Robert F. Stambaugh : Citation Profile

Are you Robert F. Stambaugh?

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

36

H index

41

i10 index

9343

Citations

RESEARCH PRODUCTION:

51

Articles

82

Papers

RESEARCH ACTIVITY:

   45 years (1977 - 2022). See details.
   Cites by year: 207
   Journals where Robert F. Stambaugh has often published
   Relations with other researchers
   Recent citing documents: 884.    Total self citations: 52 (0.55 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pst282
   Updated: 2023-11-04    RAS profile: 2023-06-08    
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Relations with other researchers

Works with:

Pastor, Lubos (11)

Yuan, Yu (2)

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 (62)

Zhou, Guofu (54)

Pettenuzzo, Davide (47)

Wachter, Jessica (47)

Shanken, Jay (45)

Bekaert, Geert (41)

Timmermann, Allan (38)

GUPTA, RANGAN (37)

Bollerslev, Tim (36)

Pedersen, Lasse (35)

Cites to:

French, Kenneth (40)

Pastor, Lubos (37)

Titman, Sheridan (28)

Fama, Eugene (23)

Hou, Kewei (17)

Campbell, John (15)

Shleifer, Andrei (15)

Hirshleifer, David (15)

Teoh, Siew Hong (15)

Wurgler, Jeffrey (14)

Baker, Malcolm (14)

Main data

Where Robert F. Stambaugh has published?

Journals with more than one article published# docs
Journal of Financial Economics20
Journal of Finance15
Review of Financial Studies5
Journal of Political Economy2
Critical Finance Review2

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc27
CEPR Discussion Papers / C.E.P.R. Discussion Papers10

Recent works citing Robert F. Stambaugh (2023 and 2022)

YearTitle of citing document
2022The Prior Adaptive Group Lasso and the Factor Zoo. (2022). Bertelsen, Kristoffer Pons. In: CREATES Research Papers. RePEc:aah:create:2022-05.

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2022Reallocation of Mutual Fund Managers and Capital Raising Ability. (2022). Xu, Yue. In: CREATES Research Papers. RePEc:aah:create:2022-11.

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2022Expectations, Economic Uncertainty, and Sentiment. (2022). de Medeiros, Douglas. In: RAC - Revista de Administração Contemporânea (Journal of Contemporary Administration). RePEc:abg:anprac:v:26:y:2022:i:5:1524.

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2022Popular Personal Financial Advice versus the Professors. (2022). Choi, James J. In: Journal of Economic Perspectives. RePEc:aea:jecper:v:36:y:2022:i:4:p:167-92.

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2022Climate alpha and the global capital market. (2022). MARKANDYA, ANIL ; Kedaitiene, Angele ; Celovic, Aldin ; Brody, Michael ; Anda, Jon ; Golub, Alexander. In: FEEM Working Papers. RePEc:ags:feemwp:322792.

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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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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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2022Out of Sync: Dispersed Short Selling and the Correction of Mispricing. (2022). Verwijmeren, Patrick ; Sotes-Paladino, Juan ; Gargano, Antonio. In: Working Papers. RePEc:aoz:wpaper:108.

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2022News Co-Occurrence, Attention Spillover and Return Predictability. (2018). Tao, Yubo ; Guo, LI. In: Papers. RePEc:arx:papers:1703.02715.

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2022Weekly 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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2022Deep reinforcement learning for portfolio management based on the empirical study of chinese stock market. (2021). Song, Qingyang ; Zhou, Xiaohua ; Huang, Gang. In: Papers. RePEc:arx:papers:2012.13773.

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2022Robustifying 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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2023An Empirical Assessment of Characteristics and Optimal Portfolios. (2021). Lamoureux, Christopher G ; Zhang, Huacheng. In: Papers. RePEc:arx:papers:2104.12975.

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2022From Carbon-transition Premium to Carbon-transition Risk. (2021). Basu, Sankarshan ; Chakrabarty, Siddhartha P ; Nag, Suryadeepto. In: Papers. RePEc:arx:papers:2107.06518.

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2023Dynamic 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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2022Long-Horizon Return Predictability from Realized Volatility in Pure-Jump Point Processes. (2022). Soulier, Philippe ; Hurvich, Clifford ; Hsieh, Meng-Chen. In: Papers. RePEc:arx:papers:2202.00793.

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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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2022Volatility Sensitive Bayesian Estimation of Portfolio VaR and CVaR. (2022). Thors, Erik ; Niklasson, Vilhelm ; Bodnar, Taras. In: Papers. RePEc:arx:papers:2205.01444.

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2022Randomized geometric tools for anomaly detection in stock markets. (2022). Tsigaridas, Elias ; Fisikopoulos, Vissarion ; Chalkis, Apostolos ; Bachelard, Cyril. In: Papers. RePEc:arx:papers:2205.03852.

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2022Misspecification and Weak Identification in Asset Pricing. (2022). Zhan, Zhaoguo ; Kleibergen, Frank. In: Papers. RePEc:arx:papers:2206.13600.

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2022The Impact of Retail Investors Sentiment on Conditional Volatility of Stocks and Bonds. (2022). Kedar-Levy, Haim ; Hadad, Elroi. In: Papers. RePEc:arx:papers:2208.01538.

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2022Estimation of growth in fund models. (2022). Ruf, Johannes ; Koo, Hyeng Keun ; Kardaras, Constantinos. In: Papers. RePEc:arx:papers:2208.02573.

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2023Common Idiosyncratic Quantile Risk. (2022). Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267.

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2022150 Years of Return Predictability Around the World: A Holistic View. (2022). Bai, Yang. In: Papers. RePEc:arx:papers:2209.00121.

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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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2022State-dependent Asset Allocation Using Neural Networks. (2022). Neghab, Davood Pirayesh ; Bradrania, Reza. In: Papers. RePEc:arx:papers:2211.00871.

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2022Institutional ownership and liquidity commonality: evidence from Australia. (2022). Wu, Winston ; Elliott, Robert ; Bradrania, Reza. In: Papers. RePEc:arx:papers:2211.03287.

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2022Liquidity Costs, Idiosyncratic Volatility and Expected Stock Returns. (2022). Satchell, Stephen ; Peat, Maurice ; Bradrania, Reza M. In: Papers. RePEc:arx:papers:2211.04695.

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2022A Stackelberg reinsurance-investment game under $\alpha$-maxmin mean-variance criterion and stochastic volatility. (2022). Song, Yilun ; Liang, Zongxia ; Guan, Guohui. In: Papers. RePEc:arx:papers:2212.14327.

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

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

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2023An 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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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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2022Issuing bonds during the Covid-19 pandemic: is there an ESG premium?. (2022). Ferriani, Fabrizio. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1392_22.

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2023.

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2022Tweeting for Money: Social Media and Mutual Fund Flows. (2022). Imbet, Juan F ; Gil-Bazo, Javier. In: Working Papers. RePEc:bge:wpaper:1366.

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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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2022Information governance in sustainable finance. (2022). Packer, Frank ; Aramonte, Sirio. In: BIS Papers. RePEc:bis:bisbps:132.

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2022Deconstructing ESG scores: how to invest with your own criteria. (2022). Jondeau, Eric ; Jegarasasingam, Anandakumar ; Elsenhuber, Ulrike ; Ehlers, Torsten. In: BIS Working Papers. RePEc:bis:biswps:1008.

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2022Beating the Average: Equity Premium Variations, Uncertainty, and Liquidity. (2022). Wagner, Niklas ; Kinateder, Harald ; Batten, Jonathan A. In: Abacus. RePEc:bla:abacus:v:58:y:2022:i:3:p:567-588.

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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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2022Assessing the usefulness of daily and monthly asset?pricing factors for Australian equities. (2022). Zhong, Angel ; Gray, Philip. In: Accounting and Finance. RePEc:bla:acctfi:v:62:y:2022:i:1:p:181-211.

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2022Institutional trading in stock market anomalies in Australia. (2022). Zhong, Angel. In: Accounting and Finance. RePEc:bla:acctfi:v:62:y:2022:i:1:p:893-930.

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2022Why do bank?affiliated mutual funds perform better in China?. (2022). Wu, Wenfeng ; Lv, Dayong ; Zhang, Haoyue. In: Accounting and Finance. RePEc:bla:acctfi:v:62:y:2022:i:5:p:4755-4782.

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2022Media 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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2022Institutional ownership and liquidity commonality: evidence from Australia. (2022). Wu, Winston ; Elliott, Robert ; Bradrania, Reza. In: Accounting and Finance. RePEc:bla:acctfi:v:62:y:2022:i:s1:p:1231-1272.

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2022A timing momentum strategy. (2022). Ko, Kuancheng ; Chou, Robin K ; Yang, Nientzu ; Lin, Chaonan. In: Accounting and Finance. RePEc:bla:acctfi:v:62:y:2022:i:s1:p:1339-1379.

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2022Global equity fund performance adjusted for equity and currency factors. (2022). Warren, Geoffrey J ; Schmidt, Camille H ; Harman, Graham ; Gallagher, David R. In: Accounting and Finance. RePEc:bla:acctfi:v:62:y:2022:i:s1:p:1535-1565.

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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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2023 Exchange?traded fund ownership and underlying stock mispricing. (2023). Gould, John ; May, Lewis ; Yang, Joey W. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:s1:p:1417-1445.

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2022Low carbon transition risk in mutual fund portfolios: Managerial involvement and performance effects. (2022). Reboredo, Juan ; Otero, Luis A. In: Business Strategy and the Environment. RePEc:bla:bstrat:v:31:y:2022:i:3:p:950-968.

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2022Stock return predictability: Evaluation based on interval forecasts. (2022). Kim, Jae H ; Darne, Olivier ; Charles, Amelie. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:74:y:2022:i:2:p:363-385.

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2022Investment Strategies and Corporate Behaviour with Socially Responsible Investors: A Theory of Active Ownership. (2022). Pouget, Sebastien ; Gollier, Christian. In: Economica. RePEc:bla:econom:v:89:y:2022:i:356:p:997-1023.

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2022Oil price shocks and stock market anomalies. (2022). Ji, Qiang ; Tu, Jun ; Sun, Licheng ; Zhu, Zhaobo. In: Financial Management. RePEc:bla:finmgt:v:51:y:2022:i:2:p:573-612.

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2022Investor learning and mutual fund flows. (2022). Yan, Hong ; Wei, Kelsey D ; Huang, Jennifer. In: Financial Management. RePEc:bla:finmgt:v:51:y:2022:i:3:p:739-765.

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2022Should hedge funds deviate from the benchmark?. (2022). Voukelatos, Nikolaos ; Panopoulou, Ekaterini. In: Financial Management. RePEc:bla:finmgt:v:51:y:2022:i:3:p:767-795.

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2022Individual investors dispersion in beliefs and stock returns. (2022). Lu, Lei ; Li, Xindan ; Ma, Junjun ; Xiong, Xiong ; Wu, Weixing. In: Financial Management. RePEc:bla:finmgt:v:51:y:2022:i:3:p:929-953.

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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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2022The cross?sectional return predictability of employment growth: A liquidity risk explanation. (2022). Luo, DI ; Liu, Weimin ; Zhao, Huainan ; Park, Seyoung. In: The Financial Review. RePEc:bla:finrev:v:57:y:2022:i:1:p:155-178.

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2022A reexamination of factor momentum: How strong is it?. (2022). Liu, Jiadong ; Liao, Ming ; Fan, Minyou. In: The Financial Review. RePEc:bla:finrev:v:57:y:2022:i:3:p:585-615.

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2022Persistence of investor sentiment and market mispricing. (2022). Eshraghi, Arman ; Danbolt, JO ; Sakkas, Nikolaos ; Han, Xiao. In: The Financial Review. RePEc:bla:finrev:v:57:y:2022:i:3:p:617-640.

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2022The potential built?in supply effect from margin trading in the Chinese stock market. (2022). Choy, Siu Kai ; Li, Yanxi ; Wang, Mingzhu. In: The Financial Review. RePEc:bla:finrev:v:57:y:2022:i:4:p:835-861.

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2023Effect of high?frequency trading on mutual fund performance. (2023). Singal, Vijay ; Qin, Nan. In: The Financial Review. RePEc:bla:finrev:v:58:y:2023:i:2:p:369-394.

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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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2022Can technical indicators predict the Chinese equity risk premium?. (2022). Glabadanidis, Paskalis ; Sun, Mingwei. In: International Review of Finance. RePEc:bla:irvfin:v:22:y:2022:i:1:p:114-142.

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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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2022Organization capital effect in stock returns—The role of R&D. (2022). Lin, Chubin ; Chan, Konan ; Wang, Yanzhi. In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:49:y:2022:i:7-8:p:1237-1263.

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2022Liquidity measurement: A comparative review of the literature with a focus on high frequency. (2022). Ekinci, Cumhur ; Guloglu, Zeynep Cobandag. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:36:y:2022:i:1:p:41-74.

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2022Behavioral finance and the architecture of the asset management industry. (2022). Verlaine, Michel. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:36:y:2022:i:5:p:1454-1476.

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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
2020Sustainable Investing in Equilibrium In: Working Papers.
[Full Text][Citation analysis]		paper178
2019Sustainable Investing in Equilibrium.(2019) In: CEPR Discussion Papers.
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2021Sustainable investing in equilibrium.(2021) In: Journal of Financial Economics.
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2019Sustainable Investing in Equilibrium.(2019) In: NBER Working Papers.
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1984 A Further Investigation of the Weekend Effect in Stock Returns. In: Journal of Finance.
[Full Text][Citation analysis]		article215
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.
[Full Text][Citation analysis]		article58
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]		article97
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.
[Full Text][Citation analysis]		article322
1995On the Predictability of Stock Returns: An Asset-Allocation Perspective.(1995) In: NBER Working Papers.
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This paper has another version. Agregated cites: 322		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.
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1998Costs of Equity Capital and Model Mispricing.(1998) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
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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.
[Full Text][Citation analysis]		article149
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.
[Citation analysis]
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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.
[Full Text][Citation analysis]		article0
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.
[Full Text][Citation analysis]		article139
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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This paper has another version. Agregated cites: 139		paper
2012Are Stocks Really Less Volatile in the Long Run? In: Journal of Finance.
[Full Text][Citation analysis]		article84
2009Are Stocks Really Less Volatile in the Long Run?.(2009) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 84		paper
2009Are Stocks Really Less Volatile in the Long Run?.(2009) In: NBER Working Papers.
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This paper has another version. Agregated cites: 84		paper
2014Presidential Address: Investment Noise and Trends In: Journal of Finance.
[Full Text][Citation analysis]		article44
2015Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle In: Journal of Finance.
[Full Text][Citation analysis]		article264
2012Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle.(2012) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 264		paper
2017Do Funds Make More When They Trade More? In: Journal of Finance.
[Full Text][Citation analysis]		article42
2014Do Funds Make More When They Trade More?.(2014) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 42		paper
2014Do Funds Make More When They Trade More?.(2014) In: NBER Working Papers.
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This paper has another version. Agregated cites: 42		paper
2017Portfolio Liquidity and Diversification: Theory and Evidence In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper2
2017Fund Tradeoffs In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper0
2020Fund tradeoffs.(2020) In: Journal of Financial Economics.
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2017Fund Tradeoffs.(2017) In: NBER Working Papers.
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This paper has another version. Agregated cites: 0		paper
2019Liquidity Risk After 20 Years In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper8
2019Liquidity Risk After 20 Years.(2019) In: NBER Working Papers.
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This paper has another version. Agregated cites: 8		paper
2019Liquidity Risk After 20 Years.(2019) In: Critical Finance Review.
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This paper has another version. Agregated cites: 8		article
2002Liquidity Risk and Expected Stock Returns In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper1840
2001Liquidity Risk and Expected Stock Returns.(2001) In: NBER Working Papers.
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This paper has another version. Agregated cites: 1840		paper
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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This paper has another version. Agregated cites: 1840		paper
2010On the Size of the Active Management Industry In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper73
2010On the Size of the Active Management Industry.(2010) In: NBER Working Papers.
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This paper has another version. Agregated cites: 73		paper
2012On the Size of the Active Management Industry.(2012) In: Journal of Political Economy.
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This paper has another version. Agregated cites: 73		article
2014Scale and Skill in Active Management In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper156
2015Scale and skill in active management.(2015) In: Journal of Financial Economics.
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This paper has another version. Agregated cites: 156		article
2014Scale and Skill in Active Management.(2014) In: NBER Working Papers.
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This paper has another version. Agregated cites: 156		paper
1977Inequaltty and social status in successive generations In: European Economic Review.
[Full Text][Citation analysis]		article0
1983Testing the CAPM with broader market indexes : A problem of mean-deficiency In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article0
2001Testing the CAPM with Broader Market Indexes: A Problem of Mean-Deficiency.(2001) In: Rodney L. White Center for Financial Research Working Papers.
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This paper has another version. Agregated cites: 0		paper
1982Testing the CAPM with Broader Market Indexes: A Problem of Mean-Deficiency.(1982) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 0		paper
2012The short of it: Investor sentiment and anomalies In: Journal of Financial Economics.
[Full Text][Citation analysis]		article549
2011The Short of It: Investor Sentiment and Anomalies.(2011) In: NBER Working Papers.
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This paper has another version. Agregated cites: 549		paper
1982On the exclusion of assets from tests of the two-parameter model : A sensitivity analysis In: Journal of Financial Economics.
[Full Text][Citation analysis]		article105
1981On the Exclusion of Assets from Tests of the Two-Parameter Model: A Sensitivity Analysis.(1981) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 105		paper
2014The long of it: Odds that investor sentiment spuriously predicts anomaly returns In: Journal of Financial Economics.
[Full Text][Citation analysis]		article60
2012The Long of It: Odds that Investor Sentiment Spuriously Predicts Anomaly Returns.(2012) In: NBER Working Papers.
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This paper has another version. Agregated cites: 60		paper
2018Absolving beta of volatility’s effects In: Journal of Financial Economics.
[Full Text][Citation analysis]		article34
1983Arbitrage pricing with information In: Journal of Financial Economics.
[Full Text][Citation analysis]		article8
1983Biases in computed returns : An application to the size effect In: Journal of Financial Economics.
[Full Text][Citation analysis]		article223
2019Size and value in China In: Journal of Financial Economics.
[Full Text][Citation analysis]		article168
2018Size and Value in China.(2018) In: NBER Working Papers.
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2022Dissecting green returns In: Journal of Financial Economics.
[Full Text][Citation analysis]		article62
2021Dissecting Green Returns.(2021) In: NBER Working Papers.
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This paper has another version. Agregated cites: 62		paper
1986Predicting returns in the stock and bond markets In: Journal of Financial Economics.
[Full Text][Citation analysis]		article683
1985Predicting Returns in the Stock and Bond Markets.(1985) In: Rodney L. White Center for Financial Research Working Papers.
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This paper has another version. Agregated cites: 683		paper
1987On correlations and inferences about mean-variance efficiency In: Journal of Financial Economics.
[Full Text][Citation analysis]		article47
1987Expected stock returns and volatility In: Journal of Financial Economics.
[Full Text][Citation analysis]		article1600
1988The information in forward rates : Implications for models of the term structure In: Journal of Financial Economics.
[Full Text][Citation analysis]		article110
1997Analyzing investments whose histories differ in length In: Journal of Financial Economics.
[Full Text][Citation analysis]		article61
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.
[Citation analysis]
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1997Analyzing Investments Whose Histories Differ in Length.(1997) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 61		paper
1999Predictive regressions In: Journal of Financial Economics.
[Full Text][Citation analysis]		article737
1999Predictive Regressions.(1999) In: NBER Technical Working Papers.
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This paper has another version. Agregated cites: 737		paper
2000Comparing asset pricing models: an investment perspective In: Journal of Financial Economics.
[Full Text][Citation analysis]		article173
1999Comparing Asset Pricing Models: An Investment Perspective.(1999) In: Rodney L. White Center for Financial Research Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 173		paper
1999Comparing Asset Pricing Models: An Investment Perspective.(1999) In: NBER Working Papers.
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This paper has another version. Agregated cites: 173		paper
1999Comparing Asset Pricing Models: An Investment Perspective.(1999) In: CRSP working papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 173		paper
2002Mutual fund performance and seemingly unrelated assets In: Journal of Financial Economics.
[Full Text][Citation analysis]		article141
Mutual Fund Performance and Seemingly Unrelated Assets.”.() In: CRSP working papers.
[Citation analysis]
This paper has another version. Agregated cites: 141		paper
2002Investing in equity mutual funds In: Journal of Financial Economics.
[Full Text][Citation analysis]		article82
Investing in Equity Mutual Funds.() In: CRSP working papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 82		paper
1991Asset returns and intertemporal preferences In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article220
1991Asset Returns and Intertemporal Preferences.(1991) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 220		paper
2002Arbitrage Pricing with Heterogeneous Information In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]		paper2
1982Arbitrage Pricing with Heterogeneous Information.(1982) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 2		paper
1993Portfolio Inefficiency and the Cross-Section of Mean Returns (Revised: 6-94) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]		paper2
1993Portfolio Inefficiency and the Cross-Section of Mean Returns (Revised: 6-94).(1993) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 2		paper
1993Bayesian Inference and Portfolio Efficiency (Revision of 8-91) (Reprint 046) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]		paper0
1993Bayesian Inference and Portfolio Efficiency..(1993) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
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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.
[Citation analysis]		paper0
1994Portfolio Inefficiency and the Cross-Section of Expected Returns (Revision of 3-93).(1994) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
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1990Asset Returns, Investment Horizons, and Intertemporal Preferences (Reprint 009) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]		paper4
1990Asset Returns, Investment Horizons, and Intertemporal Preferences (Reprint 009).(1990) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 4		paper
1991Bayesian Inference and Portfolio Efficiency (Revised: 4-93) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]		paper0
1991Bayesian Inference and Portfolio Efficiency..(1991) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
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1997Costs of Equity from Factor-Based Models In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]		paper0
1997Costs of Equity from Factor-Based Models (Revised 4-98).(1997) In: Rodney L. White Center for Financial Research Working Papers.
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2000Evaluating and Investing in Equity Mutual Funds In: Rodney L. White Center for Financial Research Working Papers.
[Full Text][Citation analysis]		paper1
2000Evaluating and Investing in Equity Mutual Funds.(2000) In: NBER Working Papers.
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This paper has another version. Agregated cites: 1		paper
Evaluating and Investing in Equity Mutual Funds.() In: CRSP working papers.
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1983Biases in Computed Returns: An Application to the Size Effect (Revision of 2-83) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]		paper165
1989Expectations and Volatility of Long-Horizon Stock Returns In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]		paper1
1993Estimiting Conditional Expectations when Volatility Fluctuates. In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]		paper12
1993Estimating Conditional Expectations when Volatility Fluctuates.(1993) In: NBER Technical Working Papers.
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This paper has another version. Agregated cites: 12		paper
1988A Mean-Variance Framework for Tests for Asset Pricing Models In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]		paper24
1989A Mean-Variance Framework for Tests of Asset Pricing Models..(1989) In: Review of Financial Studies.
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1988Changing Risk, Changing Risk Premiums, and Dividend Yield Effects In: Rodney L. White Center for Financial Research Working Papers.
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1990Changing Risk, Changing Risk Premiums, and Dividend Yield Effects..(1990) In: The Journal of Business.
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1994On the Predictability of Stock Returns: An Asset- Allocation Perspective. In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]		paper0
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: 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: 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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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: Review of Financial Studies.
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1994A Mean-Variance Framework for Tests of Asset Pricing Models: Correction. In: Review of Financial Studies.
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2011Inference about Survivors In: Quarterly Journal of Finance (QJF).
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