Robert F. Stambaugh : Citation Profile

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

37

H index

43

i10 index

10164

Citations

RESEARCH PRODUCTION:

52

Articles

86

Papers

RESEARCH ACTIVITY:

   47 years (1977 - 2024). See details.
   Cites by year: 216
   Journals where Robert F. Stambaugh has often published
   Relations with other researchers
   Recent citing documents: 491.    Total self citations: 52 (0.51 %)

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   Permalink: http://citec.repec.org/pst282
   Updated: 2025-04-26    RAS profile: 2024-06-10    
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Relations with other researchers

Works with:

Pastor, Lubos (9)

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 (65)

Zhou, Guofu (54)

Wachter, Jessica (47)

Pettenuzzo, Davide (47)

Shanken, Jay (45)

Bekaert, Geert (43)

GUPTA, RANGAN (38)

Bollerslev, Tim (37)

Pastor, Lubos (35)

Pedersen, Lasse (35)

Cites to:

French, Kenneth (41)

Pastor, Lubos (39)

Titman, Sheridan (28)

Fama, Eugene (23)

Shleifer, Andrei (19)

Hou, Kewei (17)

Teoh, Siew Hong (15)

Hirshleifer, David (15)

Campbell, John (15)

Wurgler, Jeffrey (14)

Yuan, Yu (14)

Main data

Where Robert F. Stambaugh has published?

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

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc31
CEPR Discussion Papers / C.E.P.R. Discussion Papers10

Recent works citing Robert F. Stambaugh (2025 and 2024)

YearTitle of citing document
2024.

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2025How Competitive Is the Stock Market? Theory, Evidence from Portfolios, and Implications for the Rise of Passive Investing. (2025). Huebner, Paul ; Haddad, Valentin ; Loualiche, Erik. In: American Economic Review. RePEc:aea:aecrev:v:115:y:2025:i:3:p:975-1018.

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

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2025Deep 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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2024Robustifying Conditional Portfolio Decisions via Optimal Transport. (2021). Ye, Yinyu ; Delage, Erick ; Blanchet, Jose ; Zhang, Fan ; Nguyen, Viet Anh. In: Papers. RePEc:arx:papers:2103.16451.

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

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

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

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

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

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

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

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2025Navigating Uncertainty in ESG Investing. (2023). Porth, Lysa ; Wirjanto, Tony S ; Tan, Ken Seng ; Zhang, Jiayue. In: Papers. RePEc:arx:papers:2310.02163.

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

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

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

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2025Assessing the Impact of Technical Indicators on Machine Learning Models for Stock Price Prediction. (2024). Fabozzi, Frank J ; Rachev, Svetlozar ; Shirvani, Abootaleb ; Monico, Chris ; Deep, Akash. In: Papers. RePEc:arx:papers:2412.15448.

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2025Asset Pricing Model in Markets of Imperfect Information and Subjective Views. (2025). Bellalah, Makram ; ben Amar, Amine ; Lalioui, Hafid. In: Papers. RePEc:arx:papers:2501.11983.

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2025ChatGPT and Deepseek: Can They Predict the Stock Market and Macroeconomy?. (2025). Zhu, WU ; Zhou, Guofu ; Tang, Guohao ; Chen, Jian. In: Papers. RePEc:arx:papers:2502.10008.

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2025Empirical likelihood approach for high-dimensional moment restrictions with dependent data. (2025). Shi, Zhentao ; Zhang, Jia ; Hu, Qiao ; Chang, Jinyuan. In: Papers. RePEc:arx:papers:2502.18970.

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2025Liquidity-adjusted Return and Volatility, and Autoregressive Models. (2025). Deng, QI ; Zhou, Zhong-Guo. In: Papers. RePEc:arx:papers:2503.08693.

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2024.

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

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

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2024Some Dont Like it Hot: Bank Depositors and NGO Campaigns Against Brown Banks. (2024). Mésonnier, Jean-Stéphane ; Maesonnier, Jean-Staephane ; Mazet-Sonilhac, Claement. In: Working papers. RePEc:bfr:banfra:968.

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2025The Pricing Kernel under Proportional Ambiguity. (2025). Spengemann, Marco. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:700.

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2024.

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

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2024.

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

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

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2024.

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2024.

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

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

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

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2024Measuring “Dark Matter” in Asset Pricing Models. (2024). Dou, Winston ; Chen, Hui ; Kogan, Leonid. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:2:p:843-902.

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2024.

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2024Nonstandard Errors. (2024). Zhang, S. Sarah ; Xia, Shuo ; Wolff, Christian ; Wilhelmsson, Anders ; Walther, Thomas ; Vilkov, Grigory ; Verousis, Thanos ; van Kervel, Vincent ; Talavera, Oleksandr ; Stefanova, Denitsa ; Sojli, Elvira ; Smales, Lee ; Shachar, Or ; Schwarz, Marco ; Schuerhoff, Norman ; Sarno, Lucio ; Rinne, Kalle ; Renault, Thomas ; Reitz, Stefan ; Ranaldo, Angelo ; Palan, Stefan ; Pasquariello, Paolo ; Pastor, Lubos ; Park, Andreas ; Ødegaard, Bernt ; Nielsson, Ulf ; Neszveda, Gabor ; Menkveld, Albert ; Lof, Matthijs ; LINTON, OLIVER ; Liew, Chee ; Koetter, Michael ; Korajczyk, Robert ; Jurkatis, Simon ; Johannesson, Magnus ; Jalkh, Naji ; Huang, Wenqian ; Holzmeister, Felix ; Horenstein, Alex ; Harris, Jeffrey ; Hasse, Jean-Baptiste ; Hautsch, Nikolaus ; Güçbilmez, Ufuk ;
2024What Drives Variation in the U.S. Debt‐to‐Output Ratio? The Dogs that Did not Bark. (2024). Van Nieuwerburgh, Stijn ; Xiaolan, Mindy Z ; Lustig, Hanno ; Jiang, Zhengyang. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:4:p:2603-2665.

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2024.

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2024.

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2024A Green Wave in Media: A Change of Tack in Stock Markets. (2024). Bessec, Marie ; Fouquau, Julien. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:86:y:2024:i:5:p:1026-1057.

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2024Informed traders, beauty contest and stock price volatility: Evidence from laboratory markets. (2024). Saijo, Tatsuyoshi ; Kusakawa, Takao ; Hirota, Shinichi ; Tanigawa, Yasuhiko. In: Pacific Economic Review. RePEc:bla:pacecr:v:29:y:2024:i:3:p:354-396.

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2025Corporate Actions as Moral Issues. (2025). Spalt, Oliver ; Kempf, Elisabeth ; Iliewa, Zwetelina. In: CRC TR 224 Discussion Paper Series. RePEc:bon:boncrc:crctr224_2025_649.

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2025Dual Industry Effects and Cross-Stock Predictability. (2025). Avramov, D ; Linton, O B ; Ge, S. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2512.

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2025.

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2024Liquidity on Eurozone stock markets: A non-linear approach. (2024). Seyte, Franoise ; Souiki, Boumediene. In: Economics Bulletin. RePEc:ebl:ecbull:eb-21-01064.

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2025Green and brown returns in a production economy. (2025). Schüler, Yves ; Schler, Yves ; Jaccard, Ivan ; Kockerols, Thore. In: Working Paper Series. RePEc:ecb:ecbwps:20253030.

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2025Fiscal and macroprudential policies during an energy crisis. (2025). Priftis, Romanos ; Schoenle, Raphael. In: Working Paper Series. RePEc:ecb:ecbwps:20253032.

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2024Which ESG+F dimension matters most to retail investors? An experimental study on financial decisions and future generations. (2024). Bax, Karoline ; Klaser, Klaudijo ; Benuzzi, Matteo. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:41:y:2024:i:c:s2214635023000965.

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2024Sustainable risk preferences on asset allocation: a higher order optimal portfolio study. (2024). Esparcia, Carlos ; Escribano, Ana ; Diaz, Antonio. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:41:y:2024:i:c:s2214635024000029.

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2024Extrapolative beliefs and return predictability: Evidence from China. (2024). Liu, Yumin ; Jiang, Fuwei ; Zhang, Huajing. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:43:y:2024:i:c:s2214635024000728.

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2024Managerial sentiment and employment. (2024). Montone, Maurizio ; Zhu, Yuhao. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:43:y:2024:i:c:s2214635024000765.

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2024Informed options trading before FDA drug advisory meetings. (2024). Golec, Joseph ; Borochin, Paul ; Wu, Zekun. In: Journal of Corporate Finance. RePEc:eee:corfin:v:84:y:2024:i:c:s092911992300144x.

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2024Business aspects in focus, investor underreaction and return predictability. (2024). Jin, Zuben. In: Journal of Corporate Finance. RePEc:eee:corfin:v:84:y:2024:i:c:s0929119923001748.

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2024Do investors benefit from MiFID II unbundling?. (2024). Halling, Michael ; Froberg, Emelie. In: Journal of Corporate Finance. RePEc:eee:corfin:v:87:y:2024:i:c:s0929119924000774.

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2024Political uncertainty and institutional herding. (2024). Montone, Maurizio ; Kallinterakis, Vasileios ; Gavriilidis, Konstantinos. In: Journal of Corporate Finance. RePEc:eee:corfin:v:88:y:2024:i:c:s0929119924000890.

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2024IPO price formation and board gender diversity. (2024). Rau, Raghavendra ; Vermaelen, Theo ; Sandvik, Jason. In: Journal of Corporate Finance. RePEc:eee:corfin:v:88:y:2024:i:c:s0929119924000919.

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2024Risks and risk premia in the US Treasury market. (2024). Sarno, Lucio ; Zinna, Gabriele ; Li, Junye. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:158:y:2024:i:c:s016518892300194x.

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2024Transparency pays: How carbon emission disclosure lowers cost of capital. (2024). Sun, Zixun ; Xu, Weidong ; Ni, HE. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:83:y:2024:i:c:p:165-177.

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2024Top managers with information technology backgrounds and digital transformation: Evidence from small and medium companies. (2024). Bu, Caiqi ; Zhang, Kaixia. In: Economic Modelling. RePEc:eee:ecmode:v:132:y:2024:i:c:s0264999323004418.

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2024What drives the tail risk effect in the Chinese stock market?. (2024). Zhu, Yifeng ; Wang, Hui ; Sun, Kaisi. In: Economic Modelling. RePEc:eee:ecmode:v:132:y:2024:i:c:s0264999323004431.

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2024Ambiguity and risk in the oil market. (2024). Qadan, Mahmoud ; Ayoub, Mahmoud. In: Economic Modelling. RePEc:eee:ecmode:v:132:y:2024:i:c:s0264999324000075.

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2024Robust portfolio selection with smart return prediction. (2024). Li, Bin ; Tu, Xueyong. In: Economic Modelling. RePEc:eee:ecmode:v:135:y:2024:i:c:s0264999324000750.

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2024Understanding dynamic return connectedness and portfolio strategies among international sustainable exchange-traded funds. (2024). Corbet, Shaen ; Hu, Yang ; Lang, Chunlin ; Xu, Danyang. In: Economic Modelling. RePEc:eee:ecmode:v:141:y:2024:i:c:s0264999324002219.

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2024Downside liquidity risk premium: From the perspective of higher moment. (2024). Jin, Xiu ; Hou, Yuting. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pa:s1062940823001547.

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2024Energy, metals, market uncertainties, and ESG stocks: Analysing predictability and safe havens. (2024). Bossman, Ahmed ; Agyei, Samuel Kwaku ; Yang, Junhua ; Marfo-Yiadom, Edward ; Gubareva, Mariya. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pb:s1062940823001535.

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2024Risk-neutral skewness and stock market returns: A time-series analysis. (2024). Zhang, LU ; Wu, Zhengyu ; Li, Xiaowei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940823001638.

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2024Systemic risk monitoring model from the perspective of public information arrival. (2024). Zhu, Xingting ; Liu, Bin ; Yan, Han ; Wu, Yan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000664.

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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]		paper206
2019Sustainable Investing in Equilibrium.(2019) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 206		paper
2021Sustainable investing in equilibrium.(2021) In: Journal of Financial Economics.
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This paper has nother version. Agregated cites: 206		article
2019Sustainable Investing in Equilibrium.(2019) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 206		paper
1984 A Further Investigation of the Weekend Effect in Stock Returns. In: Journal of Finance.
[Full Text][Citation analysis]		article225
1986 Does the Stock Market Rationally Reflect Fundamental Values? Discussion. In: Journal of Finance.
[Full Text][Citation analysis]		article0
1987 Mimicking Portfolios and Exact Arbitrage Pricing. In: Journal of Finance.
[Full Text][Citation analysis]		article62
1987 Tests of Asset Pricing with Time-Varying Expected Risk Premiums and Market Betas. In: Journal of Finance.
[Full Text][Citation analysis]		article57
1995 Portfolio Inefficiency and the Cross-Section of Expected Returns. In: Journal of Finance.
[Full Text][Citation analysis]		article102
1994Portfolio Inefficiency and the Cross-Section of Expected Returns.(1994) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 102		paper
1996 On the Predictability of Stock Returns: An Asset-Allocation Perspective. In: Journal of Finance.
[Full Text][Citation analysis]		article339
1995On the Predictability of Stock Returns: An Asset-Allocation Perspective.(1995) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 339		paper
1999Costs of Equity Capital and Model Mispricing In: Journal of Finance.
[Full Text][Citation analysis]		article68
1998Costs of Equity Capital and Model Mispricing.(1998) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 68		paper
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]		article156
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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This paper has nother version. Agregated cites: 156		paper
2004Report of the Editor of The Journal of Finance for the Year 2003 In: Journal of Finance.
[Full Text][Citation analysis]		article0
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.
[Full Text][Citation analysis]		article0
2009Predictive Systems: Living with Imperfect Predictors In: Journal of Finance.
[Full Text][Citation analysis]		article144
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.
[Full Text][Citation analysis]		article87
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.
[Full Text][Citation analysis]		article54
2015Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle In: Journal of Finance.
[Full Text][Citation analysis]		article336
2012Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle.(2012) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 336		paper
2017Do Funds Make More When They Trade More? In: Journal of Finance.
[Full Text][Citation analysis]		article53
2014Do Funds Make More When They Trade More?.(2014) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 53		paper
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.
[Full Text][Citation analysis]		paper2
2017Fund Tradeoffs In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper1
2020Fund tradeoffs.(2020) In: Journal of Financial Economics.
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This paper has nother version. Agregated cites: 1		article
2017Fund Tradeoffs.(2017) In: NBER Working Papers.
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2019Liquidity Risk After 20 Years In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper11
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.
[Full Text][Citation analysis]		paper1983
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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This paper has nother version. Agregated cites: 1983		paper
2010On the Size of the Active Management Industry In: CEPR Discussion Papers.
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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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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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2022Dissecting green returns In: Journal of Financial Economics.
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2021Dissecting Green Returns.(2021) 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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1985Predicting Returns in the Stock and Bond Markets.(1985) In: Rodney L. White Center for Financial Research Working Papers.
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1987On correlations and inferences about mean-variance efficiency In: Journal of Financial Economics.
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1987Expected stock returns and volatility In: Journal of Financial Economics.
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1988The information in forward rates : Implications for models of the term structure In: Journal of Financial Economics.
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1997Analyzing investments whose histories differ in length In: Journal of Financial Economics.
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1996Analyzing Investments Whose Histories Differ in Length.(1996) In: Rodney L. White Center for Financial Research Working Papers.
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1996Analyzing Investments Whose Histories Differ in Length..(1996) In: Rodney L. White Center for Financial Research Working Papers.
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This paper has nother version. Agregated cites: 67		paper
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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This paper has nother version. Agregated cites: 196		paper
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..(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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[Full Text][Citation analysis]
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1983Biases in Computed Returns: An Application to the Size Effect (Revision of 2-83) In: Rodney L. White Center for Financial Research Working Papers.
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1989Expectations and Volatility of Long-Horizon Stock Returns In: Rodney L. White Center for Financial Research Working Papers.
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1993Estimiting Conditional Expectations when Volatility Fluctuates. In: Rodney L. White Center for Financial Research Working Papers.
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1993Estimating Conditional Expectations when Volatility Fluctuates.(1993) In: NBER Technical Working Papers.
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1988A Mean-Variance Framework for Tests for Asset Pricing Models In: Rodney L. White Center for Financial Research Working Papers.
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1989A Mean-Variance Framework for Tests of Asset Pricing Models..(1989) In: The Review of Financial Studies.
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1988Changing Risk, Changing Risk Premiums, and Dividend Yield Effects In: Rodney L. White Center for Financial Research Working Papers.
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1990Changing Risk, Changing Risk Premiums, and Dividend Yield Effects..(1990) In: The Journal of Business.
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1994On the Predictability of Stock Returns: An Asset-Allocation Perspective (Reprint 057) In: Rodney L. White Center for Financial Research Working Papers.
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1988Modeling Expected Stock Returns for Long and Short Horizons In: Rodney L. White Center for Financial Research Working Papers.
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1990ASSET RETURNS, INVESTMENT HORIZONS, AND INTERTEMPORAL PREFERENCES. In: Weiss Center Working Papers.
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1991Bayesian Inference and Portfolio Efficiency. In: Weiss Center Working Papers.
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1993Bayesian Inference and Portfolio Efficiency.(1993) In: NBER Technical Working Papers.
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1995Bayesian Inference and Portfolio Efficiency..(1995) In: The Review of Financial Studies.
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2014Investment Noise and Trends In: NBER Working Papers.
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2015Mispricing Factors In: NBER Working Papers.
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2017Mispricing Factors.(2017) In: The Review of Financial Studies.
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2017Anomalies Abroad: Beyond Data Mining In: NBER Working Papers.
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2019Skill and Profit in Active Management In: NBER Working Papers.
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2021Pricing Without Mispricing In: NBER Working Papers.
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2023Green Tilts In: NBER Working Papers.
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2024Carbon Burden In: NBER Working Papers.
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2024Sustainable Investing In: NBER Working Papers.
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2022Diseconomies of Scale in Active Management: Robust Evidence In: Critical Finance Review.
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2021Investing in Socially Responsible Mutual Funds In: The Review of Asset Pricing Studies.
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1990Expectations and Volatility of Consumption and Asset Returns. In: The Review of Financial Studies.
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1994A Mean-Variance Framework for Tests of Asset Pricing Models: Correction. In: The Review of Financial Studies.
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2011Inference about Survivors In: Quarterly Journal of Finance (QJF).
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