Robert F. Stambaugh : Citation Profile

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

37

H index

44

i10 index

10879

Citations

RESEARCH PRODUCTION:

53

Articles

86

Papers

RESEARCH ACTIVITY:

   47 years (1977 - 2024). See details.
   Cites by year: 231
   Journals where Robert F. Stambaugh has often published
   Relations with other researchers
   Recent citing documents: 977.    Total self citations: 52 (0.48 %)

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   Permalink: http://citec.repec.org/pst282
   Updated: 2026-02-21    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 (67)

Zhou, Guofu (55)

Pettenuzzo, Davide (47)

Wachter, Jessica (47)

Bekaert, Geert (45)

Shanken, Jay (45)

GUPTA, RANGAN (40)

Bollerslev, Tim (37)

Pedersen, Lasse (35)

Pastor, Lubos (35)

Cites to:

French, Kenneth (41)

Pastor, Lubos (39)

Titman, Sheridan (28)

Fama, Eugene (23)

Shleifer, Andrei (19)

Hou, Kewei (17)

Campbell, John (15)

Hirshleifer, David (15)

Teoh, Siew Hong (15)

Yuan, Yu (14)

Wurgler, Jeffrey (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 Studies6
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, Inc31
CEPR Discussion Papers / C.E.P.R. Discussion Papers10

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

YearTitle of citing document
2024Global investor sentiment and bank performance: Evidence from African banks. (2024). Oyetade, Damilola Tope ; Muguto, Hilary Tinotenda ; Muzindutsi, Paul-Francois. In: Finance, Accounting and Business Analysis. RePEc:aan:journl:v:6:y:2024:i:2:p:145-158.

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2025How Competitive Is the Stock Market? Theory, Evidence from Portfolios, and Implications for the Rise of Passive Investing. (2025). Loualiche, Erik ; Huebner, Paul ; Haddad, Valentin. 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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2024Option Pricing Revisited: The Role of Price Volatility and Dynamics. (2024). Wang, Linjie ; Li, Jian ; Chavas, Jean-Paul. In: 2024 Annual Meeting, July 28-30, New Orleans, LA. RePEc:ags:aaea22:343544.

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2024Option Pricing Revisited: The Role of Price Volatility and Dynamics. (2024). Wang, Linjie ; Chavas, Jean-Paul ; Li, Jian. In: 2024 Annual Meeting, July 28-30, New Orleans, LA. RePEc:ags:aaea24:343544.

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2024Asymmetric Models for Realized Covariances. (2024). Bauwens, Luc ; Hafner, Christian ; Dzuverovic, Emilija. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2024022.

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2024Mental Models in Financial Markets: How Do Experts Reason About the Pricing of Climate Risk?. (2024). Zimmermann, Florian ; Bauer, Rob ; Smeets, Paul ; Godker, Katrin. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:319.

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2025Joint News, Attention Spillover,and Market Returns. (2022). Tao, Yubo ; Guo, LI. In: Papers. RePEc:arx:papers:1703.02715.

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2025Deep Reinforcement Learning for Long-Short Portfolio Optimization. (2025). Zhou, Xiaohua ; Song, Qingyang ; Huang, Gang. In: Papers. RePEc:arx:papers:2012.13773.

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

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

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2024Data-Driven Risk Measurement by SV-GARCH-EVT Model. (2024). , Shibo. In: Papers. RePEc:arx:papers:2201.09434.

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2025Common Idiosyncratic Quantile Risk. (2024). Baruník, Jozef ; Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267.

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2025Utility-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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2024Maximally Machine-Learnable Portfolios. (2024). Goulet Coulombe, Philippe ; Goebel, Maximilian. In: Papers. RePEc:arx:papers:2306.05568.

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2024Liquidity Premium, Liquidity-Adjusted Return and Volatility, and Extreme Liquidity. (2024). Deng, QI. In: Papers. RePEc:arx:papers:2306.15807.

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2024Linear Regression with Weak Exogeneity. (2024). Sølvsten, Mikkel ; 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. (2024). Cao, YI ; Polukarov, Maria ; Li, Haochen ; Ventre, Carmine. In: Papers. RePEc:arx:papers:2308.14235.

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

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2024Optimal portfolio under ratio-type periodic evaluation in incomplete markets with stochastic factors. (2024). Yu, Xiang ; Wang, Wenyuan ; Yan, Kaixin. In: Papers. RePEc:arx:papers:2401.14672.

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2024The Carbon Premium: Correlation or Causation? Evidence from S&P 500 Companies. (2024). Nag, Suryadeepto ; Chakrabarty, Siddhartha P ; Basu, Sankarshan ; Sankar, Namasi G. In: Papers. RePEc:arx:papers:2401.16455.

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2025Decomposing Global Bank Network Connectedness: What is Common, Idiosyncratic and When?. (2025). Margaritella, Luca ; Krampe, Jonas. In: Papers. RePEc:arx:papers:2402.02482.

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2024Fast Online Changepoint Detection. (2024). Rossi, Eduardo ; Trapani, Lorenzo ; Ghezzi, Fabrizio. In: Papers. RePEc:arx:papers:2402.04433.

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

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2024Ponzi Funds. (2024). van der Beck, Philippe ; Bouchaud, Jean-Philippe ; Villamaina, Dario. In: Papers. RePEc:arx:papers:2405.12768.

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2024Inefficiencies of Carbon Trading Markets. (2024). Borri, Nicola ; Liu, Yukun ; Wu, XI ; Tsyvinski, Aleh. In: Papers. RePEc:arx:papers:2408.06497.

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2024Model-based and empirical analyses of stochastic fluctuations in economy and finance. (2024). Zadourian, Rubina. In: Papers. RePEc:arx:papers:2408.16010.

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2026Econometric Inference for High Dimensional Predictive Regressions. (2024). Lee, Ji Hyung ; Mei, Ziwei ; Shi, Zhentao ; Gao, Zhan. In: Papers. RePEc:arx:papers:2409.10030.

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2024Persistence-Robust Break Detection in Predictive Quantile and CoVaR Regressions. (2024). Hoga, Yannick. In: Papers. RePEc:arx:papers:2410.05861.

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2024Nickell Meets Stambaugh: A Tale of Two Biases in Panel Predictive Regressions. (2024). Shi, Zhentao ; Mei, Ziwei ; Liao, Chengwang. In: Papers. RePEc:arx:papers:2410.09825.

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2024The green transition of firms: The role of evolutionary competition, adjustment costs, transition risk, and green technology progress. (2024). Westerhoff, Frank ; Radi, Davide. In: Papers. RePEc:arx:papers:2410.20379.

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2025Liquidity Jump, Liquidity Diffusion, and Crypto Wash Trading. (2025). Zhou, Zhong-Guo ; Deng, QI. In: Papers. RePEc:arx:papers:2411.05803.

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2025Analyst Reports and Stock Performance: Evidence from the Chinese Market. (2025). Liang, Jiayou ; Liu, Rui ; Hu, Yujia ; Chen, Haolong. In: Papers. RePEc:arx:papers:2411.08726.

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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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2025Risk-Adjusted Performance of Random Forest Models in High-Frequency Trading. (2025). 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). Hu, Qiao ; Chang, Jinyuan ; Shi, Zhentao ; Zhang, Jia. 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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2025Asymmetry in Distributions of Accumulated Gains and Losses in Stock Returns. (2025). Serota, R A ; Farahani, Hamed. In: Papers. RePEc:arx:papers:2503.24241.

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2025A stochastic volatility approximation for a tick-by-tick price model with mean-field interaction. (2025). Pigato, Paolo ; Pra, Paolo Dai. In: Papers. RePEc:arx:papers:2504.03445.

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2026Diffusion Factor Models: Generating High-Dimensional Returns with Factor Structure. (2025). Zhang, Ruixun ; Xu, Yumin ; Chen, Minshuo. In: Papers. RePEc:arx:papers:2504.06566.

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2025Assessing the Dynamics of the Coffee Value Chain in Davao del Sur: An Agent-Based Modeling Approach. (2025). Fae, Giovanna ; Aila, Novy ; Stephanie, Lucia. In: Papers. RePEc:arx:papers:2505.05797.

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2025The bias of IID resampled backtests for rolling-window mean-variance portfolios. (2025). Paskaramoorthy, Andrew ; van Zyl, Terence ; Gebbie, Tim. In: Papers. RePEc:arx:papers:2505.06383.

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2025Machine learning approach to stock price crash risk. (2025). Karasan, Abdullah ; Weber, Gerhard-Wilhelm ; Alp, Ozge Sezgin. In: Papers. RePEc:arx:papers:2505.16287.

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2025Winners vs. Losers: Momentum-based Strategies with Intertemporal Choice for ESG Portfolios. (2025). Jha, Ayush ; Rachev, Svetlozar T ; Fabozzi, Frank J ; Jaffri, Ali ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:2505.24250.

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2025Green Shields: The Role of ESG in Uncertain Time. (2025). Stasiulaitis, Dominykas ; Kansoy, Fatih. In: Papers. RePEc:arx:papers:2506.02143.

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2025Heterogeneous Exposures to Systematic and Idiosyncratic Risk across Crypto Assets: A Divide-and-Conquer Approach. (2025). Sarafidis, Vasilis ; Fernandez Bariviera, Aurelio ; Aslanidis, Nektarios ; Kapetanios, George. In: Papers. RePEc:arx:papers:2506.21100.

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2025Electricity Market Predictability: Virtues of Machine Learning and Links to the Macroeconomy. (2025). Cai, Jinbo ; Wang, Wenjie ; Li, Wenze. In: Papers. RePEc:arx:papers:2507.07477.

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2025Propensity score with factor loadings: the effect of the Paris Agreement. (2025). Morelli, Giacomo ; Mercatanti, Andrea ; Forino, Angelo. In: Papers. RePEc:arx:papers:2507.08764.

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2025Data Synchronization at High Frequencies. (2025). Kong, Xinbing ; Liu, Cheng ; Wu, Bin. In: Papers. RePEc:arx:papers:2507.12220.

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2025Deep Learning for Short Term Equity Trend Forecasting: A Behavior Driven Multi Factor Approach. (2025). Luan, Yuqi. In: Papers. RePEc:arx:papers:2508.14656.

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2025Variable selection for minimum-variance portfolios. (2025). Moura, Guilherme V ; Torrent, Hudson S. In: Papers. RePEc:arx:papers:2508.14986.

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2025Enhancing Cryptocurrency Sentiment Analysis with Multimodal Features. (2025). Sbai, Erwann ; Wang, Guanghao ; Naha, Ranesh ; Mahanti, Aniket ; Liu, Chenghao. In: Papers. RePEc:arx:papers:2508.15825.

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2025How Big Data Dilutes Cognitive Resources, Interferes with Rational Decision-making and Affects Wealth Distribution ?. (2025). Hu, Yongheng. In: Papers. RePEc:arx:papers:2508.20435.

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2025Rethinking Beta: A Causal Take on CAPM. (2025). Cohen, Naftali. In: Papers. RePEc:arx:papers:2509.05760.

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2025Dynamic Factor Models with Forward-Looking Views. (2025). Abdelhakmi, Anas. In: Papers. RePEc:arx:papers:2509.11528.

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2025Path-dependent, ESG-valued, option pricing in the Bachelier-Black-Scholes-Merton model. (2025). Omotade, Blessing ; Rachev, Svetlozar T ; Lindquist, Brent W ; Nyarko, Nancy Asare ; Divelgama, Bhathiya. In: Papers. RePEc:arx:papers:2509.18099.

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2025Large Language Models and Futures Price Factors in China. (2025). Zhou, Heyang ; Cheng, Yuhan ; Liu, Yanchu. In: Papers. RePEc:arx:papers:2509.23609.

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2025Do Mutual Funds Make Active and Skilled Liquidity Choices in Portfolio Management? Evidence from India. (2025). Agarwal, Pankaj K ; Pradhan, H K ; Saxena, Konark. In: Papers. RePEc:arx:papers:2510.02741.

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2025FR-LUX: Friction-Aware, Regime-Conditioned Policy Optimization for Implementable Portfolio Management. (2025). Zhang, Jian'An. In: Papers. RePEc:arx:papers:2510.02986.

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2025Downside Risk-Aware Equilibria for Strategic Decision-Making. (2025). Slumbers, Oliver ; Ganesh, Sumitra ; Ardon, Leo ; Evans, Benjamin Patrick. In: Papers. RePEc:arx:papers:2510.03446.

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2025Inverse Portfolio Optimization with Synthetic Investor Data: Recovering Risk Preferences under Uncertainty. (2025). Cha, Jinho ; Lee, Jaejin ; Cho, Jaeyoung ; le Hoa, Thi ; Pham, Long. In: Papers. RePEc:arx:papers:2510.06986.

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2025Robust Cauchy-Based Methods for Predictive Regressions. (2025). Ibragimov, Rustam ; Kim, Jihyun ; Skrobotov, Anton. In: Papers. RePEc:arx:papers:2511.09249.

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2025Carbon-Penalised Portfolio Insurance Strategies in a Stochastic Factor Model with Partial Information. (2025). Colaneri, Katia ; Mancinelli, Daniele ; D'Amario, Federico. In: Papers. RePEc:arx:papers:2511.19186.

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2025Statistical Properties of Two Asymmetric Stochastic Volatility in Power Mean Models. (2025). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2546.

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2026Uncertain Climate Policy as a Source of Macro-Financial Shocks: Evidence from Carbon Futures Volatility. (2026). Massimo, Serena Ionta. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp26262.

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2024Analyzing the Day of the Week Effect: A Study on Stock Market Returns. (2024). Adam, Norashikin ; Mohd, Msiti Musliha ; Yussof, Khairunnisa ; Yacob, Norzahidah ; Wan, Wan Rasyidah. In: International Journal of Research and Innovation in Social Science. RePEc:bcp:journl:v:8:y:2024:i:9:p:1843-1853.

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2025Bridging the Climate Finance Gap: Behavioral and Market Barriers to Efficient Climate Risk Pricing in Emerging Economies. (2025). Perveen, Ashi. In: International Journal of Research and Innovation in Social Science. RePEc:bcp:journl:v:9:y:2025:issue-6:p:6392-6426.

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2025Index fund flows and fund distribution channels. (2025). Barahona, Ricardo. In: Working Papers. RePEc:bde:wpaper:2518.

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

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2024Portfolio decarbonisation strategies: questions and suggestions. (2024). Angelini, Paolo. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_840_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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2025Cui prodest? The heterogeneous impact of green bonds on companies ESG score. (2025). Zaghini, Andrea ; Moro, Alessandro. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1499_25.

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2025Pricing of Green Bonds: Greenium Dynamics and the Role of Retail Investors. (2025). Pietsch, Allegra ; Salakhova, Dilyara. In: Working papers. RePEc:bfr:banfra:1010.

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2024PEnvironmental Preferences and Sector Valuations. (2024). Stalla-Bourdillon, Arthur ; Jourde, Tristan. In: Working papers. RePEc:bfr:banfra:964.

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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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2026Mutual Fund Performance: A Review of the Literature. (2026). Puopolo, Giovanni Walter. In: International Journal of Finance. RePEc:bhx:ojtijf:v:11:y:2026:i:1:p:1-13:id:3412.

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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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2024Does Firm‐level Political Uncertainty Affect the Mispricing of Earnings? A Natural Experiment through Government‐to‐business Revolving Door. (2024). Zhu, Zhenmei ; Huang, Haijie ; Lee, Edward ; Lyu, Changjiang. In: Abacus. RePEc:bla:abacus:v:60:y:2024:i:3:p:446-491.

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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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2024The flow‐performance puzzle: Insights from passive and active ETFs. (2024). Yousefi, Hamed ; Najand, Mohammad ; Sun, Licheng. In: Accounting and Finance. RePEc:bla:acctfi:v:64:y:2024:i:4:p:3623-3656.

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2024Can corporate environmental, social, and governance performance influence foreign institutional investors to hold shares? Evidence from China. (2024). Tang, Sha ; Feng, Juzhang ; Zhong, Junhao. 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). Evans, Richard ; Lipson, Marc ; Gilbazo, Javier. In: Financial Management. RePEc:bla:finmgt:v:53:y:2024:i:1:p:3-29.

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2024Corporate insiders’ exploitation of investors’ anchoring bias at the 52‐week high and low. (2024). Lasfer, Meziane ; Ye, Xiaoke. In: The Financial Review. RePEc:bla:finrev:v:59:y:2024:i:2:p:391-432.

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2024Sentiment and the cross‐section of expected stock returns. (2024). Lin, Nanying ; Lu, Lei ; Jacoby, Gady ; Liao, Chi. In: The Financial Review. RePEc:bla:finrev:v:59:y:2024:i:2:p:459-485.

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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 ; Kogan, Leonid ; Chen, Hui. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:2:p:843-902.

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2024A Horizon‐Based Decomposition of Mutual Fund Value Added Using Transactions. (2024). Han, Jungsuk ; Xing, Ran ; Ruan, Hongxun ; van Binsbergen, Jules. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:3:p:1831-1882.

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2024Nonstandard Errors. (2024). Zhang, S. Sarah ; Xiu, Dacheng ; Xia, Shuo ; Wolff, Christian ; Wilhelmsson, Anders ; Walther, Thomas ; Vilkov, Grigory ; Verousis, Thanos ; van Kervel, Vincent ; Tonks, Ian ; Talavera, Oleksandr ; Stefanova, Denitsa ; Sojli, Elvira ; Smales, Lee ; Shachar, Or ; Schwarz, Marco ; Scaillet, Olivier ; Schuerhoff, Norman ; Sarno, Lucio ; Roy, Saurabh ; 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 ; Gehrig, Thomas ; Gerritsen, Dirk ; Frömmel, Michael ; Frijns, Bart ; Foucault, Thierry ; Füllbrunn, Sascha ; Ferrara, Gerardo ; FERROUHI, EL MEHDI ; Eugster, Nicolas ; Dreber, Anna ; Dimpfl, Thomas ; Deev, Oleg ; Deku, Solomon ; Davies, Ryan ; Chernov, Mikhail ; Hurlin, Christophe ; Caporin, Massimiliano ; Brownlees, Christian ; Bos, Charles ; Bohorquez Correa, Santiago ; Alexeev, Vitali ; Aloosh, Arash ; Abudy, Menachem ; Eric, F Y ; Chincarini, Ludwig B ; Capelleblancard, Gunther ; Langlois, Hugues ; Drummond, Philip A ; Marchal, Alexis ; Snksen, Jantje ; Wrampelmeyer, Jan ; Neumeier, Christian ; Comertonforde, Carole ; Bao, LI ; Voigt, Stefan ; Longarela, Iaki Rodrguez ; Zoican, Marius ; Pearson, Neil D ; Klein, Olga ; Hoelscher, Seth A ; Adrian, Tobias ; Pelli, Michele ; Tran, Hai ; Prokopczuk, Marcel ; Yu, Shihao ; Glosten, Lawrence R ; Chordia, Tarun ; Pelster, Matthias ; Dong, Yun Jiang ; Bouri, Elie ; Sokolov, Konstantin ; Moore, David ; Wong, Wingkeung ; Murphy, Dermot ; Colliard, Jeanedouard ; Bakalli, Gaetan ; Vogel, Sebastian ; Rittmannsberger, Thomas ; Zhu, Xingyu S ; Patton, Andrew J ; Hjalmarsson, Erik ; Stberg, Per ; Sankaran, Harikumar ; Prodromou, Tina ; Gomez, Thomas ; Chow, Sheungchi ; Prignon, Christophe ; van Dijk, Mathijs A ; Boschrosa, Ciril ; Sderlind, Paul ; Wolk, Leonard ; Sanford, Anthony ; Lindner, Thomas ; Franus, Tatiana ; Baidoo, Edwin ; Vladimirov, Vladimir ; Riordan, Ryan ; Zhou, Chen ; Patel, Vinay ; Iyer, Subramanian R ; Khomyn, Marta K ; Hibbert, Ann Marie ; Abaddaz, David ; Kassner, Bernhard ; Calamia, Anna ; Sarkar, Asani ; Thimme, Julian ; Press, Oliveralexander ; Gorbenko, Arseny ; Clapham, Benjamin ; Desagre, Christophe ; Bondarenko, Oleg ; Simion, Giorgia ; Muravyev, Dmitriy ; Wipplinger, Evert ; Rzenik, Aleksandra A ; Levin, Vladimir ; Fluhartyjaidee, Jonathan T ; Bach, Amadeus ; Vilhelmsson, Anders ; Rintamki, Paul ; Pascual, Roberto ; Frmmel, Michael ; Khan, Saad A ; Hendershott, Terrence ; Weitzel, Utz ; Lajaunie, Quentin ; Eksi, Asli ; Theissen, Erik ; Prakash, Puneet ; Yang, Antti ; O'Neill, Peter ; Grammig, Joachim ; Mohan, Vijay ; Schertler, Andrea ; Degryse, Hans ; Bogoev, Dimitar ; Sikic, Mario ; Nolte, Sven ; 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In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:3:p:2339-2390.

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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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2024A Multifactor Perspective on Volatility‐Managed Portfolios. (2024). Uppal, Raman ; Martnutrera, Alberto ; Demiguel, Victor. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:6:p:3859-3891.

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2024Statistical inference for GQARCH‐Itô‐jumps model based on the realized range volatility. (2024). Yu, Jin ; Liu, Guangying ; Hao, Hongxia ; Lin, Jin Guan. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:4:p:613-638.

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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). Tanigawa, Yasuhiko ; Saijo, Tatsuyoshi ; Kusakawa, Takao ; Hirota, Shinichi. In: Pacific Economic Review. RePEc:bla:pacecr:v:29:y:2024:i:3:p:354-396.

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2024Testing Predictability in the Presence of Persistent Errors. (2024). Yu, Jun ; Lui, Yiu Lim ; Fei, Yijie. In: Working Papers. RePEc:boa:wpaper:202401.

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2024Preferences for dividends and stock returns around the world. (2024). XIE, Jing ; Zhong, Yuxiang ; Hameed, Allaudeen. In: Working Papers. RePEc:boa:wpaper:202405.

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2024Stock-Picking by Mutual Funds: Evidence from Trading in Family-Controlled Firms. (2024). XIE, Jing. In: Working Papers. RePEc:boa:wpaper:202411.

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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.
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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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This paper has nother version. Agregated cites: 409		paper
1984 A Further Investigation of the Weekend Effect in Stock Returns. In: Journal of Finance.
[Full Text][Citation analysis]		article228
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]		article64
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]		article103
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: 103		paper
1996 On the Predictability of Stock Returns: An Asset-Allocation Perspective. In: Journal of Finance.
[Full Text][Citation analysis]		article350
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: 350		paper
1999Costs of Equity Capital and Model Mispricing In: Journal of Finance.
[Full Text][Citation analysis]		article71
1998Costs of Equity Capital and Model Mispricing.(1998) In: Rodney L. White Center for Financial Research Working Papers.
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This paper has nother version. Agregated cites: 71		paper
1998Costs of Equity Capital and Model Mispricing.(1998) In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 71		paper
1998Costs of Equity Capital and Model Mispricing.(1998) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 71		paper
2001The Equity Premium and Structural Breaks In: Journal of Finance.
[Full Text][Citation analysis]		article158
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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2004Report of the Editor of The Journal of Finance for the Year 2003 In: Journal of Finance.
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2005Report of the Editor of The Journal of Finance for the Year 2004 In: Journal of Finance.
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2006Report of the Editor of The Journal of Finance for the Year 2005 In: Journal of Finance.
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2009Predictive Systems: Living with Imperfect Predictors In: Journal of Finance.
[Full Text][Citation analysis]		article149
2007Predictive Systems: Living with Imperfect Predictors.(2007) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 149		paper
2007Predictive Systems: Living with Imperfect Predictors.(2007) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 149		paper
2008Predictive Systems: Living with Imperfect Predictors.(2008) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 149		paper
2012Are Stocks Really Less Volatile in the Long Run? In: Journal of Finance.
[Full Text][Citation analysis]		article94
2009Are Stocks Really Less Volatile in the Long Run?.(2009) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 94		paper
2009Are Stocks Really Less Volatile in the Long Run?.(2009) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 94		paper
2014Presidential Address: Investment Noise and Trends In: Journal of Finance.
[Full Text][Citation analysis]		article57
2015Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle In: Journal of Finance.
[Full Text][Citation analysis]		article366
2012Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle.(2012) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 366		paper
2017Do Funds Make More When They Trade More? In: Journal of Finance.
[Full Text][Citation analysis]		article57
2014Do Funds Make More When They Trade More?.(2014) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 57		paper
2014Do Funds Make More When They Trade More?.(2014) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 57		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]		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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This paper has nother version. Agregated cites: 1		paper
2019Liquidity Risk After 20 Years In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper15
2019Liquidity Risk After 20 Years.(2019) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 15		paper
2019Liquidity Risk After 20 Years.(2019) In: Critical Finance Review.
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This paper has nother version. Agregated cites: 15		article
2002Liquidity Risk and Expected Stock Returns In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper2066
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: 2066		paper
2010On the Size of the Active Management Industry In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper82
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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This paper has nother version. Agregated cites: 82		article
2014Scale and Skill in Active Management In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper192
2015Scale and skill in active management.(2015) In: Journal of Financial Economics.
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This paper has nother version. Agregated cites: 192		article
2014Scale and Skill in Active Management.(2014) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 192		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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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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This paper has nother version. Agregated cites: 0		paper
2012The short of it: Investor sentiment and anomalies In: Journal of Financial Economics.
[Full Text][Citation analysis]		article690
2011The Short of It: Investor Sentiment and Anomalies.(2011) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 690		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]		article110
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 nother version. Agregated cites: 110		paper
2014The long of it: Odds that investor sentiment spuriously predicts anomaly returns In: Journal of Financial Economics.
[Full Text][Citation analysis]		article74
2012The Long of It: Odds that Investor Sentiment Spuriously Predicts Anomaly Returns.(2012) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 74		paper
2018Absolving beta of volatility’s effects In: Journal of Financial Economics.
[Full Text][Citation analysis]		article46
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]		article232
2019Size and value in China In: Journal of Financial Economics.
[Full Text][Citation analysis]		article217
2018Size and Value in China.(2018) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 217		paper
2022Dissecting green returns In: Journal of Financial Economics.
[Full Text][Citation analysis]		article301
2021Dissecting Green Returns.(2021) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 301		paper
1986Predicting returns in the stock and bond markets In: Journal of Financial Economics.
[Full Text][Citation analysis]		article704
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 nother version. Agregated cites: 704		paper
1987On correlations and inferences about mean-variance efficiency In: Journal of Financial Economics.
[Full Text][Citation analysis]		article50
1987Expected stock returns and volatility In: Journal of Financial Economics.
[Full Text][Citation analysis]		article1710
1988The information in forward rates : Implications for models of the term structure In: Journal of Financial Economics.
[Full Text][Citation analysis]		article112
1997Analyzing investments whose histories differ in length In: Journal of Financial Economics.
[Full Text][Citation analysis]		article68
1996Analyzing Investments Whose Histories Differ in Length.(1996) In: Rodney L. White Center for Financial Research Working Papers.
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1996Analyzing Investments Whose Histories Differ in Length..(1996) In: Rodney L. White Center for Financial Research Working Papers.
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1997Analyzing Investments Whose Histories Differ in Length.(1997) In: NBER Working Papers.
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1999Predictive regressions In: Journal of Financial Economics.
[Full Text][Citation analysis]		article824
1999Predictive Regressions.(1999) In: NBER Technical Working Papers.
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This paper has nother version. Agregated cites: 824		paper
2000Comparing asset pricing models: an investment perspective In: Journal of Financial Economics.
[Full Text][Citation analysis]		article200
1999Comparing Asset Pricing Models: An Investment Perspective.(1999) In: Rodney L. White Center for Financial Research Working Papers.
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1999Comparing Asset Pricing Models: An Investment Perspective.(1999) In: NBER Working Papers.
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1999Comparing Asset Pricing Models: An Investment Perspective.(1999) In: CRSP working papers.
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2002Mutual fund performance and seemingly unrelated assets In: Journal of Financial Economics.
[Full Text][Citation analysis]		article152
Mutual Fund Performance and Seemingly Unrelated Assets.”.() In: CRSP working papers.
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2002Investing in equity mutual funds In: Journal of Financial Economics.
[Full Text][Citation analysis]		article90
Investing in Equity Mutual Funds.() In: CRSP working papers.
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1991Asset returns and intertemporal preferences In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article225
1991Asset Returns and Intertemporal Preferences.(1991) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 225		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.
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This paper has nother 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..(1993) In: Rodney L. White Center for Financial Research Working Papers.
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This paper has nother 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.
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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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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.
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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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This paper has nother version. Agregated cites: 26		article
1988Changing Risk, Changing Risk Premiums, and Dividend Yield Effects In: Rodney L. White Center for Financial Research Working Papers.
[Citation analysis]		paper30
1990Changing Risk, Changing Risk Premiums, and Dividend Yield Effects..(1990) In: The Journal of Business.
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This paper has nother version. Agregated cites: 30		article
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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1989A Mean-Variance Framework for Tests of Asset Pricing Models..(1989) In: The Review of Financial Studies.
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2011Inference about Survivors In: Quarterly Journal of Finance (QJF).
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