Photo of Robert F. Stambaugh

Robert F. Stambaugh

Miller Anderson & Sherrerd Professor of Finance

Research Interests: asset pricing, investments, econometrics

Links: CV, Personal Website


  • 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
  • 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