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Robert F. Stambaugh
Miller Anderson & Sherrerd Professor of Finance


Education

Ph.D., University of Chicago, 1981; MBA, University of Chicago, 1976; BA, Dickinson College, 1974.

Academic Positions Held

Wharton: Miller Anderson & Sherrerd Professor of Finance, 2008-present; Ronald O. Perelman Professor of Finance, 1989-2008; Donaldson, Lufkin & Jenrette Term Professor of Finance, 1988-89; Assistant Professor of Finance, 1981-83; Lecturer in Finance, 1979-81. Previous appointment: University of Chicago. Visiting appointment: Harvard University.

Other Positions

Research Associate, National Bureau of Economic Research, 1990-present; Financial Analyst, Ford Motor Company, 1976-77.

Professional Leadership, 2005-2009

Editor, Journal of Finance, 2003-2006; Editorial Committee, Annual Review of Financial Economics, 2007-present.

See also personal home page.

Publications
Lubos Pastor, Robert F. Stambaugh (2009), Predictive Systems: Living with Imperfect Predictors, Journal of Finance, 1583-1628
Lubos Pastor, Robert F. Stambaugh (2003), Liquidity Risk and Expected Stock Returns, Journal of Political Economy, 642-685
Lubos Pastor, Robert F. Stambaugh (2002), Investing in Equity Mutual Funds, Journal of Financial Economics, 351-380
Lubos Pastor, Robert F. Stambaugh (2002), Mutual Fund Performance and Seemingly Unrelated Assets, Journal of Financial Economics, 315-349
Lubos Pastor, Robert F. Stambaugh (2001), The Equity Premium and Structural Breaks, Journal of Finance, 1207-1239

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Current Research
Robert F. Stambaugh, Jianfeng Yu, Yu Yuan 2010, The Short of It: Investor Sentiment and Anomalies
Lubos Pastor, Robert F. Stambaugh 2010, On the Size of the Active Management Industry
Lubos Pastor, Robert F. Stambaugh 2009, Are Stocks Really Less Volatile in the Long Run?
Christopher Geczy, Robert F. Stambaugh, David Levin 2005, Investing in Socially Responsible Mutual Funds
Robert F. Stambaugh 2003, Inference about Survivors

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In The News
For Older Investors, Old Rules May Not Apply, New York Times, 06/19/2009, Robert F. Stambaugh
Now the Long Run Looks Riskier, Too, New York Times, 03/28/2009, Robert F. Stambaugh
Yes, History Has Much to Say About This Market, New York Times, 12/27/2008, Robert F. Stambaugh

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Honors And Awards
Fellow of the Financial Management Association, 2010
Goldman Sachs Asset Management Award (Western Finance Association), 2007
Fama-DFA Prize (second-place paper, Journal of Financial Economics), 2002
Fama-DFA Prize (second-place paper, Journal of Financial Economics), 1999
Fama-DFA Prize (second-place paper, Journal of Financial Economics), 1997

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Stambaugh F. Robert
Robert F. Stambaugh
 3251 Steinberg-Dietrich Hall
3620 Locust Walk
Philadelphia, PA 19104
Phone: (215) 898-5734
stambaugh@wharton.upenn.edu

Research Interests:
Asset pricing; portfolio theory; econometrics