; Chau, Frankie . In: International Review of Financial Analysis. RePEc:eee:finana:v:48:y:2016:i:c:p:221-232.

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2016On the intensity of liquidity spillovers in the Eurozone. (2016). Smimou, K ; Khallouli, W. In: International Review of Financial Analysis. RePEc:eee:finana:v:48:y:2016:i:c:p:388-405.

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2016Reviewing the hedge funds literature II: Hedge funds returns and risk management characteristics. (2016). Hudson, Robert ; el Kalak, Izidin ; Azevedo, Alcino . In: International Review of Financial Analysis. RePEc:eee:finana:v:48:y:2016:i:c:p:55-66.

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2017Predictability and diversification benefits of investing in commodity and currency futures. (2017). Cotter, John ; Poti, Valerio ; Eyiah-Donkor, Emmanuel . In: International Review of Financial Analysis. RePEc:eee:finana:v:50:y:2017:i:c:p:52-66.

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2016Commonality in liquidity: Effects of monetary policy and macroeconomic announcements. (2016). Şensoy, Ahmet ; Sensoy, Ahmet . In: Finance Research Letters. RePEc:eee:finlet:v:16:y:2016:i:c:p:125-131.

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2016Risk-adjusting the returns of private equity using the CAPM and multi-factor extensions. (2016). Buchner, Axel . In: Finance Research Letters. RePEc:eee:finlet:v:16:y:2016:i:c:p:154-161.

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More than 100 citations found, this list is not complete...

Works by Robert F. Stambaugh:


YearTitleTypeCited
1988Stable Factors in Security Returns: Identification Using Cross-Validation: Comment. In: Journal of Business & Economic Statistics.
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article0
2010On the Size of the Active Management Industry In: Working Papers.
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paper16
2010On the Size of the Active Management Industry.(2010) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 16
paper
2010On the Size of the Active Management Industry.(2010) In: NBER Working Papers.
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This paper has another version. Agregated cites: 16
paper
2012On the Size of the Active Management Industry.(2012) In: Journal of Political Economy.
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This paper has another version. Agregated cites: 16
article
2014Scale and Skill in Active Management In: Working Papers.
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paper17
2015Scale and skill in active management.(2015) In: Journal of Financial Economics.
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This paper has another version. Agregated cites: 17
article
2014Scale and Skill in Active Management.(2014) In: CEPR Discussion Papers.
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paper
2014Scale and Skill in Active Management.(2014) In: NBER Working Papers.
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This paper has another version. Agregated cites: 17
paper
1984 A Further Investigation of the Weekend Effect in Stock Returns. In: Journal of Finance.
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article124
1986 Does the Stock Market Rationally Reflect Fundamental Values? Discussion. In: Journal of Finance.
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article0
1987 Mimicking Portfolios and Exact Arbitrage Pricing. In: Journal of Finance.
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article40
1987 Tests of Asset Pricing with Time-Varying Expected Risk Premiums and Market Betas. In: Journal of Finance.
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article34
1995 Portfolio Inefficiency and the Cross-Section of Expected Returns. In: Journal of Finance.
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article56
1994Portfolio Inefficiency and the Cross-Section of Expected Returns.(1994) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 56
paper
1996 On the Predictability of Stock Returns: An Asset-Allocation Perspective. In: Journal of Finance.
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article183
1995On the Predictability of Stock Returns: An Asset-Allocation Perspective.(1995) In: NBER Working Papers.
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This paper has another version. Agregated cites: 183
paper
1999Costs of Equity Capital and Model Mispricing In: Journal of Finance.
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article43
1998Costs of Equity Capital and Model Mispricing.(1998) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
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paper
1998Costs of Equity Capital and Model Mispricing.(1998) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 43
paper
1998Costs of Equity Capital and Model Mispricing.(1998) In: NBER Working Papers.
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This paper has another version. Agregated cites: 43
paper
2004Report of the Editor of The Journal of Finance for the Year 2003 In: Journal of Finance.
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article0
2006Report of the Editor of The Journal of Finance for the Year 2005 In: Journal of Finance.
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article0
2009Predictive Systems: Living with Imperfect Predictors In: Journal of Finance.
[Full Text][Citation analysis]
article54
2007Predictive Systems: Living with Imperfect Predictors.(2007) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 54
paper
2007Predictive Systems: Living with Imperfect Predictors.(2007) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 54
paper
2008Predictive Systems: Living with Imperfect Predictors.(2008) In: NBER Working Papers.
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This paper has another version. Agregated cites: 54
paper
2012Are Stocks Really Less Volatile in the Long Run? In: Journal of Finance.
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article27
2009Are Stocks Really Less Volatile in the Long Run?.(2009) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 27
paper
2009Are Stocks Really Less Volatile in the Long Run?.(2009) In: NBER Working Papers.
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This paper has another version. Agregated cites: 27
paper
2014Presidential Address: Investment Noise and Trends In: Journal of Finance.
[Full Text][Citation analysis]
article6
2015Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle In: Journal of Finance.
[Full Text][Citation analysis]
article10
2012Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle.(2012) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10
paper
2014Do Funds Make More When They Trade More? In: CEPR Discussion Papers.
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paper1
2014Do Funds Make More When They Trade More?.(2014) In: NBER Working Papers.
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This paper has another version. Agregated cites: 1
paper
2002Liquidity Risk and Expected Stock Returns In: CEPR Discussion Papers.
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paper821
2001Liquidity Risk and Expected Stock Returns.(2001) In: NBER Working Papers.
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This paper has another version. Agregated cites: 821
paper
Liquidity Risk and Expected Stock Returns.() In: CRSP working papers.
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This paper has another version. Agregated cites: 821
paper
2003Liquidity Risk and Expected Stock Returns.(2003) In: Journal of Political Economy.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 821
article
1977Inequaltty and social status in successive generations In: European Economic Review.
[Full Text][Citation analysis]
article0
1983Testing the CAPM with broader market indexes : A problem of mean-deficiency In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article0
2001Testing the CAPM with Broader Market Indexes: A Problem of Mean-Deficiency.(2001) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 0
paper
1982Testing the CAPM with Broader Market Indexes: A Problem of Mean-Deficiency.(1982) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 0
paper
2012The short of it: Investor sentiment and anomalies In: Journal of Financial Economics.
[Full Text][Citation analysis]
article80
2011The Short of It: Investor Sentiment and Anomalies.(2011) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 80
paper
1982On the exclusion of assets from tests of the two-parameter model : A sensitivity analysis In: Journal of Financial Economics.
[Full Text][Citation analysis]
article60
1981On the Exclusion of Assets from Tests of the Two-Parameter Model: A Sensitivity Analysis.(1981) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 60
paper
2014The long of it: Odds that investor sentiment spuriously predicts anomaly returns In: Journal of Financial Economics.
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article8
2012The Long of It: Odds that Investor Sentiment Spuriously Predicts Anomaly Returns.(2012) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8
paper
1983Arbitrage pricing with information In: Journal of Financial Economics.
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article8
1983Biases in computed returns : An application to the size effect In: Journal of Financial Economics.
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article96
1986Predicting returns in the stock and bond markets In: Journal of Financial Economics.
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article435
1985Predicting Returns in the Stock and Bond Markets.(1985) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 435
paper
1987On correlations and inferences about mean-variance efficiency In: Journal of Financial Economics.
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article40
1987Expected stock returns and volatility In: Journal of Financial Economics.
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article956
1988The information in forward rates : Implications for models of the term structure In: Journal of Financial Economics.
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article82
1997Analyzing investments whose histories differ in length In: Journal of Financial Economics.
[Full Text][Citation analysis]
article44
1996Analyzing Investments Whose Histories Differ in Length.(1996) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 44
paper
1996Analyzing Investments Whose Histories Differ in Length..(1996) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 44
paper
1997Analyzing Investments Whose Histories Differ in Length.(1997) In: NBER Working Papers.
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This paper has another version. Agregated cites: 44
paper
1999Predictive regressions In: Journal of Financial Economics.
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article408
1999Predictive Regressions.(1999) In: NBER Technical Working Papers.
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This paper has another version. Agregated cites: 408
paper
2000Comparing asset pricing models: an investment perspective In: Journal of Financial Economics.
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article108
1999Comparing Asset Pricing Models: An Investment Perspective.(1999) In: Rodney L. White Center for Financial Research Working Papers.
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This paper has another version. Agregated cites: 108
paper
1999Comparing Asset Pricing Models: An Investment Perspective.(1999) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 108
paper
1999Comparing Asset Pricing Models: An Investment Perspective.(1999) In: CRSP working papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 108
paper
2002Mutual fund performance and seemingly unrelated assets In: Journal of Financial Economics.
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article78
Mutual Fund Performance and Seemingly Unrelated Assets.”.() In: CRSP working papers.
[Citation analysis]
This paper has another version. Agregated cites: 78
paper
2002Investing in equity mutual funds In: Journal of Financial Economics.
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article52
Investing in Equity Mutual Funds.() In: CRSP working papers.
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This paper has another version. Agregated cites: 52
paper
1991Asset returns and intertemporal preferences In: Journal of Monetary Economics.
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article160
1991Asset Returns and Intertemporal Preferences.(1991) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 160
paper
2002Arbitrage Pricing with Heterogeneous Information In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
paper1
1982Arbitrage Pricing with Heterogeneous Information.(1982) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 1
paper
1993Portfolio Inefficiency and the Cross-Section of Mean Returns (Revised: 6-94) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
paper2
1993Portfolio Inefficiency and the Cross-Section of Mean Returns (Revised: 6-94).(1993) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 2
paper
1993Bayesian Inference and Portfolio Efficiency (Revision of 8-91) (Reprint 046) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
paper0
1993Bayesian Inference and Portfolio Efficiency..(1993) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 0
paper
1994Portfolio Inefficiency and the Cross-Section of Expected Returns (Revision of 3-93) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
paper0
1994Portfolio Inefficiency and the Cross-Section of Expected Returns (Revision of 3-93).(1994) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 0
paper
1990Asset Returns, Investment Horizons, and Intertemporal Preferences (Reprint 009) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
paper3
1990Asset Returns, Investment Horizons, and Intertemporal Preferences (Reprint 009).(1990) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 3
paper
1991Bayesian Inference and Portfolio Efficiency (Revised: 4-93) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
paper0
1991Bayesian Inference and Portfolio Efficiency..(1991) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 0
paper
1997Costs of Equity from Factor-Based Models In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
paper0
1997Costs of Equity from Factor-Based Models (Revised 4-98).(1997) In: Rodney L. White Center for Financial Research Working Papers.
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This paper has another version. Agregated cites: 0
paper
2000Evaluating and Investing in Equity Mutual Funds In: Rodney L. White Center for Financial Research Working Papers.
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paper1
2000Evaluating and Investing in Equity Mutual Funds.(2000) In: NBER Working Papers.
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This paper has another version. Agregated cites: 1
paper
Evaluating and Investing in Equity Mutual Funds.() In: CRSP working papers.
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This paper has another version. Agregated cites: 1
paper
2000The Equity Premium and Structural Breaks In: Rodney L. White Center for Financial Research Working Papers.
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paper87
1998The Equity Premium and Structural Breaks..(1998) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 87
paper
2000The Equity Premium and Structural Breaks.(2000) In: NBER Working Papers.
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This paper has another version. Agregated cites: 87
paper
2000The Equity Premium and Structural Breaks.(2000) In: CRSP working papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 87
paper
1983Biases in Computed Returns: An Application to the Size Effect (Revision of 2-83) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
paper80
1989Expectations and Volatility of Long-Horizon Stock Returns In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
paper0
1993Estimiting Conditional Expectations when Volatility Fluctuates. In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
paper9
1993Estimating Conditional Expectations when Volatility Fluctuates.(1993) In: NBER Technical Working Papers.
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This paper has another version. Agregated cites: 9
paper
1988A Mean-Variance Framework for Tests for Asset Pricing Models In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
paper21
1989A Mean-Variance Framework for Tests of Asset Pricing Models..(1989) In: Review of Financial Studies.
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This paper has another version. Agregated cites: 21
article
1988Changing Risk, Changing Risk Premiums, and Dividend Yield Effects In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
paper16
1990Changing Risk, Changing Risk Premiums, and Dividend Yield Effects..(1990) In: The Journal of Business.
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This paper has another version. Agregated cites: 16
article
1994On the Predictability of Stock Returns: An Asset- Allocation Perspective. In: Rodney L. White Center for Financial Research Working Papers.
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paper0
1988Modeling Expected Stock Returns for Long and Short Horizons In: Rodney L. White Center for Financial Research Working Papers.
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paper18
1990ASSET RETURNS, INVESTMENT HORIZONS, AND INTERTEMPORAL PREFERENCES. In: Weiss Center Working Papers.
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paper6
1991Bayesian Inference and Portfolio Efficiency. In: Weiss Center Working Papers.
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paper26
1993Bayesian Inference and Portfolio Efficiency.(1993) In: NBER Technical Working Papers.
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paper
1995Bayesian Inference and Portfolio Efficiency..(1995) In: Review of Financial Studies.
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This paper has another version. Agregated cites: 26
article
2014Investment Noise and Trends In: NBER Working Papers.
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paper3
2015Mispricing Factors In: NBER Working Papers.
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1990Expectations and Volatility of Consumption and Asset Returns. In: Review of Financial Studies.
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article84
1994A Mean-Variance Framework for Tests of Asset Pricing Models: Correction. In: Review of Financial Studies.
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