Robert F. Stambaugh : Citation Profile


Are you Robert F. Stambaugh?

University of Pennsylvania
National Bureau of Economic Research (NBER)

29

H index

35

i10 index

5368

Citations

RESEARCH PRODUCTION:

39

Articles

75

Papers

RESEARCH ACTIVITY:

   41 years (1977 - 2018). See details.
   Cites by year: 130
   Journals where Robert F. Stambaugh has often published
   Relations with other researchers
   Recent citing documents: 546.    Total self citations: 43 (0.79 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pst282
   Updated: 2018-12-08    RAS profile: 2016-07-19    
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Relations with other researchers


Works with:

Pastor, Lubos (7)

Yuan, Yu (5)

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 (65)

Guidolin, Massimo (45)

Wachter, Jessica (45)

Pettenuzzo, Davide (42)

Shanken, Jay (41)

Zhou, Guofu (38)

Timmermann, Allan (38)

Bekaert, Geert (37)

Santa-Clara, Pedro (29)

Bollerslev, Tim (28)

Ang, Andrew (27)

Cites to:

Pastor, Lubos (36)

French, Kenneth (28)

Titman, Sheridan (28)

Fama, Eugene (21)

Hou, Kewei (16)

Teoh, Siew Hong (15)

Baker, Malcolm (15)

Hirshleifer, David (15)

Wurgler, Jeffrey (14)

Shleifer, Andrei (14)

Campbell, John (13)

Main data


Where Robert F. Stambaugh has published?


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

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

Recent works citing Robert F. Stambaugh (2018 and 2017)


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

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2018The Risk Premia Embedded in Index Options. (2018). Andersen, Torben ; Todorov, Viktor ; Fusari, Nicola. In: CREATES Research Papers. RePEc:aah:create:2018-07.

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2017Working Paper 273 - Stock (Mis)pricing and investment dynamics in Africa. (2017). Saidi, Atanda Mustapha . In: Working Paper Series. RePEc:adb:adbwps:2390.

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2018Effects of asymmetric information on market timing in the mutual fund industry. (2018). Tchamyou, Vanessa ; Asongu, Simplice ; Nwachukwu, Jacinta C. In: AFEA Working Papers. RePEc:afe:wpaper:18/006.

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2017Conditional Market Timing in the Mutual Fund Industry. (2017). Tchamyou, Vanessa ; Asongu, Simplice. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:17/028.

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2018Effects of asymmetric information on market timing in the mutual fund industry. (2018). Tchamyou, Vanessa ; Nwachukwu, Jacinta ; Asongu, Simplice. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:18/007.

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2017Analysis of the impact of select macroeconomic variables on the Indian stock market: A heteroscedastic cointegration approach. (2017). Alam, Naushad. In: Business and Economic Horizons (BEH). RePEc:ags:pdcbeh:264630.

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2017Weekend Effect and Short Sales: Evidence from Hong Kong. (2017). Cai, Jinghan ; Zhai, Weili ; Xia, LE ; He, Jibao. In: International Journal of Economics and Financial Research. RePEc:arp:ijefrr:2017:p:8-18.

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2017Russian-Doll Risk Models. (2017). Kakushadze, Zura. In: Papers. RePEc:arx:papers:1412.4342.

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

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2017A diagnostic criterion for approximate factor structure. (2017). Scaillet, Olivier ; Gagliardini, Patrick ; Ossola, Elisa . In: Papers. RePEc:arx:papers:1612.04990.

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

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2018Equilibrium Returns with Transaction Costs. (2018). Bouchard, Bruno ; Muhle-Karbe, Johannes ; Herdegen, Martin ; Fukasawa, Masaaki. In: Papers. RePEc:arx:papers:1707.08464.

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2017The Size Premium in Equity Markets: Where is the Risk?. (2017). Ciliberti, Stefano ; Bouchaud, Jean-Philippe ; Lemp, Yves ; Simon, Guillaume ; Emmanuel, . In: Papers. RePEc:arx:papers:1708.00644.

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2017Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns. (2017). Baruník, Jozef ; Cech, Frantisek . In: Papers. RePEc:arx:papers:1708.08622.

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2018Forecasting dynamic return distributions based on ordered binary choice and cross-quantile predictability connection. (2018). Baruník, Jozef ; Anatolyev, Stanislav. In: Papers. RePEc:arx:papers:1711.05681.

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2018Generalized Information Ratio. (2018). He, Zhongzhi Lawrence . In: Papers. RePEc:arx:papers:1803.01381.

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2018Comparing Asset Pricing Models: Distance-based Metrics and Bayesian Interpretations. (2018). He, Zhongzhi Lawrence . In: Papers. RePEc:arx:papers:1803.01389.

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2018Does the time horizon of the return predictive effect of investor sentiment vary with stock characteristics? A Granger causality analysis in the frequency domain. (2018). Jiang, Yong ; Zhou, Zhongbao. In: Papers. RePEc:arx:papers:1803.02962.

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2018Bayesian mean-variance analysis: Optimal portfolio selection under parameter uncertainty. (2018). Parolya, Nestor ; Schmid, Wolfgang ; Bodnar, Taras ; Bauder, David. In: Papers. RePEc:arx:papers:1803.03573.

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2018Large-Scale Dynamic Predictive Regressions. (2018). Bianchi, Daniele ; McAlinn, Kenichiro. In: Papers. RePEc:arx:papers:1803.06738.

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2018Deep Learning for Predicting Asset Returns. (2018). Feng, Guanhao ; Polson, Nicholas G ; He, Jingyu. In: Papers. RePEc:arx:papers:1804.09314.

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2018Multifractal characteristics and return predictability in the Chinese stock markets. (2018). Fu, Xin-Lan ; Zhou, Wei-Xing ; Jiang, Zhi-Qiang ; Shan, Zheng ; Gao, Xing-Lu. In: Papers. RePEc:arx:papers:1806.07604.

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2018Co-existence of Trend and Value in Financial Markets: Estimating an Extended Chiarella Model. (2018). Majewski, Adam ; Bouchaud, Jean-Philippe ; Ciliberti, Stefano. In: Papers. RePEc:arx:papers:1807.11751.

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2018Better to stay apart: asset commonality, bipartite network centrality, and investment strategies. (2018). Flori, Andrea ; Spelta, Alessandro ; Pammolli, Fabio ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:1811.01624.

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2018An updated review of (sub-)optimal diversification models. (2018). Bock, Johannes. In: Papers. RePEc:arx:papers:1811.08255.

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2018Liquidity Pricing of Illiquid Assets. (2018). Marcato, Gianluca. In: ERES. RePEc:arz:wpaper:eres2018_215.

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2018Does Corporate Real Estate Value Matter for Stock Returns?. (2018). Kumar, Anil ; Vergara-Alert, Carles. In: ERES. RePEc:arz:wpaper:eres2018_251.

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2018Portfolio Performance of Linear SDF Models: An Out-of-Sample Assessment. (2018). Guidolin, Massimo ; Lozano-Banda, Martin ; Hansen, Erwin. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1885.

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2018Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence. (2018). Guidolin, Massimo ; Orlov, Alexei G. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1887.

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

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2017Volatility Spillovers and Systemic Risk Across Economies: Evidence from a Global Semi-Structural Model. (2017). Gómez-Pineda, Javier ; Gomez-Pineda, Javier G. In: Borradores de Economia. RePEc:bdr:borrec:1011.

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2017Role of Liquidity in Explaining Anomalous Returns: Evidence from Emerging Market. (2017). Sadaqat, Mohsin ; Butt, Hilal Anwar. In: Business & Economic Review. RePEc:bec:imsber:v:9:y:2017:i:3:p:1-35.

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2017Rare disaster risk and the expected equity risk premium. (2017). Berkman, Henk ; Lee, John B ; Jacobsen, Ben. In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i:2:p:351-372.

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2017Specification Error, Estimation Risk, and Conditional Portfolio Rules. (2017). Tian, Weidong ; Yan, Hong ; Kaniel, Ron ; Chapman, David A ; Carlson, Murray. In: International Review of Finance. RePEc:bla:irvfin:v:17:y:2017:i:2:p:263-288.

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2017The Validity of Investor Sentiment Proxies. (2017). Smales, Lee ; Khuu, Joyce ; Durand, Robert B ; Chan, Felix. In: International Review of Finance. RePEc:bla:irvfin:v:17:y:2017:i:3:p:473-477.

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2017THE VALUE IN FUNDAMENTAL ACCOUNTING INFORMATION. (2017). Turtle, H J ; Wang, Kainan. In: Journal of Financial Research. RePEc:bla:jfnres:v:40:y:2017:i:1:p:113-140.

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2017How Has the Behavior of Cross-Market Correlations Altered During Financial and Debt Crises?. (2017). demiralay, sercan ; Ulusoy, Veysel. In: Manchester School. RePEc:bla:manchs:v:85:y:2017:i:6:p:765-794.

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2017Asset returns, news topics, and media effects. (2017). Thorsrud, Leif ; Larsen, Vegard. In: Working Papers. RePEc:bny:wpaper:0054.

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2018Forecasting Cryptocurrencies Financial Time Series. (2018). Ravazzolo, Francesco ; Grassi, Stefano ; Catania, Leopoldo. In: Working Papers. RePEc:bny:wpaper:0063.

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2018Stochastic volatility, jumps and leverage in energy and stock markets: evidence from high frequency data. (2018). Zerilli, Paola ; Chen, Liyuan ; Baum, Christopher. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:952.

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2017The information content in the offshore Renminbi foreign-exchange option market : Analytics and implied USD/CNH densities. (2017). Funke, Michael ; Tsang, Andrew ; Loermann, Julius . In: BOFIT Discussion Papers. RePEc:bof:bofitp:2017_015.

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

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2018The equity risk premium and the low frequency of the term spread. (2018). Verona, Fabio ; Faria, Gonalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2018_007.

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2017Forecasting in the presence of in and out of sample breaks. (2017). Perron, Pierre ; Xu, Jiawen. In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2017-004.

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201725 Jahre Fama-French-Modell: Erklärungsgehalt, Anomalien und praktische Implikationen. (2017). Christoph, Kaserer ; Matthias, Hanauer . In: Perspektiven der Wirtschaftspolitik. RePEc:bpj:pewipo:v:18:y:2017:i:2:p:98-116:n:4.

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2017Forecasting Stock Returns: A Predictor-Constrained Approach. (2017). Pettenuzzo, Davide. In: Working Papers. RePEc:brd:wpaper:116.

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2018Forecasting Stock Returns: A Predictor-Constrained Approach. (2018). Pettenuzzo, Davide ; Wang, Yudong ; Pan, Zhiyuan. In: Working Papers. RePEc:brd:wpaper:116r.

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2018Optimal Asset Allocation with Multivariate Bayesian Dynamic Linear Models. (2018). Carvalho, Carlos ; Pettenuzzo, Davide ; Fisher, Jared D. In: Working Papers. RePEc:brd:wpaper:123.

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

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2018Have Capital Market Anomalies Worldwide Attenuated in the Recent Era of High Liquidity and Trading Activity?. (2018). Auer, Benjamin R ; Rottmann, Horst . In: CESifo Working Paper Series. RePEc:ces:ceswps:_7204.

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2018Volatility, Diversification and Contagion. (2018). Sentana, Enrique. In: Working Papers. RePEc:cmf:wpaper:wp2018_1803.

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2017Disentangling the relationship between liquidity and returns in Latin America. (2017). Taborda, Rodrigo ; French, Joseph. In: DOCUMENTOS CEDE. RePEc:col:000089:015606.

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

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2017Are Mutual Fund Managers Paid For Investment Skill?. (2017). Vestman, Roine ; Van Nieuwerburgh, Stijn ; Kaniel, Ron ; Ibert, Marcus . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12010.

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2017Portfolio Liquidity and Diversification: Theory and Evidence. (2017). Pastor, Lubos ; Taylor, Lucian ; Stambaugh, Robert F. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12195.

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2017Trading Out of Sight: An Analysis of Cross-Trading in Mutual Fund Families. (2017). Eisele, Alexander ; Peijnenburg, Kim ; Parise, Gianpaolo ; Nefedova, Tamara . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12225.

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2017A Portfolio Perspective on the Multitude of Firm Characteristics. (2017). de Miguel, Victor ; Uppal, Raman ; Nogales, Francisco J ; Martin-Utrera, Alberto ; Demiguel, Victor. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12417.

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2017Noise Traders Incarnate: Describing a Realistic Noise Trading Process. (2017). peress, joel ; Schmidt, Daniel. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12434.

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2017Shrinking the Cross Section. (2017). Nagel, Stefan ; Santosh, Shrihari ; Kozak, Serhiy. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12463.

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2017The Price Effects of Liquidity Shocks: A Study of SECs Tick-Size Experiment. (2017). Albuquerque, Rui ; Yao, Chen ; Song, Shiyun. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12486.

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2017Fund Tradeoffs. (2017). Pistor, Luboi ; Taylor, Lucian ; Stambaugh, Robert F. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12513.

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2018The Effect of Investment Constraints on Hedge Fund Investor Returns. (2018). Joenvaara, Juha ; Tolonen, Pekka ; Kosowski, Robert. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12599.

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2018The Lost Capital Asset Pricing Model. (2018). Andrei, Daniel ; Wilson, Mungo ; Cujean, Julien. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12607.

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2018Government Debt and the Returns to Innovation. (2018). Croce, Mariano Massimiliano ; Schmid, Lukas ; Raymond, Steve ; Nguyen, Thien Tung . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12617.

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2018Efficiently Inefficient Markets for Assets and Asset Management. (2018). Garleanu, Nicolae Bogdan ; Pedersen, Lasse Heje . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12664.

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2018Size Matters, if You Control Your Junk. (2018). Asness, Clifford S ; Pedersen, Lasse Heje ; Israel, Ronen ; Frazzini, Andrea. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12684.

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2018Deep Value. (2018). Asness, Clifford S ; Thapar, Ashwin K ; Pedersen, Lasse Heje ; Liew, John M. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12685.

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2018Risk Everywhere: Modeling and Managing Volatility. (2018). Bollerslev, Tim ; Pedersen, Lasse Heje ; Huss, John ; Hood, Benjamin. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12687.

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2018Forecasting Methods in Finance. (2018). Timmermann, Allan G. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12692.

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2018Volatility, diversification and contagion. (2018). Sentana, Enrique. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12824.

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2018The Levered Equity Risk Premium and Credit Spreads: A Unified Framework. (2018). Bhamra, Harjoat Singh ; Strebulaev, Ilya ; Kuehn, Lars-Alexander. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12827.

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2018Investor Sophistication and Capital Income Inequality. (2018). Stevens, Luminita ; Nosal, Jaromir ; Kacperczyk, Marcin. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12870.

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2018Pockets of Predictability. (2018). Farmer, Leland ; Timmermann, Allan G ; Schmidt, Lawrence . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12885.

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2018Trust and Delegated Investing: A Money Doctors Experiment. (2018). Weber, Martin ; Loos, Benjamin ; Germann, Maximilian. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12984.

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2018Tactical Target Date Funds. (2018). Gomes, Francisco J ; Zhang, Yuxin ; Michaelides, Alexander. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13019.

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2018Idea Sharing and the Performance of Mutual Funds. (2018). Cujean, Julien. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13111.

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2018Do the Rich Get Richer in the Stock Market? Evidence from India. (2018). Campbell, John Y ; Ranish, Benjamin ; Ramadorai, Tarun. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13116.

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2017Revisiting the forecasting accuracy of Phillips curve: the role of oil price. (2017). Salisu, Afees ; Isah, Kazeem ; Ademuyiwa, Idris . In: Working Papers. RePEc:cui:wpaper:0022.

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2017A multi-factor predictive model for oil-US stock nexus with persistence, endogeneity and conditional heteroscedasticity effects. (2017). Salisu, Afees ; Oloko, Tirimisiyu ; Swaray, Raymond. In: Working Papers. RePEc:cui:wpaper:0024.

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2017Pension funds illiquid assets allocation under liquidity and capital constraints. (2017). Broeders, Dirk ; Werker, Bas ; Jansen, Kristy . In: DNB Working Papers. RePEc:dnb:dnbwpp:555.

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2018Pension fund equity performance: Patience, activity or both?. (2018). Lelyveld, Iman ; Lucivjanska, Katarina ; van Lelyveld, Iman ; Gonzalez, Tanja Artiga . In: DNB Working Papers. RePEc:dnb:dnbwpp:606.

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2017Robustness of Multistep Forecasts and Predictive Regressions at Intermediate and Long Horizons. (2017). Chevillon, Guillaume. In: ESSEC Working Papers. RePEc:ebg:essewp:dr-17010.

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2017How Does Volatility of Characteristics-sorted Portfolios Respond to Macroeconomic Volatility?. (2017). al Samman, Ahmed ; Otaify, Mahmoud Moustafa. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-04-39.

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2018Investor and Manager Overconfidence Bias and Firm Value: Micro-Level Evidence from the Pakistan Equity Market. (2018). Hussain, Sayyed Sadaqat ; Harjan, Sinan Abdullah ; Khan, Muhammad Asif ; Xinping, Xia . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2018-05-26.

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

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2018Call auction frequency and market quality: Evidence from the Taiwan Stock Exchange. (2018). Wang, Jianxin ; Twu, Mia. In: Journal of Asian Economics. RePEc:eee:asieco:v:57:y:2018:i:c:p:53-62.

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2018Insider-trading, discretionary accruals and information asymmetry. (2018). Chowdhury, Abu ; al Farooque, Omar ; Mollah, Sabur. In: The British Accounting Review. RePEc:eee:bracre:v:50:y:2018:i:4:p:341-363.

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2018East meets West: When the Islamic and Gregorian calendars coincide. (2018). Tantisantiwong, Nongnuch ; Power, David ; Helliar, Christine ; Halari, Anwar . In: The British Accounting Review. RePEc:eee:bracre:v:50:y:2018:i:4:p:402-424.

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2018Determinants of holiday effects in mainland Chinese and Hong-Kong markets. (2018). Casalin, Fabrizio. In: China Economic Review. RePEc:eee:chieco:v:49:y:2018:i:c:p:45-67.

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2017Options, equity risks, and the value of capital structure adjustments. (2017). Borochin, Paul ; Yang, Jie. In: Journal of Corporate Finance. RePEc:eee:corfin:v:42:y:2017:i:c:p:150-178.

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2017IPO market timing with uncertain aftermarket retail demand. (2017). Santos, Francisco . In: Journal of Corporate Finance. RePEc:eee:corfin:v:42:y:2017:i:c:p:247-266.

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2017Expropriation risk by block holders, institutional quality and expected stock returns. (2017). Hearn, Bruce ; Piesse, Jenifer ; Phylaktis, Kate . In: Journal of Corporate Finance. RePEc:eee:corfin:v:45:y:2017:i:c:p:122-149.

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2018Excess cash, trading continuity, and liquidity risk. (2018). Huang, Winifred ; Mazouz, Khelifa. In: Journal of Corporate Finance. RePEc:eee:corfin:v:48:y:2018:i:c:p:275-291.

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2018Volatility and the buyback anomaly. (2018). Vermaelen, Theo ; Nassuphis, Nick ; DE FORTUNY, Enric JUNQUe ; Evgeniou, Theodoros . In: Journal of Corporate Finance. RePEc:eee:corfin:v:49:y:2018:i:c:p:32-53.

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2018Do long-term investors improve corporate decision making?. (2018). Harford, Jarrad ; Mansi, Sattar ; Kecskes, Ambrus. In: Journal of Corporate Finance. RePEc:eee:corfin:v:50:y:2018:i:c:p:424-452.

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2018Foreign institutional ownership and liquidity commonality around the world. (2018). Deng, Baijun ; Li, Yong. In: Journal of Corporate Finance. RePEc:eee:corfin:v:51:y:2018:i:c:p:20-49.

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

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2018Dynamic derivative strategies with stochastic interest rates and model uncertainty. (2018). Escobar, Marcos ; Rubtsov, Alexey ; Ferrando, Sebastian. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:86:y:2018:i:c:p:49-71.

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2018Level and slope of volatility smiles in long-run risk models. (2018). Branger, Nicole ; Schlag, Christian ; Rodrigues, Paulo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:86:y:2018:i:c:p:95-122.

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2018Boom-bust dynamics in a stock market participation model with heterogeneous traders. (2018). Naimzada, Ahmad ; Pecora, Nicolo ; Agliari, Anna. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:458-468.

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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.
[Citation analysis]
article0
2010On the Size of the Active Management Industry In: Working Papers.
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paper29
2010On the Size of the Active Management Industry.(2010) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 29
paper
2010On the Size of the Active Management Industry.(2010) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 29
paper
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1994Portfolio Inefficiency and the Cross-Section of Expected Returns.(1994) In: NBER 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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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: NBER 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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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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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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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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