Robert F. Stambaugh : Citation Profile

National Bureau of Economic Research (NBER) (5% share)
University of Pennsylvania (95% share)

37

H index

42

i10 index

9979

Citations

RESEARCH PRODUCTION:

52

Articles

84

Papers

RESEARCH ACTIVITY:

   47 years (1977 - 2024). See details.
   Cites by year: 212
   Journals where Robert F. Stambaugh has often published
   Relations with other researchers
   Recent citing documents: 881.    Total self citations: 52 (0.52 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pst282
   Updated: 2025-01-10    RAS profile: 2024-06-10    
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Relations with other researchers

Works with:

Pastor, Lubos (13)

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 (79)

Guidolin, Massimo (64)

Zhou, Guofu (54)

Pettenuzzo, Davide (47)

Wachter, Jessica (47)

Shanken, Jay (45)

Bekaert, Geert (42)

GUPTA, RANGAN (38)

Bollerslev, Tim (37)

Pedersen, Lasse (35)

Pastor, Lubos (34)

Cites to:

French, Kenneth (40)

Pastor, Lubos (37)

Titman, Sheridan (28)

Fama, Eugene (23)

Shleifer, Andrei (19)

Hou, Kewei (17)

Campbell, John (15)

Teoh, Siew Hong (15)

Hirshleifer, David (15)

Wurgler, Jeffrey (14)

Yuan, Yu (14)

Main data

Production by document typepaperarticle1980198119821983198419851986198719881989199019911992199319941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320240510Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published197719781979198019811982198319841985198619871988198919901991199219931994199519961997199819992000200120022003200420052006200720082009201020112012201320142015201620172018201920202021202220232024050100150Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received1984198519861987198819891990199119921993199419951996199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202402505007501,000Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year19821983198419851986198719881989199019911992199319941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320240k1k2kCitations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 37Most cited documents1234567891011121314151617181920212223242526272829303132333435363738390k1k2k3kNumber of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution20130820130920131020131120131220140120140220140320140420140520140620140720140820140920141020141120141220150120150220150320150420150520150620150720150820150920151020151120151220160120160220160320160420160520160620160720160820160920161020161120161220170120170220170320170420170520170620170720170820170920171020171120171220180120180220180320180420180520180620180720180820180920181020181120181220190120190220190320190420190520190620190720190820190920191020191120191220200120200220200320200420200520200620200720200820200920201020201120201220210120210220210320210420210520210620210720210820210920211020211120211220220120220220220320220420220520220620220720220820220920221020221120221220230120230220230320230420230520230620230720230820230920231020231120231220240120240220240320240420240520240620240720240820240920241020241120241220250102040h-index Highcharts.comExport to raster or vector imagePrint the chart

Where Robert F. Stambaugh has published?

Journals with more than one article published# docs
Journal of Financial Economics20
Journal of Finance16
The Review of Financial Studies5
Critical Finance Review2
Journal of Political Economy2

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc29
CEPR Discussion Papers / C.E.P.R. Discussion Papers10

Recent works citing Robert F. Stambaugh (2024 and 2023)

Year  ↓Title of citing document  ↓
2024Day-of-the-week and weekend effects on stock market returns: an investigation through review of literature. (2024). Singh, Prof Bhartendu ; Kumar, Gaurav. In: Theoretical and Applied Economics. RePEc:agr:journl:v:1(638):y:2024:i:1(638):p:29-42.

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2023Is Climate Transition Risk Priced into Corporate Credit Risk? Evidence from Credit Default Swaps. (2023). Ugolini, Andrea ; Ojea-Ferreiro, Javier ; Reboredo, Juan Carlos. In: FEEM Working Papers. RePEc:ags:feemwp:330720.

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2023The connectedness of Energy Transition Metals. (2023). Galeotti, Marzio ; Casoli, Chiara ; Bastianin, Andrea. In: FEEM Working Papers. RePEc:ags:feemwp:336984.

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2023EFFECTS OF INDEX ADDITIONS ON STOCK PRICE INFORMATIVENESS. (2023). Gavrilova, Daria. In: Review of Economic and Business Studies. RePEc:aic:revebs:y:2023:j:31:gavrilovad.

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2023Sensitivity to measurement errors of the distance to the efficient frontier. (2023). Vanhems, Anne ; Szafarz, Ariane ; Simar, Leopold ; Briere, Marie. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2023017.

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2023Oil Price Shocks and Bond Risk Premia: Evidence from a Panel of 15 Countries. (2023). Nersisyan, Liana ; Lyrio, Marco ; Iania, Leonardo. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2023002.

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2023Message in a Bottle: Forecasting wine prices. (2023). Meloni, Giulia ; Leccadito, Arturo ; Iania, Leonardo ; Algieri, Bernardina. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2023004.

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2023.

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2023Dynamic Networks in Large Financial and Economic Systems. (2020). Baruník, Jozef ; Ellington, Michael. In: Papers. RePEc:arx:papers:2007.07842.

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2024Robustifying 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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2024An Empirical Assessment of Characteristics and Optimal Portfolios. (2021). Lamoureux, Christopher G ; Zhang, Huacheng. In: Papers. RePEc:arx:papers:2104.12975.

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2024Dynamic Risk Measurement by EVT based on Stochastic Volatility models via MCMC. (2022). , Shibo ; Bo, Shi. In: Papers. RePEc:arx:papers:2201.09434.

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2023Canonical Portfolios: Optimal Asset and Signal Combination. (2022). Tan, Vincent ; Zohren, Stefan ; Firoozye, Nick. In: Papers. RePEc:arx:papers:2202.10817.

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2024Common Idiosyncratic Quantile Risk. (2022). Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267.

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2023Integrating multiple sources of ordinal information in portfolio optimization. (2022). Pferschy, Ulrich ; Mestel, Roland ; Hafner, Stephan ; Ccela, Eranda. In: Papers. RePEc:arx:papers:2211.00420.

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2023Decarbonization of financial markets: a mean-field game approach. (2023). Tankov, Peter ; Lavigne, Pierre. In: Papers. RePEc:arx:papers:2301.09163.

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2023Utility-based indifference pricing of pure endowments in a Markov-modulated market model. (2023). Salterini, Benedetta ; Cretarola, Alessandra. In: Papers. RePEc:arx:papers:2301.13575.

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2023Stock Broad-Index Trend Patterns Learning via Domain Knowledge Informed Generative Network. (2023). Wang, Guiling ; Deek, Fadi P ; Gu, Jingyi. In: Papers. RePEc:arx:papers:2302.14164.

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2023Predicting Stock Price Movement as an Image Classification Problem. (2023). Steinbacher, Matej. In: Papers. RePEc:arx:papers:2303.01111.

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2023Efficient Estimation in Extreme Value Regression Models of Hedge Fund Tail Risks. (2023). Usseglio-Carleve, Antoine ; Kratz, Marie ; Hambuckers, Julien. In: Papers. RePEc:arx:papers:2304.06950.

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2023Optimal Investment and Consumption Strategies with General and Linear Transaction Costs under CRRA Utility. (2023). Zhang, Qiang ; Miao, Yingting. In: Papers. RePEc:arx:papers:2304.07672.

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2023Estimation and Inference in Threshold Predictive Regression Models with Locally Explosive Regressors. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2305.00860.

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2024Maximally Machine-Learnable Portfolios. (2023). Goebel, Maximilian ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2306.05568.

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2024Liquidity Premium, Liquidity-Adjusted Return and Volatility, and a Unified Modern Portfolio Theory: illustrated with Crypto Assets. (2023). Deng, QI. In: Papers. RePEc:arx:papers:2306.15807.

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2023Predictability Tests Robust against Parameter Instability. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2307.15151.

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2024Linear Regression with Weak Exogeneity. (2023). Solvsten, Mikkel ; Mikusheva, Anna. In: Papers. RePEc:arx:papers:2308.08958.

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2024An Empirical Analysis on Financial Markets: Insights from the Application of Statistical Physics. (2023). Ventre, Carmine ; Polukarov, Maria ; Cao, YI ; Li, Haochen. In: Papers. RePEc:arx:papers:2308.14235.

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2023Common Firm-level Investor Fears: Evidence from Equity Options. (2023). Baruník, Jozef ; Ellington, Michael ; Bevilacqua, Mattia. In: Papers. RePEc:arx:papers:2309.03968.

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2023Portfolio Choice In Dynamic Thin Markets: Merton Meets Cournot. (2023). Jacka, Saul D ; Gupta, Puru. In: Papers. RePEc:arx:papers:2309.16047.

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2023Navigating Uncertainty in ESG Investing. (2023). Porth, Lysa ; Wirjanto, Tony S ; Tan, Ken Seng ; Zhang, Jiayue. In: Papers. RePEc:arx:papers:2310.02163.

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2023Valuation Duration of the Stock Market. (2023). Wang, Chen ; Li, YE. In: Papers. RePEc:arx:papers:2310.07110.

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2024Do Weibo platform experts perform better at predicting stock market?. (2024). Chochlov, Muslim ; Buckley, Jim ; Ryan, Conor ; Ma, Ziyuan. In: Papers. RePEc:arx:papers:2403.00772.

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2024Investor Sentiment in Asset Pricing Models: A Review of Empirical Evidence. (2024). Lis, Szymon. In: Papers. RePEc:arx:papers:2411.13180.

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2024Optimal portfolio under ratio-type periodic evaluation in stochastic factor models under convex trading constraints. (2024). Yu, Xiang ; Yan, Kaixin ; Wang, Wenyuan. In: Papers. RePEc:arx:papers:2411.13579.

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2023Statistical Properties of Two Asymmetric Stochastic Volatility in Mean Models. (2023). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2303.

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2023Estimation of Asymmetric Stochastic Volatility in Mean Models. (2023). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2309.

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2023Strong vs. Stable: The Impact of ESG Ratings Momentum and their Volatility on the Cost of Equity Capital. (2023). Guidolin, Massimo ; Magnani, Monia ; Berk, Ian. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp23202.

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2023Time-Varying Risk Aversion and International Stock Returns. (2023). Guidolin, Massimo ; Cabrera, Gabriel ; Hansen, Erwin. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp23203.

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2023.

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2023.

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2023.

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2024.

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2023Assessing the liquidity premium in the Italian bond market. (2023). Venturi, Giulio Carlo ; Drudi, Maria Ludovica. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_795_23.

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2024Was Covid-19 a wake-up call on climate risks? Evidence from the greenium. (2024). Liberati, Danilo ; Marinelli, Giuseppe. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_832_24.

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2024The green sin: how exchange rate volatility and financial openness affect green premia. (2024). Zaghini, Andrea ; Moro, Alessandro. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1447_24.

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2023.

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2023Automatic vs Manual Investing: Role of Past Performance. (2023). Talavera, Oleksandr ; Kaawach, Said ; Kowalewski, Oskar. In: Discussion Papers. RePEc:bir:birmec:23-04.

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2023The cumulant risk premium. (2023). Todorov, Karamfil. In: BIS Working Papers. RePEc:bis:biswps:1128.

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2023Audit Effort and Stock Price Crash Risk. (2023). Zhou, Wei ; Wu, Liansheng ; Luo, Wei ; Han, Xiaomei. In: Abacus. RePEc:bla:abacus:v:59:y:2023:i:1:p:230-257.

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2023Corporate Innovation and Disclosure Strategy. (2023). You, Jiaxing ; Ying, Sammy Xiaoyan ; Wu, Huiying ; Zhang, Zheyuan. In: Abacus. RePEc:bla:abacus:v:59:y:2023:i:1:p:76-133.

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2023Disentangling Sentiment from Cyclicality in Firm Capital Structure. (2023). Lambe, Brendan J ; Almaghyereh, Aktham I ; O'Sullivan, Jennifer A ; Alzoubi, Haitham A. In: Abacus. RePEc:bla:abacus:v:59:y:2023:i:2:p:570-605.

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2023Analyst Research Activity During the COVID?19 Pandemic. (2023). Bilinski, Pawel. In: Abacus. RePEc:bla:abacus:v:59:y:2023:i:4:p:1041-1073.

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2024The Valuation of Loss Firms: A Stock Market Perspective. (2024). Siedhoff, Susanne ; Mohrschladt, Hannes. In: Abacus. RePEc:bla:abacus:v:60:y:2024:i:4:p:752-776.

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2024Media coverage of industry and the cross?section of stock returns. (2022). Zhang, Xueyong ; Huang, Tao. In: Accounting and Finance. RePEc:bla:acctfi:v:62:y:2022:i:s1:p:1107-1141.

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2023Shorting costs and profitability of long–short strategies. (2023). Lee, Byeungjoo ; Kim, Dongcheol. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:1:p:277-316.

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2023Financial openness and profitability premium: Causal evidence from the Shanghai?Hong Kong Stock Connect. (2023). Zhang, Kejia ; Jin, Fujing ; Jiang, Fuwei. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:1:p:451-483.

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2023Timing the factor zoo via deep learning: Evidence from China. (2023). Jiang, Fuwei ; Liao, Cunfei ; Ma, Tian. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:1:p:485-505.

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2023Difference of opinion among investors versus analysts. (2023). Wu, Wenfeng ; Cao, Zhiqi. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:2:p:2347-2381.

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2023Litigating crashes? Insights from security class actions. (2023). Jin, QI ; Ni, Xiaoran ; Zhang, Huilin. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:3:p:2935-2963.

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2023Do risk exposures explain accounting anomalies? A new testing method. (2023). Peng, Zihang. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:3:p:2965-2983.

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2023How is illiquidity priced in the Chinese stock market?. (2023). Shen, Zhiqi ; Jiang, Fuwei ; Wu, Kai ; Liu, Jun. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:s1:p:1285-1320.

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2023Corporate green innovation and stock liquidity in China. (2023). Jiang, Kangqi ; Xiao, YU ; Chen, Zhongfei. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:s1:p:1381-1415.

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2024Can corporate environmental, social, and governance performance influence foreign institutional investors to hold shares? Evidence from China. (2024). Zhong, Junhao ; Tang, Sha ; Feng, Juzhang. In: Business Strategy and the Environment. RePEc:bla:bstrat:v:33:y:2024:i:5:p:4310-4330.

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2023Biodiversity finance: A call for research into financing nature. (2023). la Puente, John Tobinde ; Karolyi, Andrew G. In: Financial Management. RePEc:bla:finmgt:v:52:y:2023:i:2:p:231-251.

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2023Are sustainability?linked loans designed to effectively incentivize corporate sustainability? A framework for review. (2023). Martin, Fabio ; Bannier, Christina E ; Auzepy, Alix. In: Financial Management. RePEc:bla:finmgt:v:52:y:2023:i:4:p:643-675.

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2024Mutual fund performance and manager assets: The negative effect of outside holdings. (2024). Lipson, Marc ; Gilbazo, Javier ; Evans, Richard. In: Financial Management. RePEc:bla:finmgt:v:53:y:2024:i:1:p:3-29.

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2023Are polluters shunned? A study on the institutional ownership and returns of polluter stocks. (2023). Berkman, Henk ; Tirodkar, Mihir. In: The Financial Review. RePEc:bla:finrev:v:58:y:2023:i:3:p:513-537.

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2023Understanding the transmission of crash risk between cryptocurrency and equity markets. (2023). Corbet, Shaen ; Liu, Zhifeng ; Toan, Luu Duc ; Goodell, John W ; Dai, Pengfei. In: The Financial Review. RePEc:bla:finrev:v:58:y:2023:i:3:p:539-573.

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2023Exploring the performance of US international bond mutual funds. (2023). Littlejohn, Elizabeth ; Fletcher, Jonathan ; Marshall, Andrew. In: The Financial Review. RePEc:bla:finrev:v:58:y:2023:i:4:p:765-782.

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2024.

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2023The q?Factors and Macroeconomic Conditions: Asymmetric Effects of the Business Cycles on Long and Short Sides. (2020). Lee, Chang Jun ; Kang, Jangkoo ; Min, Byoungkyu ; Roh, Taiyong. In: International Review of Finance. RePEc:bla:irvfin:v:20:y:2020:i:4:p:897-921.

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2023Stock return predictability of the cumulative abnormal returns around the earnings announcement date: Evidence from China. (2023). Wen, Zipeng ; Sun, Pingwen. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:1:p:58-86.

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2023Average skewness in global equity markets. (2023). Kirli, Imra ; Gunaydin, Doruk A ; Demirtas, Ozgur K ; Atilgan, Yigit. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:2:p:245-271.

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2023Influence of dividend tax policy tied to investment horizon on stock price stability: Evidence from the 2015 dividend tax reform in China. (2023). Xiao, Huiqin ; Sun, Pingwen ; Guo, Nianzhi. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:3:p:524-552.

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2024Asset Pricing and Machine Learning: A critical review. (2024). Bagnara, Matteo. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:38:y:2024:i:1:p:27-56.

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2024A review on ESG investing: Investors’ expectations, beliefs and perceptions. (2024). Stefanova, Denitsa ; Kräussl, Roman ; Oladiran, Tobi ; Krussl, Roman. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:38:y:2024:i:2:p:476-502.

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2024Is research on hedge fund performance published selectively? A quantitative survey. (2024). Novak, Jiri ; Irsova, Zuzana ; Havranek, Tomas ; Yang, Fan. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:38:y:2024:i:4:p:1085-1131.

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2023Low‐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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2023Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models. (2023). Julliard, Christian ; Huang, Jiantao ; Bryzgalova, Svetlana. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:1:p:487-557.

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2023.

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2023CLO Performance. (2023). Schwert, Michael ; Roberts, Michael R ; Cordell, Larry. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:3:p:1235-1278.

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2023Pockets of Predictability. (2023). Timmermann, Allan ; Schmidt, Lawrence ; Farmer, Leland E. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:3:p:1279-1341.

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2023The Pollution Premium. (2023). Tsou, Chiyang ; Li, Kai ; Hsu, Pohsuan. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:3:p:1343-1392.

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

Works by Robert F. Stambaugh:

Year  ↓Title  ↓Type  ↓Cited  ↓
1988Stable Factors in Security Returns: Identification Using Cross-Validation: Comment. In: Journal of Business & Economic Statistics.
[Citation analysis]		article0
2020Sustainable Investing in Equilibrium In: Working Papers.
[Full Text][Citation analysis]		paper190
2019Sustainable Investing in Equilibrium.(2019) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 190		paper
2021Sustainable investing in equilibrium.(2021) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 190		article
2019Sustainable Investing in Equilibrium.(2019) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 190		paper
1984 A Further Investigation of the Weekend Effect in Stock Returns. In: Journal of Finance.
[Full Text][Citation analysis]		article224
1986 Does the Stock Market Rationally Reflect Fundamental Values? Discussion. In: Journal of Finance.
[Full Text][Citation analysis]		article0
1987 Mimicking Portfolios and Exact Arbitrage Pricing. In: Journal of Finance.
[Full Text][Citation analysis]		article62
1987 Tests of Asset Pricing with Time-Varying Expected Risk Premiums and Market Betas. In: Journal of Finance.
[Full Text][Citation analysis]		article57
1995 Portfolio Inefficiency and the Cross-Section of Expected Returns. In: Journal of Finance.
[Full Text][Citation analysis]		article102
1994Portfolio Inefficiency and the Cross-Section of Expected Returns.(1994) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 102		paper
1996 On the Predictability of Stock Returns: An Asset-Allocation Perspective. In: Journal of Finance.
[Full Text][Citation analysis]		article335
1995On the Predictability of Stock Returns: An Asset-Allocation Perspective.(1995) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 335		paper
1999Costs of Equity Capital and Model Mispricing In: Journal of Finance.
[Full Text][Citation analysis]		article67
1998Costs of Equity Capital and Model Mispricing.(1998) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 67		paper
1998Costs of Equity Capital and Model Mispricing.(1998) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 67		paper
1998Costs of Equity Capital and Model Mispricing.(1998) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 67		paper
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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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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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2015Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle In: Journal of Finance.
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2003Liquidity Risk and Expected Stock Returns.(2003) In: Journal of Political Economy.
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2010On the Size of the Active Management Industry In: CEPR Discussion 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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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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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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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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2014The long of it: Odds that investor sentiment spuriously predicts anomaly returns In: Journal of Financial Economics.
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2018Absolving beta of volatility’s effects In: Journal of Financial Economics.
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1986Predicting returns in the stock and bond markets In: Journal of Financial Economics.
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1985Predicting Returns in the Stock and Bond Markets.(1985) In: Rodney L. White Center for Financial Research Working Papers.
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1987On correlations and inferences about mean-variance efficiency In: Journal of Financial Economics.
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1987Expected stock returns and volatility In: Journal of Financial Economics.
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1988The information in forward rates : Implications for models of the term structure In: Journal of Financial Economics.
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1997Analyzing investments whose histories differ in length In: Journal of Financial Economics.
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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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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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2002Investing in equity mutual funds In: Journal of Financial Economics.
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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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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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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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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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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: The 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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1995Bayesian Inference and Portfolio Efficiency..(1995) In: The Review of Financial Studies.
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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: The Review of Financial Studies.
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2017Anomalies Abroad: Beyond Data Mining In: NBER Working Papers.
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2021Pricing Without Mispricing In: NBER Working Papers.
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2023Green Tilts In: NBER Working Papers.
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2022Diseconomies of Scale in Active Management: Robust Evidence In: Critical Finance Review.
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2021Investing in Socially Responsible Mutual Funds In: The Review of Asset Pricing Studies.
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1990Expectations and Volatility of Consumption and Asset Returns. In: The Review of Financial Studies.
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1994A Mean-Variance Framework for Tests of Asset Pricing Models: Correction. In: The Review of Financial Studies.
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