Robert F. Stambaugh : Citation Profile


Are you Robert F. Stambaugh?

University of Pennsylvania
National Bureau of Economic Research (NBER)

30

H index

37

i10 index

6550

Citations

RESEARCH PRODUCTION:

46

Articles

81

Papers

RESEARCH ACTIVITY:

   43 years (1977 - 2020). See details.
   Cites by year: 152
   Journals where Robert F. Stambaugh has often published
   Relations with other researchers
   Recent citing documents: 614.    Total self citations: 49 (0.74 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pst282
   Updated: 2020-11-21    RAS profile: 2020-09-04    
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Relations with other researchers


Works with:

Pastor, Lubos (10)

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 (73)

Guidolin, Massimo (53)

Pettenuzzo, Davide (47)

Wachter, Jessica (46)

Shanken, Jay (41)

Zhou, Guofu (40)

Bekaert, Geert (38)

Timmermann, Allan (37)

Bollerslev, Tim (34)

Santa-Clara, Pedro (29)

Ang, Andrew (27)

Cites to:

Pastor, Lubos (35)

French, Kenneth (30)

Titman, Sheridan (27)

Fama, Eugene (21)

Hou, Kewei (16)

Teoh, Siew Hong (15)

Hirshleifer, David (15)

Shleifer, Andrei (15)

Campbell, John (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 (2020 and 2019)


YearTitle of citing document
2019Assessing predictive accuracy in panel data models with long-range dependence. (2019). Christensen, Bent Jesper ; Borup, Daniel ; Ergemen, Yunus Emre. In: CREATES Research Papers. RePEc:aah:create:2019-04.

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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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2019Forecasting dynamic return distributions based on ordered binary choice. (2019). Baruník, Jozef ; Anatolyev, Stanislav. In: Papers. RePEc:arx:papers:1711.05681.

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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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2019Blindfolded monkeys or financial analysts: who is worth your money? New evidence on informational inefficiencies in the U.S. stock market. (2019). Torrisi, Benedetto ; Pernagallo, Giuseppe. In: Papers. RePEc:arx:papers:1904.03488.

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2019Computational method for probability distribution on recursive relationships in financial applications. (2019). Lee, Kyungsub ; Park, Jong Jun. In: Papers. RePEc:arx:papers:1908.04959.

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2019Stock Price Forecasting and Hypothesis Testing Using Neural Networks. (2019). Varaku, Kerda. In: Papers. RePEc:arx:papers:1908.11212.

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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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2020Stochastic 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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2019Weekly idiosyncratic risk metrics and idiosyncratic momentum: Evidence from the Chinese stock market. (2019). Zhou, Wei-Xing ; Shi, Huai-Long . In: Papers. RePEc:arx:papers:1910.13115.

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2019iCurrency?. (2019). Yu, Willie ; Kakushadze, Zura. In: Papers. RePEc:arx:papers:1911.01272.

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2019A Rational Finance Explanation of the Stock Predictability Puzzle. (2019). Fabozzi, Frank J ; Rachev, Svetlozar T ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:1911.02194.

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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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2020Equity 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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2020Dynamic 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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2019Market Illiquidity Premium on Stock Returns: An Empirical Study of Taiwan Stock Markets. (2019). Cho, Yi-Chun ; Tai, Chia-Li ; Chen, Chia-Cheng . In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2019:p:778-788.

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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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2019Sentiment Risk Premia in the Cross-Section of Global Equity and Currency Returns. (2019). Guidolin, Massimo ; Füss, Roland ; Koeppel, Christian ; Fuess, Roland. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp19116.

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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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2019Extreme Downside Risk in Asset Returns. (2019). Ergun, Lerby. In: Staff Working Papers. RePEc:bca:bocawp:19-46.

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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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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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2019Performance attribution of mutual funds in India: outperformance or mis‐representation?. (2019). Chauhan, Gaurav Singh. In: Accounting and Finance. RePEc:bla:acctfi:v:59:y:2019:i:s1:p:383-409.

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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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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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2019Sentiment, order imbalance, and co‐movement: An examination of shocks to retail and institutional trading activity. (2019). Savva, Christos S ; Lambertides, Neophytos ; Chelleysteeley, Patricia. In: European Financial Management. RePEc:bla:eufman:v:25:y:2019:i:1:p:116-159.

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2019Lottery preferences and the idiosyncratic volatility puzzle. (2019). Kassa, Haimanot ; Chichernea, Doina C ; Slezak, Steve L. In: European Financial Management. RePEc:bla:eufman:v:25:y:2019:i:3:p:655-683.

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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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2019Short Interest and Lottery Stocks. (2019). Tayal, Jitendra ; Bergsma, Kelley . In: Financial Management. RePEc:bla:finmgt:v:48:y:2019:i:1:p:187-227.

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2019Does Noninformative Text Affect Investor Behavior?. (2019). Larkin, Yelena ; Anderson, Alyssa G. In: Financial Management. RePEc:bla:finmgt:v:48:y:2019:i:1:p:257-289.

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2019Trading on Private Information: Evidence from Members of Congress. (2019). Karadas, Serkan. In: The Financial Review. RePEc:bla:finrev:v:54:y:2019:i:1:p:85-131.

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2019Investor Pessimism and the German Stock Market: Exploring Google Search Queries. (2019). Kleiman, Vladislav ; Dimpfl, Thomas. In: German Economic Review. RePEc:bla:germec:v:20:y:2019:i:1:p:1-28.

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2019FIRM SIZE AND STOCK RETURNS: A QUANTITATIVE SURVEY. (2019). Novak, Jiri ; Havranek, Tomas ; Astakhov, Anton . In: Journal of Economic Surveys. RePEc:bla:jecsur:v:33:y:2019:i:5:p:1463-1492.

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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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2019THE REACTIVE BETA MODEL. (2019). Grebenkov, Denis ; Aboura, Sofiane ; Valeyre, Sebastien. In: Journal of Financial Research. RePEc:bla:jfnres:v:42:y:2019:i:1:p:71-113.

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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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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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2019Stochastic volatility, jumps and leverage in energy and stock markets: evidence from high frequency data. (2019). Zerilli, Paola ; Chen, Liyuan ; Baum, Christopher. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:952.

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2019Optimism in Financial Markets: Stock Market Returns and Investor Sentiments. (2019). Ravazzolo, Francesco ; Concetto, Chiara Limongi. In: BEMPS - Bozen Economics & Management Paper Series. RePEc:bzn:wpaper:bemps56.

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2020A Dynamic Semiparametric Characteristics-based Model for Optimal Portfolio Selection. (2020). Linton, O ; Connor, G. 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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2019Investors Trading Behaviour and Stock Market Volatility during Crisis Periods: A Dual Long-Memory Model for the Korean Stock Exchange. (2019). Caporale, Guglielmo Maria ; Kartsaklas, Aris ; Yfanti, Stavroula ; Karanasos, Menelaos. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7984.

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2019The accuracy of asymmetric GARCH model estimation. (2019). Darné, Olivier ; Darne, Olivier ; Charles, Amelie. In: International Economics. RePEc:cii:cepiie:2019-q1-157-11.

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2019Exponential-type GARCH models with linear-in-variance risk premium. (2019). Hafner, Christian ; Dimitra, Kyriakopoulou ; Christian, Hafner. In: CORE Discussion Papers. RePEc:cor:louvco:2019013.

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2019When investors call for climate responsibility, how do mutual funds respond?. (2019). Ceccarelli, Marco ; Wagner, Alexander F ; Ramelli, Stefano. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13599.

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2019Hedge Fund Performance: Are Stylized Facts Sensitive to Which Database One Uses?. (2019). Joenvaara, Juha ; Tolonen, Pekka ; Kosowski, Robert ; Kaupila, Mikko. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13618.

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2019Do Fundamentals Drive Cryptocurrency Prices?. (2019). Korniotis, George ; Delikouras, Stefanos ; Bhambhwani, Siddharth. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13724.

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2019Hedging Climate Change News. (2019). Engle, Robert ; Strobel, Johannes ; Lee, Heebum ; Kelly, Bryan ; Giglio, Stefano W. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13730.

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2019Strategic Trading as a Response to Short Sellers. (2019). Tubaldi, Roberto ; Massa, Massimo ; Franzoni, Francesco ; Dimaggio, Marco ; di Maggio, Marco. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13812.

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2019A Supply and Demand Approach to Equity Pricing. (2019). Jo, Evan ; Calvet, Laurent ; Betermier, Sebastien. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13974.

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2019Business Cycles and Currency Returns. (2019). Sarno, Lucio ; Riddiough, Steven ; Colacito, Ric. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14015.

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2019Price Dividend Ratio and Long-Run Stock Returns: a Score Driven State Space Model. (2019). Venditti, Fabrizio ; Petrella, Ivan ; delle Monache, Davide. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14107.

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2019Bond Funds and Credit Risk. (2019). Dasgupta, Amil ; Choi, Jaewon ; Jimmy, Ji Yeol. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14134.

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2019The Low-Minus-High Portfolio and the Factor Zoo. (2019). Fournier, Mathieu ; Cujean, Julien ; Andrei, Daniel. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14153.

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2019The Banking View of Bond Risk Premia. (2019). Sraer, David ; Haddad, Valentin. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14207.

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2019Global Market Inefficiencies. (2019). Grinblatt, Mark ; Bartram, Sohnke M. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14232.

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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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2019Predictive Regressions. (2019). Pitarakis, Jean-Yves ; Gonzalo, Jesus. In: UC3M Working papers. Economics. RePEc:cte:werepe:28554.

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2019The Trend in Short Selling and the Cross Section of Stock Returns. (2019). Duan, Xinrui ; Zhu, Zhaobo ; Tu, Jun. In: Annals of Economics and Finance. RePEc:cuf:journl:y:2019:v:20:i:2:zhuduantu.

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2019Stock Prices Behavior Before and After Friday the 13th. (2019). Stefanescu, Razvan ; Dumitriu, Ramona. In: Risk in Contemporary Economy. RePEc:ddj:fserec:y:2019:p:20-30.

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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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2019The significance of calendar effects in the electricity market. (2019). Liang, XI ; Jiang, Mengfei ; Cursio, Joseph D. In: Applied Energy. RePEc:eee:appene:v:235:y:2019:i:c:p:487-494.

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2019Prospect theory value and idiosyncratic volatility: Evidence from the Korean stock market. (2019). Nguyen, Nhat Minh ; Son, Nguyen Truong. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:21:y:2019:i:c:p:113-122.

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2019Pure momentum is priced. (2019). Welch, Robert ; Wang, Yan ; Lazrak, Skander ; Chen, Lemeng. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:22:y:2019:i:c:p:75-89.

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2019Investor sentiment and stock market liquidity: Evidence from an emerging economy. (2019). Kumari, Jyoti. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:23:y:2019:i:c:p:166-180.

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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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2019Predicting firm level stock returns: Implications for asset pricing and economic links. (2019). McMillan, David G. In: The British Accounting Review. RePEc:eee:bracre:v:51:y:2019:i:4:p:333-351.

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2019The quality of governance and momentum profits: International evidence. (2019). Chen, Jiaqi ; Sherif, Mohamed. In: The British Accounting Review. RePEc:eee:bracre:v:51:y:2019:i:5:s0890838919300484.

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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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2019The impact of religious certification on market segmentation and investor recognition. (2019). Mamun, Abdullah ; Hippler, William J ; Hassan, Kabir M ; Alhomaidi, Asem. In: Journal of Corporate Finance. RePEc:eee:corfin:v:55:y:2019:i:c:p:28-48.

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2019Political risk and cost of equity: The mediating role of political connections. (2019). Pham, Anh Viet. In: Journal of Corporate Finance. RePEc:eee:corfin:v:56:y:2019:i:c:p:64-87.

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2019Top executives on social media and information in the capital market: Evidence from China. (2019). Johansson, Anders ; Feng, Xunan. In: Journal of Corporate Finance. RePEc:eee:corfin:v:58:y:2019:i:c:p:824-857.

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2019Going public in China: Reverse mergers versus IPOs. (2019). Shen, Tao ; Qu, Yuanyu ; Charles, . In: Journal of Corporate Finance. RePEc:eee:corfin:v:58:y:2019:i:c:p:92-111.

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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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2020Trade credit and stock liquidity. (2020). Shang, Chenguang. In: Journal of Corporate Finance. RePEc:eee:corfin:v:62:y:2020:i:c:s0929119920300304.

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2020Worldwide short selling regulations and IPO underpricing. (2020). Zutter, Chad J ; Smart, Scott B ; Boulton, Thomas J. In: Journal of Corporate Finance. RePEc:eee:corfin:v:62:y:2020:i:c:s0929119920300407.

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2019Momentum and reversal: The role of short selling. (2019). Duan, Xinrui ; Zhu, Zhaobo ; Tu, Jun ; Sun, Licheng. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:104:y:2019:i:c:p:95-110.

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2019The risk return relationship: Evidence from index returns and realised variances. (2019). Yang, Minxian. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:107:y:2019:i:c:5.

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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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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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1995 Portfolio Inefficiency and the Cross-Section of Expected Returns. In: Journal of Finance.
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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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2014Presidential Address: Investment Noise and Trends In: Journal of Finance.
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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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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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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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paper41
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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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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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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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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article83
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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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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1983Arbitrage pricing with information In: Journal of Financial Economics.
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1983Biases in computed returns : An application to the size effect In: Journal of Financial Economics.
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2019Size and value in China In: Journal of Financial Economics.
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2018Size and Value in China.(2018) In: NBER Working Papers.
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1986Predicting returns in the stock and bond markets In: Journal of Financial Economics.
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article557
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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article41
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: 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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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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