Robert F. Stambaugh

• entry in Wharton Guide to Faculty
• curriculum vitae

• program and description
• some filled-in input forms for the optimization program, used as examples in Investment Management (Finance 205/720)

• Pastor-Stambaugh liquidity series
  
• Plot of the aggregate liquidity level.
  
  
• Stambaugh and Yuan "Mispricing Factors" data (1/1963 - 12/2016):
  • monthly factors
  • daily factors
  • 11 anomaly returns
  
  
• Stambaugh,Yu, and Yuan mispricing measures for individual stocks (7/1965 - 12/2016), documentation
  
  
• Liu, Stambaugh and Yuan "Size and Value in China":
  • CH-3 factors, monthly, updated
  • CH-3 factors, daily (through 2021)
  • CH-4 factors, monthly (through 2021)
  • CH-4 factors, daily (through 2021)
  • Online Appendix (data items and WIND mappings)
  
  
  

• "Sustainable Investing in Equilibrium", with Lubos Pastor and Luke Taylor
  
  
• "Liquidity Risk After 20 Years", with Lubos Pastor
  
  
• "Skill and Profit in Active Management"
  
  
• "Size and Value in China", with Jianan Liu and Yu Yuan
  
  
• "Fund Tradeoffs", with Lubos Pastor and Luke Taylor
  
  
• "Noisy Active Management"
  
  
• "Anomalies Abroad: Beyond Data Mining", with Xiaomeng Lu and Yu Yuan
  
  
• "Absolving Beta of Volatility's Effects", with Jianan Liu and Yu Yuan
  
  
• "Do Funds Make More When They Trade More?", with Lubos Pastor and Luke Taylor
  
  
• "Mispricing Factors", with Yu Yuan
  
  
• "Scale and Skill in Active Management", with Lubos Pastor and Luke Taylor
  
  
• "Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle", with Jianfeng Yu and Yu Yuan
  
  
• "On the Size of the Active Management Industry", with Lubos Pastor
  
  
• "The Short of It: Investor Sentiment and Anomalies", with Jianfeng Yu and Yu Yuan
  
  
• "Inference about Survivors"
  
  
• "Are Stocks Really Less Volatile in the Long Run?", with Lubos Pastor; Technical Appendix available
  
  
• "Predictive Systems: Living with Imperfect Predictors", with Lubos Pastor; Technical Appendix available
  
  
• "Investing in Socially Responsible Mutual Funds", with Christopher C. Geczy and David Levin
  
  
• "Long-Horizon Returns and Short-Horizon Models" (1987), with Shmuel Kandel
  
  
• "Bias in Regressions with Lagged Stochastic Regressors" (1986)