Robert F. Stambaugh : Citation Profile


Are you Robert F. Stambaugh?

University of Pennsylvania
National Bureau of Economic Research (NBER)

31

H index

39

i10 index

7081

Citations

RESEARCH PRODUCTION:

46

Articles

83

Papers

RESEARCH ACTIVITY:

   44 years (1977 - 2021). See details.
   Cites by year: 160
   Journals where Robert F. Stambaugh has often published
   Relations with other researchers
   Recent citing documents: 633.    Total self citations: 49 (0.69 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pst282
   Updated: 2021-07-19    RAS profile: 2020-09-04    
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Relations with other researchers


Works with:

Pastor, Lubos (10)

Yuan, Yu (4)

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 (73)

Guidolin, Massimo (54)

Pettenuzzo, Davide (47)

Wachter, Jessica (46)

Shanken, Jay (41)

Zhou, Guofu (39)

Bekaert, Geert (38)

Timmermann, Allan (37)

Bollerslev, Tim (34)

wermers, russell (33)

GUPTA, RANGAN (30)

Cites to:

Pastor, Lubos (35)

French, Kenneth (30)

Titman, Sheridan (27)

Fama, Eugene (21)

Hou, Kewei (16)

Shleifer, Andrei (15)

Hirshleifer, David (15)

Campbell, John (15)

Teoh, Siew Hong (15)

Yuan, Yu (14)

Baker, Malcolm (13)

Main data


Where Robert F. Stambaugh has published?


Journals with more than one article published# docs
Journal of Financial Economics17
Journal of Finance15
Review of Financial Studies5
Journal of Political Economy2

Recent works citing Robert F. Stambaugh (2021 and 2020)


YearTitle of citing document
2020Predicting bond return predictability. (2020). Thyrsgaard, Martin ; Kjar, Mads M ; Eriksen, Jonas N ; Borup, Daniel. In: CREATES Research Papers. RePEc:aah:create:2020-09.

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2020Origins of Mutual Fund Skill: Market versus Accounting Based Asset Pricing Anomalies. (2020). Christiansen, Charlotte ; Xu, Yue ; Xing, Ran. In: CREATES Research Papers. RePEc:aah:create:2020-14.

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2020ARE SMALL STOCKS ILLIQUID? AN EXAMINATION OF LIQUIDITY-IMPROVING EVENTS. (2020). Al-Haji, Ahmad. In: Review of Socio - Economic Perspectives. RePEc:aly:journl:202068.

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2020Equilibrium Asset Pricing with Transaction Costs. (2019). Possamai, Dylan ; Muhle-Karbe, Johannes ; Herdegen, Martin. In: Papers. RePEc:arx:papers:1901.10989.

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2020Factor Investing: Hierarchical Ensemble Learning. (2019). Feng, Guanhao ; He, Jingyu. In: Papers. RePEc:arx:papers:1902.01015.

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2020Equity Premium Puzzle or Faulty Economic Modelling?. (2019). Rachev, Svetlozar T ; Fabozzi, Frank J ; Stoyanov, Stoyan V ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:1909.13019.

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2020Trading Strategies and Market Color: The Benefits of Friendship with Quantitative Analysts and Financial Engineers. (2019). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1910.02144.

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2021Stochastic leverage effect in high-frequency data: a Fourier based analysis. (2019). Sanfelici, Simona ; Curato, Imma Valentina. In: Papers. RePEc:arx:papers:1910.06660.

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2020Corporate Governance, Noise Trading and Liquidity of Stocks. (2020). Su, Jianhao. In: Papers. RePEc:arx:papers:2001.06275.

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2020Choosing the Right Return Distribution and the Excess Volatility Puzzle. (2020). Fabozzi, Frank J ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:2001.08865.

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2020A study on the leverage effect on financial series using a TAR model: a Bayesian approach. (2020). Nieto, Fabio ; Espinosa, Oscar. In: Papers. RePEc:arx:papers:2002.05319.

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2021Equity Factors: To Short Or Not To Short, That Is The Question. (2020). Ciliberti, Stefano ; Bouchaud, Jean-Philippe ; Benaych-Georges, Florent . In: Papers. RePEc:arx:papers:2003.10419.

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2020A dynamic conditional approach to portfolio weights forecasting. (2020). Palandri, Alessandro ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2004.12400.

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2020Decision-Making, Sub-Additive Recursive Matching Noise And Biases In Risk-Weighted Stock/Bond Index Calculation Methods In Incomplete Markets With Partially Observable Multi-Attribute Preferences. (2020). Nwogugu, Michael C. In: Papers. RePEc:arx:papers:2005.01708.

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2020False (and Missed) Discoveries in Financial Economics. (2020). Liu, Yan ; Harvey, Campbell R. In: Papers. RePEc:arx:papers:2006.04269.

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2021Dynamic Networks in Large Financial and Economic Systems. (2020). Baruník, Jozef ; Ellington, Michael. In: Papers. RePEc:arx:papers:2007.07842.

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2020Deep Learning, Predictability, and Optimal Portfolio Returns. (2020). Baruník, Jozef ; Babiak, Mykola. In: Papers. RePEc:arx:papers:2009.03394.

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2020A Horserace of Volatility Models for Cryptocurrency: Evidence from Bitcoin Spot and Option Markets. (2020). Hao, Wenyan ; Chi, Yeguang. In: Papers. RePEc:arx:papers:2010.07402.

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2020An Equilibrium Model for the Cross-Section of Liquidity Premia. (2020). Shi, Xiaofei ; Muhle-Karbe, Johannes ; Yang, Chen. In: Papers. RePEc:arx:papers:2011.13625.

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2020Bayesian Quantile-Based Portfolio Selection. (2020). Lindholm, Mathias ; Bodnar, Taras ; Thors, Erik ; Niklasson, Vilhelm. In: Papers. RePEc:arx:papers:2012.01819.

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2020If Global or Local Investor Sentiments are Prone to Developing an Impact on Stock Returns, is there an Industry Effect?. (2020). Zhu, Tingting ; Ausloos, Marcel ; Shi, Jing. In: Papers. RePEc:arx:papers:2012.12951.

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2021Deep reinforcement learning for portfolio management based on the empirical study of chinese stock market. (2021). Song, Qingyang ; Zhou, Xiaohua ; Huang, Gang. In: Papers. RePEc:arx:papers:2012.13773.

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2021Forward indifference valuation and hedging of basis risk under partial information. (2021). Tahvildari, Mahan. In: Papers. RePEc:arx:papers:2101.00251.

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2021Portfolio Construction Using Stratified Models. (2021). Boyd, Stephen ; Barratt, Shane ; Tuck, Jonathan. In: Papers. RePEc:arx:papers:2101.04113.

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2021Power-Law Return-Volatility Cross Correlations of Bitcoin. (2021). Takaishi, T. In: Papers. RePEc:arx:papers:2102.08187.

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2021Robustifying Conditional Portfolio Decisions via Optimal Transport. (2021). Ye, Yinyu ; Delage, Erick ; Blanchet, Jose ; Zhang, Fan ; Nguyen, Viet Anh. In: Papers. RePEc:arx:papers:2103.16451.

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2021Perpetual callable American volatility options in a mean-reverting volatility model. (2021). Liu, Hsuan-Ku. In: Papers. RePEc:arx:papers:2104.01127.

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2021An Empirical Assessment of Characteristics and Optimal Portfolios. (2021). Lamoureux, Christopher G ; Zhang, Huacheng. In: Papers. RePEc:arx:papers:2104.12975.

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2021Why and how systematic strategies decay. (2021). Falck, Antoine ; Thesmar, David ; Rej, Adam. In: Papers. RePEc:arx:papers:2105.01380.

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2020Can Crude Oil Price be a Predictor of Stock Index Return? Evidence from Vietnamese Stock Market. (2020). Nguyen, Dat Thanh. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2020:p:13-21.

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2020Calendar Anomalies in the Banking and it Index: The Indian Experience. (2020). Das, Chandrabhanu ; Singh, Shikta. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2020:p:439-448.

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2020Calendar Effect and Returns of Listed Companies on the Ghana Stock Exchange: A DOLS and GARCH Modelling. (2020). Asare-Adu, Anthony ; Atuah, Theophilus Sakyiamah ; Agyapong, Daniel. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2020:p:920-935.

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2021Liquidity Synchronization and Asset Valuation in Selected Emerging Asian Economies. (2021). Bhutta, Nousheen Tariq ; Zaidi, Syeda Hina. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2021:p:488-500.

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2021Illiquidity Premium in the Indian Stock Market: An Empirical Study. (2021). Verma, Divya ; Kundlia, Shweta. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2021:p:501-511.

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2020Dissecting Time-Varying Risk Exposures in Cryptocurrency Markets. (2020). Pedio, Manuela ; Guidolin, Massimo ; Bianchi, Daniele. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp20143.

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2020Mutual funds performance: the role of distribution networks and bank affiliation. (2020). Marinelli, Giuseppe ; Hamaui, Andrea ; Cardillo, Andrea ; Albareto, Giorgio. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1272_20.

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2020Exit vs. Voice. (2020). Hart, Oliver D ; Broccardo, Eleonora ; Zingales, Luigi. In: Working Papers. RePEc:bfi:wpaper:2020-114.

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2020Mutual Fund Performance and Flows During the COVID-19 Crisis. (2020). Vorsatz, Blair M ; Pastor, Lubos. In: Working Papers. RePEc:bfi:wpaper:2020-96.

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2021Can Machine Learning Help to Select Portfolios of Mutual Funds?. (2021). , Andre ; Nogales, Francisco J ; Gil-Bazo, Javier ; Demiguel, Victor ; de Miguel, Victor . In: Working Papers. RePEc:bge:wpaper:1245.

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2020Investor Sentiment Effects on Share Price Deviations from their Intrinsic Values Based on Accounting Fundamentals. (2020). Tzavalis, Elias ; Karavias, Yiannis ; Spilioti, Stella. In: Discussion Papers. RePEc:bir:birmec:20-21.

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2020A New Indicator of Bank Funding Cost. (2020). Sahuc, Jean-Guillaume ; Mojon, Benoit ; Jondeau, Eric. In: BIS Working Papers. RePEc:bis:biswps:854.

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2020Does Investor Sentiment Affect the Value Relevance of Accounting Information?. (2020). Hong, Kihoon ; He, Wen ; Wu, Eliza. In: Abacus. RePEc:bla:abacus:v:56:y:2020:i:4:p:535-560.

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2020The financial distress pricing puzzle in banking firms. (2020). Lee, Inro ; Kim, Dongcheol. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:2:p:1351-1384.

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2020Toward understanding short‐selling activity: demand and supply. (2020). , Harry ; Kot, Hung Wan . In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:3:p:2203-2230.

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2020The seasonality of gold prices in China does the risk‐aversion level matter?. (2020). Xiao, Bing ; Zhu, Zhenzhen ; van Hoang, Thi Hong ; Wong, Wing Keung. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:3:p:2617-2664.

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2020Does news travel slowly before a market crash? The role of margin traders. (2020). Li, Yan ; Qian, LI. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:3:p:3065-3101.

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2020Estimating the rank of a beta matrix: a GMM approach. (2020). Wang, Qin ; Ren, YU. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:4:p:4147-4173.

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2021Pairs trading and idiosyncratic cash flow risk. (2021). Faff, Robert ; Do, Binh. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:2:p:3171-3206.

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2021The long?run role of innovation in the IPO market: inhibition or promotion?. (2021). Sadeghi, Mehdi ; Zhou, Lu Jolly. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:2:p:3735-3779.

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2021Risk of holding stocks with liquidity sensitive to market uncertainty: evidence from China. (2021). Yan, WU ; Qian, Meifen ; Shen, Yifan ; Sun, Pingwen. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:s1:p:1993-2029.

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2021No more excuses! Performance of ESG?integrated portfolios in Australia. (2021). , Victor ; Fan, John Hua ; Lee, Darren D. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:s1:p:2407-2450.

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2021Looking for sustainable development: Socially responsible mutual funds and the low?carbon economy. (2021). Tortosa-Ausina, Emili ; TortosaAusina, Emili ; de Mingolopez, Diego Victor ; Matallinsaez, Juan Carlos ; Juan Carlos Matallin Saez, ; Solerdominguez, Amparo. In: Business Strategy and the Environment. RePEc:bla:bstrat:v:30:y:2021:i:4:p:1751-1766.

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2020UNDERSTANDING THE MACROECONOMIC IMPACT OF ILLIQUIDITY SHOCKS IN THE UNITED STATES. (2020). Chou, Yu-Hsi ; Yen, Chiayi. In: Economic Inquiry. RePEc:bla:ecinqu:v:58:y:2020:i:3:p:1245-1278.

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2020Trade uncertainties and the hedging abilities of Bitcoin. (2020). GUPTA, RANGAN ; Bouri, Elie ; Gkillas, Konstantinos. In: Economic Notes. RePEc:bla:ecnote:v:49:y:2020:i:3:n:e12173.

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2020Idiosyncratic momentum and the cross‐section of stock returns: Further evidence. (2020). Lin, QI. In: European Financial Management. RePEc:bla:eufman:v:26:y:2020:i:3:p:579-627.

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2020Consumption, asset wealth, equity premium, term spread, and flight to quality. (2020). Sousa, Ricardo ; Costantini, Mauro. In: European Financial Management. RePEc:bla:eufman:v:26:y:2020:i:3:p:778-807.

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2020How much should portfolios shrink?. (2020). Han, Chulwoo. In: Financial Management. RePEc:bla:finmgt:v:49:y:2020:i:3:p:707-740.

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2020Option trading after the opening bell and intraday stock return predictability. (2020). Fodor, Andy ; Bergsma, Kelley ; Tayal, Jitendra ; Singal, Vijay. In: Financial Management. RePEc:bla:finmgt:v:49:y:2020:i:3:p:769-804.

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2020Commonality in liquidity and multilateral trading facilities. (2020). Mekhaimer, Mohamed ; Jain, Pankaj K ; Mortal, Sandra. In: The Financial Review. RePEc:bla:finrev:v:55:y:2020:i:3:p:481-502.

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2020Institutional trading, investor sentiment, and lottery‐like stock preferences. (2020). Alldredge, Dallin M. In: The Financial Review. RePEc:bla:finrev:v:55:y:2020:i:4:p:603-624.

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2020Taming the Factor Zoo: A Test of New Factors. (2020). Xiu, Dacheng ; Giglio, Stefano ; Feng, Guanhao. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:3:p:1327-1370.

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2020Consumption Fluctuations and Expected Returns. (2020). Priestley, Richard ; Moller, Stig V ; Atanasov, Victoria. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:3:p:1677-1713.

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2020The Banking View of Bond Risk Premia. (2020). Sraer, David ; Haddad, Valentin. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:5:p:2465-2502.

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2020The Mismatch Between Mutual Fund Scale and Skill. (2020). Song, Yang. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:5:p:2555-2589.

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2020The Causal Effect of Limits to Arbitrage on Asset Pricing Anomalies. (2020). Hirshleifer, David ; Chu, Yongqiang ; Ma, Liang. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:5:p:2631-2672.

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2020Low‐Risk Anomalies?. (2020). Zechner, Josef ; Wagner, Christian ; Schneider, Paul. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:5:p:2673-2718.

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2020Every Cloud Has a Silver Lining: Fast Trading, Microwave Connectivity, and Trading Costs. (2020). Shkilko, Andriy ; Sokolov, Konstantin. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:6:p:2899-2927.

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2020Stock Market Returns and Consumption. (2020). Majlesi, Kaveh ; di Maggio, Marco ; Dimaggio, Marco ; Kermani, Amir. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:6:p:3175-3219.

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2020WHATS IN A NAME? A CAUTIONARY TALE OF PROFITABILITY ANOMALIES AND LIMITS TO ARBITRAGE. (2020). DeLisle, Jared ; Zaynutdinova, Gulnara R ; Yuksel, Zafer H. In: Journal of Financial Research. RePEc:bla:jfnres:v:43:y:2020:i:2:p:305-344.

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2020Tick Size and Financial Reporting Quality in Small‐Cap Firms: Evidence from a Natural Experiment. (2020). Xu, Nina ; Li, Yiwen ; Ahmed, Anwer S. In: Journal of Accounting Research. RePEc:bla:joares:v:58:y:2020:i:4:p:869-914.

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2020Backtesting portfolio value‐at‐risk with estimated portfolio weights. (2020). Pei, Pei ; Du, Zaichao. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:41:y:2020:i:5:p:605-619.

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2020Self‐similarity in long‐horizon returns. (2020). Schoutens, Wim ; Madan, Dilip B. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:4:p:1368-1391.

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2020Risk and Returns of Income Producing Properties: Core versus Noncore. (2020). Thibodeau, Thomas G ; Peng, Liang ; Gang, Jianhua. In: Real Estate Economics. RePEc:bla:reesec:v:48:y:2020:i:2:p:476-503.

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2020Climate Risk and Commodity Currencies. (2020). Larsen, Vegard ; Kapfhammer, Felix ; Thorsrud, Leif Anders. In: Working Papers. RePEc:bny:wpaper:0093.

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2020Temporal aggregation of random walk processes and implications for economic analysis. (2020). Ivan, Paya ; Yamin, Ahmad. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:24:y:2020:i:2:p:20:n:4.

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2021How do volatility regimes affect the pricing of quality and liquidity in the stock market?. (2021). Hübner, Georges ; Tarik, Bazgour ; Danielle, Sougne ; Georges, Hubner ; Cedric, Heuchenne. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:25:y:2021:i:1:p:17:n:3.

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2021Application of grey relational analysis and artificial neural networks on currency exchange-traded notes (ETNs). (2021). Francis, Diaz John ; Jo-Hui, Chen. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:25:y:2021:i:2:p:17:n:4.

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2020A Dynamic Semiparametric Characteristics-based Model for Optimal Portfolio Selection. (2020). Li, S ; Connor, G ; Linton, O. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:20103.

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2020Systematic Liquidity Risk Premia. (2020). Hong, Sanghyun ; Boyle, Glenn. In: Working Papers in Economics. RePEc:cbt:econwp:20/15.

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2020On the Performance of Cryptocurrency Funds. (2020). Babiak, Mykola ; Bianchi, Daniele. In: CERGE-EI Working Papers. RePEc:cer:papers:wp672.

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2020Deep Learning, Predictability, and Optimal Portfolio Returns. (2020). Baruník, Jozef ; Babiak, Mykola. In: CERGE-EI Working Papers. RePEc:cer:papers:wp677.

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2020Climate Risk and Commodity Currencies. (2020). Larsen, Vegard ; Kapfhammer, Felix ; Thorsrud, Leif Anders. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8788.

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2021Predictability of Bull and Bear Markets: A New Look at Forecasting Stock Market Regimes (and Returns) in the US. (2021). Neuenkirch, Matthias ; Haase, Felix. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8828.

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2020Art as an Asset: Evidence from Keynes the Collector. (2020). Dimson, Elroy ; Chambers, David. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14357.

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2020Litigating Innovation: Evidence from Securities Class Action Lawsuits. (2020). Spalt, Oliver G ; Kempf, Elisabeth. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14358.

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2021Crowding of International Mutual Funds. (2021). Wipplinger, Evert ; Inhoffen, Justus ; Dyakov, Teodor ; Gonzalez, Tanja Artiga. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1937.

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2021Credit rating levels and acquisitions: the European evidence. (2021). Vyas, Hitesh ; Kortekangas, Johannes ; Blomkvist, Magnus. In: Economics Bulletin. RePEc:ebl:ecbull:eb-20-00807.

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2020Price dividend ratio and long-run stock returns: a score driven state space model. (2020). Petrella, Ivan ; Delle Monache, Davide ; Venditti, Fabrizio. In: Working Paper Series. RePEc:ecb:ecbwps:20202369.

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2020An Empirical Analysis of Behavioral Finance in the Saudi Stock Market: Evidence of Overconfidence Behavior. (2020). Alarfaj, Omar ; Alsabban, Soleman. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2020-01-10.

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2020Illiquidity Premium and Monetary Conditions in Emerging Markets: An Empirical Examination of Taiwan Stock Markets. (2020). Liu, Yi-Sheng ; Tai, Chia-Li ; Chen, Chia-Cheng. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2020-01-14.

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2020Long Memory and Stock Market Efficiency: Case of Saudi Arabia. (2020). Lamouchi, Rim Ammar. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2020-03-5.

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2020Does mood affect institutional herding?. (2020). Ozturkkal, Belma ; Kallinterakis, Vasileios ; Gavriilidis, Konstantinos. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:26:y:2020:i:c:s2214635019303119.

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2020How does air pollution-induced fund-manager mood affect stock markets in China?. (2020). Lu, Jing ; Chou, Robin K ; Wu, Qinqin. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:28:y:2020:i:c:s2214635020303269.

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2020When financial literacy meets textual analysis: A conceptual review. (2020). Li, Xiao. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:28:y:2020:i:c:s2214635020303294.

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2021Air pollution and behavioral biases: Evidence from stock market anomalies. (2021). Pham, Mia Hang ; Nguyen, Hung T. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:29:y:2021:i:c:s2214635020303701.

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2021Financial news and CDS spreads. (2021). Bannigidadmath, Deepa ; Narayan, Paresh Kumar. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:29:y:2021:i:c:s2214635020303774.

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2021Does investor attention matter for market anomalies?. (2021). Pham, Mia Hang ; Nguyen, Hung T. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:29:y:2021:i:c:s2214635020303804.

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2020Nonlinear and time-varying risk premia. (2020). Cai, Zongwu ; Mi, Xianhua ; Ma, Chaoqun. In: China Economic Review. RePEc:eee:chieco:v:62:y:2020:i:c:s1043951x2030064x.

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2020New continuum of stochastic static forecasting model for mutual funds at investment policy level. (2020). Sheikh, Jibran ; Ahmed, Wajid Shakeel ; Butt, Faisal Shafique ; Shad, Shafqat Ali ; Shafi, Khuram ; Ur-Rehman, Kashif. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:132:y:2020:i:c:s0960077919305193.

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2020Corporate board reforms around the world and stock price crash risk. (2020). Zhang, Feida ; Taboada, Alvaro G ; Li, Siqi ; Hu, Jinshuai. In: Journal of Corporate Finance. RePEc:eee:corfin:v:62:y:2020:i:c:s0929119920300018.

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2020Value relevance of the new environmental enforcement regime in China. (2020). Zhang, Xiaodong ; Sam, Abdoul G. In: Journal of Corporate Finance. RePEc:eee:corfin:v:62:y:2020:i:c:s0929119920300171.

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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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2020Sustainable Investing in Equilibrium In: Working Papers.
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2019Sustainable Investing in Equilibrium.(2019) In: NBER Working Papers.
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1984 A Further Investigation of the Weekend Effect in Stock Returns. In: Journal of Finance.
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1986 Does the Stock Market Rationally Reflect Fundamental Values? Discussion. In: Journal of Finance.
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1987 Mimicking Portfolios and Exact Arbitrage Pricing. In: Journal of Finance.
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1987 Tests of Asset Pricing with Time-Varying Expected Risk Premiums and Market Betas. In: Journal of Finance.
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article38
1995 Portfolio Inefficiency and the Cross-Section of Expected Returns. In: Journal of Finance.
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article67
1994Portfolio Inefficiency and the Cross-Section of Expected Returns.(1994) In: NBER Working Papers.
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1996 On the Predictability of Stock Returns: An Asset-Allocation Perspective. In: Journal of Finance.
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1995On the Predictability of Stock Returns: An Asset-Allocation Perspective.(1995) In: NBER Working Papers.
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1999Costs of Equity Capital and Model Mispricing In: Journal of Finance.
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1998Costs of Equity Capital and Model Mispricing.(1998) In: Rodney L. White Center for Financial Research Working Papers.
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1998Costs of Equity Capital and Model Mispricing.(1998) In: Rodney L. White Center for Financial Research Working Papers.
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1998Costs of Equity Capital and Model Mispricing.(1998) In: NBER Working Papers.
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2001The Equity Premium and Structural Breaks In: Journal of Finance.
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2000The Equity Premium and Structural Breaks.(2000) In: Rodney L. White Center for Financial Research Working Papers.
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1998The Equity Premium and Structural Breaks..(1998) In: Rodney L. White Center for Financial Research Working Papers.
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2000The Equity Premium and Structural Breaks.(2000) In: NBER Working Papers.
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2000The Equity Premium and Structural Breaks.(2000) In: CRSP working papers.
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2005Report of the Editor of The Journal of Finance for the Year 2004 In: Journal of Finance.
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2006Report of the Editor of The Journal of Finance for the Year 2005 In: Journal of Finance.
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2009Predictive Systems: Living with Imperfect Predictors In: Journal of Finance.
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2007Predictive Systems: Living with Imperfect Predictors.(2007) In: CEPR Discussion Papers.
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2007Predictive Systems: Living with Imperfect Predictors.(2007) In: NBER Working Papers.
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2008Predictive Systems: Living with Imperfect Predictors.(2008) In: NBER Working Papers.
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2012Are Stocks Really Less Volatile in the Long Run? In: Journal of Finance.
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2009Are Stocks Really Less Volatile in the Long Run?.(2009) In: CEPR Discussion Papers.
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2009Are Stocks Really Less Volatile in the Long Run?.(2009) In: NBER Working Papers.
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paper
2014Presidential Address: Investment Noise and Trends In: Journal of Finance.
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article24
2015Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle In: Journal of Finance.
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2012Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle.(2012) In: NBER Working Papers.
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2017Do Funds Make More When They Trade More? In: Journal of Finance.
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2014Do Funds Make More When They Trade More?.(2014) In: CEPR Discussion Papers.
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2014Do Funds Make More When They Trade More?.(2014) In: NBER Working Papers.
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2017Portfolio Liquidity and Diversification: Theory and Evidence In: CEPR Discussion Papers.
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2017Fund Tradeoffs In: CEPR Discussion Papers.
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2017Fund Tradeoffs.(2017) In: NBER Working Papers.
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2019Liquidity Risk After 20 Years In: CEPR Discussion Papers.
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2019Liquidity Risk After 20 Years.(2019) In: NBER Working Papers.
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2019Liquidity Risk After 20 Years.(2019) In: Critical Finance Review.
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2002Liquidity Risk and Expected Stock Returns In: CEPR Discussion Papers.
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paper1448
2001Liquidity Risk and Expected Stock Returns.(2001) In: NBER Working Papers.
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2003Liquidity Risk and Expected Stock Returns.(2003) In: Journal of Political Economy.
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article
Liquidity Risk and Expected Stock Returns.() In: CRSP working papers.
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2010On the Size of the Active Management Industry In: CEPR Discussion Papers.
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paper50
2010On the Size of the Active Management Industry.(2010) In: NBER Working Papers.
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2012On the Size of the Active Management Industry.(2012) In: Journal of Political Economy.
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2014Scale and Skill in Active Management In: CEPR Discussion Papers.
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paper95
2015Scale and skill in active management.(2015) In: Journal of Financial Economics.
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2014Scale and Skill in Active Management.(2014) In: NBER Working Papers.
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1977Inequaltty and social status in successive generations In: European Economic Review.
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article0
1983Testing the CAPM with broader market indexes : A problem of mean-deficiency In: Journal of Banking & Finance.
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2001Testing the CAPM with Broader Market Indexes: A Problem of Mean-Deficiency.(2001) In: Rodney L. White Center for Financial Research Working Papers.
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1982Testing the CAPM with Broader Market Indexes: A Problem of Mean-Deficiency.(1982) In: Rodney L. White Center for Financial Research Working Papers.
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2012The short of it: Investor sentiment and anomalies In: Journal of Financial Economics.
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article325
2011The Short of It: Investor Sentiment and Anomalies.(2011) In: NBER Working Papers.
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1982On the exclusion of assets from tests of the two-parameter model : A sensitivity analysis In: Journal of Financial Economics.
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article86
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.
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paper
2014The long of it: Odds that investor sentiment spuriously predicts anomaly returns In: Journal of Financial Economics.
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article37
2012The Long of It: Odds that Investor Sentiment Spuriously Predicts Anomaly Returns.(2012) In: NBER Working Papers.
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2018Absolving beta of volatility’s effects In: Journal of Financial Economics.
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article10
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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article172
2019Size and value in China In: Journal of Financial Economics.
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article43
2018Size and Value in China.(2018) In: NBER Working Papers.
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paper
1986Predicting returns in the stock and bond markets In: Journal of Financial Economics.
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article586
1985Predicting Returns in the Stock and Bond Markets.(1985) In: Rodney L. White Center for Financial Research Working Papers.
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paper
1987On correlations and inferences about mean-variance efficiency In: Journal of Financial Economics.
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article41
1987Expected stock returns and volatility In: Journal of Financial Economics.
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article1370
1988The information in forward rates : Implications for models of the term structure In: Journal of Financial Economics.
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article89
1997Analyzing investments whose histories differ in length In: Journal of Financial Economics.
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article55
1996Analyzing Investments Whose Histories Differ in Length.(1996) In: Rodney L. White Center for Financial Research Working Papers.
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1996Analyzing Investments Whose Histories Differ in Length..(1996) In: Rodney L. White Center for Financial Research Working Papers.
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1997Analyzing Investments Whose Histories Differ in Length.(1997) In: NBER Working Papers.
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1999Predictive regressions In: Journal of Financial Economics.
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1999Predictive Regressions.(1999) In: NBER Technical Working Papers.
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2000Comparing asset pricing models: an investment perspective In: Journal of Financial Economics.
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1999Comparing Asset Pricing Models: An Investment Perspective.(1999) In: Rodney L. White Center for Financial Research Working Papers.
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1999Comparing Asset Pricing Models: An Investment Perspective.(1999) In: NBER Working Papers.
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1999Comparing Asset Pricing Models: An Investment Perspective.(1999) In: CRSP working papers.
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2002Mutual fund performance and seemingly unrelated assets In: Journal of Financial Economics.
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Mutual Fund Performance and Seemingly Unrelated Assets.”.() In: CRSP working papers.
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2002Investing in equity mutual funds In: Journal of Financial Economics.
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Investing in Equity Mutual Funds.() In: CRSP working papers.
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1991Asset returns and intertemporal preferences In: Journal of Monetary Economics.
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1991Asset Returns and Intertemporal Preferences.(1991) In: NBER Working Papers.
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2002Arbitrage Pricing with Heterogeneous Information In: Rodney L. White Center for Financial Research Working Papers.
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1982Arbitrage Pricing with Heterogeneous Information.(1982) In: Rodney L. White Center for Financial Research Working Papers.
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1993Portfolio Inefficiency and the Cross-Section of Mean Returns (Revised: 6-94) In: Rodney L. White Center for Financial Research Working Papers.
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paper2
1993Portfolio Inefficiency and the Cross-Section of Mean Returns (Revised: 6-94).(1993) In: Rodney L. White Center for Financial Research Working Papers.
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1993Bayesian Inference and Portfolio Efficiency (Revision of 8-91) (Reprint 046) In: Rodney L. White Center for Financial Research Working Papers.
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paper0
1993Bayesian Inference and Portfolio Efficiency..(1993) In: Rodney L. White Center for Financial Research Working Papers.
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1994Portfolio Inefficiency and the Cross-Section of Expected Returns (Revision of 3-93) In: Rodney L. White Center for Financial Research Working Papers.
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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.
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1990Asset Returns, Investment Horizons, and Intertemporal Preferences (Reprint 009) In: Rodney L. White Center for Financial Research Working Papers.
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1990Asset Returns, Investment Horizons, and Intertemporal Preferences (Reprint 009).(1990) In: Rodney L. White Center for Financial Research Working Papers.
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1991Bayesian Inference and Portfolio Efficiency (Revised: 4-93) In: Rodney L. White Center for Financial Research Working Papers.
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1991Bayesian Inference and Portfolio Efficiency..(1991) In: Rodney L. White Center for Financial Research Working Papers.
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1997Costs of Equity from Factor-Based Models In: Rodney L. White Center for Financial Research Working Papers.
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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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2000Evaluating and Investing in Equity Mutual Funds In: Rodney L. White Center for Financial Research Working Papers.
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2000Evaluating and Investing in Equity Mutual Funds.(2000) In: NBER Working Papers.
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Evaluating and Investing in Equity Mutual Funds.() In: CRSP working papers.
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1983Biases in Computed Returns: An Application to the Size Effect (Revision of 2-83) In: Rodney L. White Center for Financial Research Working Papers.
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1989Expectations and Volatility of Long-Horizon Stock Returns In: Rodney L. White Center for Financial Research Working Papers.
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1993Estimiting Conditional Expectations when Volatility Fluctuates. In: Rodney L. White Center for Financial Research Working Papers.
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1993Estimating Conditional Expectations when Volatility Fluctuates.(1993) In: NBER Technical Working Papers.
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1988A Mean-Variance Framework for Tests for Asset Pricing Models In: Rodney L. White Center for Financial Research Working Papers.
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1989A Mean-Variance Framework for Tests of Asset Pricing Models..(1989) In: Review of Financial Studies.
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1988Changing Risk, Changing Risk Premiums, and Dividend Yield Effects In: Rodney L. White Center for Financial Research Working Papers.
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1990Changing Risk, Changing Risk Premiums, and Dividend Yield Effects..(1990) In: The Journal of Business.
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1994On the Predictability of Stock Returns: An Asset- Allocation Perspective. In: Rodney L. White Center for Financial Research Working Papers.
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1988Modeling Expected Stock Returns for Long and Short Horizons In: Rodney L. White Center for Financial Research Working Papers.
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1990ASSET RETURNS, INVESTMENT HORIZONS, AND INTERTEMPORAL PREFERENCES. In: Weiss Center Working Papers.
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1991Bayesian Inference and Portfolio Efficiency. In: Weiss Center Working Papers.
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1993Bayesian Inference and Portfolio Efficiency.(1993) In: NBER Technical Working Papers.
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2014Investment Noise and Trends In: NBER Working Papers.
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2015Mispricing Factors In: NBER Working Papers.
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2017Mispricing Factors.(2017) In: Review of Financial Studies.
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2017Anomalies Abroad: Beyond Data Mining In: NBER Working Papers.
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2019Skill and Pro?t in Active Management 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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1994A Mean-Variance Framework for Tests of Asset Pricing Models: Correction. In: Review of Financial Studies.
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