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 updated through 2012.
  
• Plot of the aggregate liquidity level.

• "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)