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 2050)

• 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)