Photo of Robert F. Stambaugh

Robert F. Stambaugh

Miller Anderson & Sherrerd Professor of Finance

Research Interests: asset pricing, investments, econometrics

Links: CV, Personal Website

Contact Information

Address: 3251 Steinberg-Dietrich Hall, 3620 Locust Walk, Philadelphia, PA 19104
Email: stambaugh@wharton.upenn.edu
Office: (215) 898-5734

Overview

Robert Stambaugh is the Miller Anderson & Sherrerd Professor of Finance at the Wharton School of the University of Pennsylvania.   He is a Fellow and former President of the American Finance Association, a Fellow of the Financial Management Association, and a Research Associate of the National Bureau of Economic Research.  Professor Stambaugh has been the editor of the Journal of Finance, an editor of the Review of Financial Studies, an associate editor of those journals as well as the Journal of Financial Economics, and a member of the first editorial committee of the Annual Review of Financial Economics.   He has published articles on topics including return predictability, asset pricing tests, portfolio choice, parameter uncertainty, liquidity risk, volatility, performance evaluation, investor sentiment, and active-versus-passive investing.  His research awards include a Smith-Breeden first prize for an article in the Journal of Finance as well as three Fama-DFA second prizes for articles in the Journal of Financial Economics.  Before joining Wharton in 1988, he was Professor of Finance at the University of Chicago, where he received his PhD in 1981.   Professor Stambaugh visited Harvard University as a Marvin Bower Fellow in 1997-98.

Research


  • Robert F. Stambaugh (Working), Investment Noise and Trends.  Abstract
  • Lubos Pastor, Robert F. Stambaugh, Luke Taylor (Under Review), Scale and Skill in Active Management.  Abstract
  • Lubos Pastor, Robert F. Stambaugh (2012), On the Size of the Active Management Industry, Journal of Political Economy
  • Robert F. Stambaugh, Jianfeng Yu, Yu Yuan (2012), The Short of It: Investor Sentiment and Anomalies, Journal of Financial Economics, 288-302.
  • Lubos Pastor, Robert F. Stambaugh (2012), Are Stocks Really Less Volatile in the Long Run?, Journal of Finance, 431-478.
  • Robert F. Stambaugh (2011), Inference About Survivors, Quarterly Journal of Finance, 423-464.
  • Lubos Pastor, Robert F. Stambaugh (2009), Predictive Systems: Living with Imperfect Predictors, Journal of Finance, 1583-1628.  Abstract
  • Christopher Geczy, Robert F. Stambaugh, David Levin (Working), Investing in Socially Responsible Mutual Funds.  Abstract
  • Lubos Pastor, Robert F. Stambaugh (2003), Liquidity Risk and Expected Stock Returns, Journal of Political Economy, 642-685.  Abstract
  • Lubos Pastor, Robert F. Stambaugh (2002), Investing in Equity Mutual Funds, Journal of Financial Economics, 351-380.  Abstract
  • Lubos Pastor, Robert F. Stambaugh (2002), Mutual Fund Performance and Seemingly Unrelated Assets, Journal of Financial Economics, 315-349.  Abstract
  • Lubos Pastor, Robert F. Stambaugh (2001), The Equity Premium and Structural Breaks, Journal of Finance, 1207-1239.  Abstract
  • Lubos Pastor, Robert F. Stambaugh (2000), Comparing Asset Pricing Models: An Investment Perspective, Journal of Financial Economics, 335-381.  Abstract
  • Robert F. Stambaugh (1999), Predictive Regressions, Journal of Financial Economics, 375-421.  Abstract
  • Lubos Pastor, Robert F. Stambaugh (1999), Costs of Equity Capital and Model Mispricing, Journal of Finance, 67-121.  Abstract
  • Robert F. Stambaugh (1997), Analyzing Investments Whose Histories Differ in Length, Journal of Financial Economics, 285-331.  Abstract
  • Shmuel Kandel, Robert F. Stambaugh (1996), On the Predictability of Stock Returns: An Asset-Allocation Perspective, Journal of Finance, 385-424.  Abstract
  • Shmuel Kandel, Robert F. Stambaugh (1995), Portfolio Inefficiency and the Cross-Section of Expected Returns, Journal of Finance, 157-184.  Abstract
  • Shmuel Kandel, Robert McCulloch, Robert F. Stambaugh (1995), Bayesian Inference and Portfolio Efficiency, Review of Financial Studies, 1-53.  Abstract
  • Shmuel Kandel, Robert F. Stambaugh (1991), Asset Returns and Intertemporal Preferences, Journal of Monetary Economics, 39-71.  Abstract
  • Shmuel Kandel, Robert F. Stambaugh (1990), Expectations and Volatility of Consumption and Asset Returns, Review of Financial Studies, 207-232.  Abstract
  • Nai-Fu Chen, Bruce Grundy, Robert F. Stambaugh (1990), Changing Risk, Changing Risk Premiums, and Dividend Yield Effects, Journal of Business, S51-S70.  Abstract
  • Shmuel Kandel, Robert F. Stambaugh (1989), A Mean-Variance Framework for Tests of Asset Pricing Models, Review of Financial Studies, 125-156.  Abstract
  • Robert F. Stambaugh (1988), The Information in Forward Rates: Implications for Models of the Term Structure, Journal of Financial Economics, 41-70.  Abstract
  • Kenneth R. French, G. William Schwert, Robert F. Stambaugh (1987), Expected Stock Returns and Volatility, Journal of Financial Economics, 3-29.  Abstract
  • Wayne E. Ferson, Shmuel Kandel, Robert F. Stambaugh (1987), Tests of Asset Pricing with Time-Varying Expected Risk Premiums and Market Betas, Journal of Finance, 201-220.  Abstract
  • Gur Huberman, Shmuel Kandel, Robert F. Stambaugh (1987), Mimicking Portfolios and Exact Arbitrage Pricing, Journal of Finance, 1-9.  Abstract
  • Shmuel Kandel, Robert F. Stambaugh (1987), On Correlations and Inferences about Mean-Variance Efficiency, Journal of Financial Economics, 61-90.  Abstract
  • Donald B. Keim, Robert F. Stambaugh (1986), Predicting Returns in the Stock and Bond Markets, Journal of Financial Economics, 357-390.    Abstract
  • Donald B. Keim, Robert F. Stambaugh (1984), A Further Investigation of the Weekend Effect in Stock Returns, Journal of Finance, 819-835.    Abstract
  • Robert F. Stambaugh (1983), Arbitrage Pricing with Information, Journal of Financial Economics, 357-369.  Abstract
  • Marshall E. Blume, Robert F. Stambaugh (1983), Biases in Computed Returns: An Application to the Size Effect, Journal of Financial Economics, 387-404.  Abstract
  • Robert F. Stambaugh (1983), Testing the CAPM with Broader Market Indexes: A Problem of Mean Deficiency, Journal of Banking and Finance, 5-16.  Abstract
  • Robert F. Stambaugh (1982), On the Exclusion of Assets from Tests of the Two-Parameter Model: A Sensitivity Analysis, Journal of Financial Economics, 237-268.  Abstract
  • Henri Theil, Robert F. Stambaugh (1977), Inequality and Social Status in Successive Generations, European Economic Review, 125-139.  Abstract

Awards And Honors

  • Marshall E. Blume Prize honorable mention, 2014
  • Fellow of the American Finance Association, 2014
  • Whitebox Advisors first prize, 2012
  • AQR Insight Award honorable mention, 2012
  • Marshall E. Blume Prize honorable mention, 2012
  • Fellow of the Financial Management Association, 2010
  • Goldman Sachs Asset Management Award (Western Finance Association), 2007
  • Moskowitz Prize honorable mention, 2003
  • Geewax-Terker Prize honorable mention, 2002
  • 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
  • Marvin Bower Fellow, Harvard University Graduate School of Business, 1997
  • Smith-Breeden Prize (first-prize paper, Journal of Finance), 1996
  • Batterymarch Fellow, 1985

In The News

Courses

Current

  • FNCE205 - Investment Management

    This course is designed to acquaint the student with the concepts of portfolio analysis in the general area of institutional investment management. The course discusses principles for managing financial assets. These principles apply, for example, to managing corporate pension funds, bank-administered trusts, and other institutional funds. Students will learn how to establish appropriate investment objectives, develop optimal portfolio strategies, estimate risk-return tradeoffs, and evaluate investment performance. Many of the latest quantitative approaches are discussed.

    FNCE205001  ( Syllabus

    FNCE205002  ( Syllabus

  • FNCE720 - Investment Management

    This course is designed to acquaint the student with the concepts of portfolio analysis in the general area of institutional investment management. The course discusses principles for managing financial assets. These principles apply, for example, to managing corporate pension funds, bank-administered trusts, and other institutional funds. Students will learn how to establish appropriate investment objectives, develop optimal portfolio strategies, estimate risk-return tradeoffs, and evaluate investment performance. Many of the latest quantitative approaches are discussed.

    FNCE720001  ( Syllabus

Previous

  • FNCE205 - Investment Management

    This course is designed to acquaint the student with the concepts of portfolio analysis in the general area of institutional investment management. The course discusses principles for managing financial assets. These principles apply, for example, to managing corporate pension funds, bank-administered trusts, and other institutional funds. Students will learn how to establish appropriate investment objectives, develop optimal portfolio strategies, estimate risk-return tradeoffs, and evaluate investment performance. Many of the latest quantitative approaches are discussed.

  • FNCE720 - Investment Management

    This course is designed to acquaint the student with the concepts of portfolio analysis in the general area of institutional investment management. The course discusses principles for managing financial assets. These principles apply, for example, to managing corporate pension funds, bank-administered trusts, and other institutional funds. Students will learn how to establish appropriate investment objectives, develop optimal portfolio strategies, estimate risk-return tradeoffs, and evaluate investment performance. Many of the latest quantitative approaches are discussed.