Robert F. Stambaugh

33.8k total citations · 15 hit papers
92 papers, 21.8k citations indexed

About

Robert F. Stambaugh is a scholar working on Finance, Economics and Econometrics and Accounting. According to data from OpenAlex, Robert F. Stambaugh has authored 92 papers receiving a total of 21.8k indexed citations (citations by other indexed papers that have themselves been cited), including 82 papers in Finance, 53 papers in Economics and Econometrics and 32 papers in Accounting. Recurrent topics in Robert F. Stambaugh's work include Financial Markets and Investment Strategies (81 papers), Housing Market and Economics (24 papers) and Monetary Policy and Economic Impact (21 papers). Robert F. Stambaugh is often cited by papers focused on Financial Markets and Investment Strategies (81 papers), Housing Market and Economics (24 papers) and Monetary Policy and Economic Impact (21 papers). Robert F. Stambaugh collaborates with scholars based in United States, United Kingdom and China. Robert F. Stambaugh's co-authors include Ľuboš Pástor, Yu Yuan, Donald B. Keim, Kenneth R. French, G. William Schwert, Shmuel Kandel, Lucian A. Taylor, Jianfeng Yu, Marshall E. Blume and Yu Yuan and has published in prestigious journals such as The Journal of Finance, Journal of Financial Economics and Journal of Political Economy.

In The Last Decade

Robert F. Stambaugh

88 papers receiving 20.1k citations

Hit Papers

Liquidity Risk and Expected Stock Returns 1983 2026 1997 2011 2003 1987 1986 2011 1999 1000 2.0k 3.0k
What are hit papers?

Hit papers significantly outperform the citation benchmark for their cohort. A paper qualifies if it has ≥500 total citations, achieves ≥1.5× the top-1% citation threshold for papers in the same subfield and year (this is the minimum needed to enter the top 1%, not the average within it), or reaches the top citation threshold in at least one of its specific research topics.

  1. Liquidity Risk and Expected Stock Returns
    2003 3.8k citations Ľuboš Pástor, Robert F. Stambaugh profile →
  2. Expected stock returns and volatility
    1987 3.0k citations Kenneth R. French, G. William Schwert et al. Journal of Financial Economics profile →
  3. Predicting returns in the stock and bond markets
    1986 1.3k citations Robert F. Stambaugh et al. Journal of Financial Economics profile →
  4. The short of it: Investor sentiment and anomalies
    2011 1.3k citations Robert F. Stambaugh, Yu Yuan et al. Journal of Financial Economics profile →
  5. Predictive regressions
    1999 1.2k citations Robert F. Stambaugh Journal of Financial Economics profile →
  6. Sustainable investing in equilibrium
    2020 1.1k citations Ľuboš Pástor, Robert F. Stambaugh et al. Journal of Financial Economics profile →
  7. Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle
    2015 667 citations Robert F. Stambaugh, Yu Yuan et al. The Journal of Finance profile →
  8. Biases in computed returns
    1983 646 citations Robert F. Stambaugh et al. Journal of Financial Economics profile →
  9. Liquidity Risk and Expected Stock Returns
    2001 646 citations Ľuboš Pástor, Robert F. Stambaugh SSRN Electronic Journal profile →
  10. A Further Investigation of the Weekend Effect in Stock Returns
    1984 585 citations Robert F. Stambaugh et al. The Journal of Finance profile →
  11. On the Predictability of Stock Returns: An Asset‐Allocation Perspective
    1996 538 citations Shmuel Kandel, Robert F. Stambaugh The Journal of Finance profile →
  12. Mispricing Factors
    2016 518 citations Robert F. Stambaugh, Yu Yuan profile →
  13. Dissecting green returns
    2022 507 citations Ľuboš Pástor, Robert F. Stambaugh et al. Journal of Financial Economics profile →
  14. Size and value in China
    2019 474 citations Robert F. Stambaugh et al. Journal of Financial Economics profile →
  15. Scale and skill in active management
    2014 323 citations Ľuboš Pástor, Robert F. Stambaugh et al. Journal of Financial Economics profile →

Peers — A (Enhanced Table)

Peers by citation overlap · career bar shows stage (early→late) cites · hero ref

Name h Career Trend Papers Cites
Robert F. Stambaugh United States 47 19.3k 12.2k 7.7k 3.9k 2.5k 92 21.8k
Ľuboš Pástor United States 42 12.3k 0.6× 9.3k 0.8× 7.2k 0.9× 2.9k 0.7× 2.6k 1.1× 92 16.7k
Jeffrey Wurgler United States 33 12.7k 0.7× 7.3k 0.6× 10.9k 1.4× 1.3k 0.3× 3.1k 1.3× 72 17.4k
Narasimhan Jegadeesh United States 44 19.1k 1.0× 9.7k 0.8× 11.7k 1.5× 1.9k 0.5× 2.6k 1.1× 92 21.6k
Yakov Amihud United States 46 16.8k 0.9× 8.4k 0.7× 13.2k 1.7× 1.8k 0.5× 3.5k 1.4× 123 21.7k
G. William Schwert United States 41 13.1k 0.7× 11.5k 0.9× 6.6k 0.9× 5.5k 1.4× 2.0k 0.8× 67 19.4k
Josef Lakonishok United States 55 15.8k 0.8× 8.3k 0.7× 11.7k 1.5× 1.8k 0.5× 3.6k 1.5× 94 19.6k
Lawrence R. Glosten United States 21 13.9k 0.7× 10.2k 0.8× 4.9k 0.6× 3.4k 0.9× 1.0k 0.4× 38 16.6k
Andrew Ang United States 42 14.0k 0.7× 9.5k 0.8× 3.8k 0.5× 4.7k 1.2× 1.2k 0.5× 157 16.4k
Harrison Hong United States 44 11.4k 0.6× 7.1k 0.6× 9.9k 1.3× 1.2k 0.3× 3.0k 1.2× 111 16.6k
Mark M. Carhart United States 9 12.5k 0.6× 6.2k 0.5× 8.8k 1.1× 1.1k 0.3× 2.2k 0.9× 10 14.5k

Countries citing papers authored by Robert F. Stambaugh

Since Specialization
Citations

This map shows the geographic impact of Robert F. Stambaugh's research. It shows the number of citations coming from papers published by authors working in each country. You can also color the map by specialization and compare the number of citations received by Robert F. Stambaugh with the expected number of citations based on a country's size and research output (numbers larger than one mean the country cites Robert F. Stambaugh more than expected).

Fields of papers citing papers by Robert F. Stambaugh

Since Specialization
Physical SciencesHealth SciencesLife SciencesSocial Sciences

This network shows the impact of papers produced by Robert F. Stambaugh. Nodes represent research fields, and links connect fields that are likely to share authors. Colored nodes show fields that tend to cite the papers produced by Robert F. Stambaugh. The network helps show where Robert F. Stambaugh may publish in the future.

Co-authorship network of co-authors of Robert F. Stambaugh

This figure shows the co-authorship network connecting the top 25 collaborators of Robert F. Stambaugh. A scholar is included among the top collaborators of Robert F. Stambaugh based on the total number of citations received by their joint publications. Widths of edges represent the number of papers authors have co-authored together. Node borders signify the number of papers an author published with Robert F. Stambaugh. Robert F. Stambaugh is excluded from the visualization to improve readability, since they are connected to all nodes in the network.

All Works

20 of 20 papers shown
1.
Pástor, Ľuboš, Robert F. Stambaugh, & Lucian A. Taylor. (2021). Dissecting Green Returns. SSRN Electronic Journal. 3 indexed citations
2.
Pástor, Ľuboš, Robert F. Stambaugh, & Lucian A. Taylor. (2020). Sustainable investing in equilibrium. Journal of Financial Economics. 142(2). 550–571. 1097 indexed citations breakdown →
3.
Pástor, Ľuboš, Robert F. Stambaugh, & Lucian A. Taylor. (2019). Sustainable Investing in Equilibrium. SSRN Electronic Journal. 17 indexed citations
4.
Stambaugh, Robert F.. (2017). Noisy Active Management. SSRN Electronic Journal. 1 indexed citations
5.
Pástor, Ľuboš, Robert F. Stambaugh, & Lucian A. Taylor. (2017). Do Funds Make More When They Trade More?. The Journal of Finance. 72(4). 1483–1528. 131 indexed citations
6.
Stambaugh, Robert F., et al.. (2016). Absolving Beta of Volatility's Effects. SSRN Electronic Journal. 1 indexed citations
7.
Pástor, Ľuboš, Robert F. Stambaugh, & Lucian A. Taylor. (2014). Scale and Skill in Active Management. SSRN Electronic Journal. 3 indexed citations
8.
Pástor, Ľuboš, Robert F. Stambaugh, & Lucian A. Taylor. (2014). Scale and skill in active management. Journal of Financial Economics. 116(1). 23–45. 323 indexed citations breakdown →
9.
Pástor, Ľuboš & Robert F. Stambaugh. (2009). Predictive Systems: Living with Imperfect Predictors. The Journal of Finance. 64(4). 1583–1628. 205 indexed citations
10.
Pástor, Ľuboš & Robert F. Stambaugh. (2003). Liquidity Risk and Expect Stock Returns. SSRN Electronic Journal. 16 indexed citations
11.
Géczy, Christopher, Robert F. Stambaugh, & David Michael Levin. (2003). Investing in Socially Responsible Mutual Funds. SSRN Electronic Journal. 259 indexed citations
12.
Pástor, Ľuboš & Robert F. Stambaugh. (2002). Mutual fund performance and seemingly unrelated assets. Journal of Financial Economics. 63(3). 315–349. 306 indexed citations
13.
Kandel, Shmuel & Robert F. Stambaugh. (1995). Portfolio Inefficiency and the Cross-Section of Expected Returns. The Journal of Finance. 50(1). 157–157. 39 indexed citations
14.
French, Kenneth R., G. William Schwert, & Robert F. Stambaugh. (1987). Expected stock returns and volatility. Journal of Financial Economics. 19(1). 3–29. 3045 indexed citations breakdown →
15.
Huberman, Gur, Shmuel Kandel, & Robert F. Stambaugh. (1987). Mimicking Portfolios and Exact Arbitrage Pricing. The Journal of Finance. 42(1). 1–1. 43 indexed citations
16.
Huberman, Gur, Shmuel Kandel, & Robert F. Stambaugh. (1987). Mimicking Portfolios and Exact Arbitrage Pricing. The Journal of Finance. 42(1). 1–9. 149 indexed citations
17.
Stambaugh, Robert F.. (1986). DISCUSSION. The Journal of Finance. 41(3). 601–602. 3 indexed citations
18.
Stambaugh, Robert F.. (1986). Does the Stock Market Rationally Reflect Fundamental Values?: Discussion. The Journal of Finance. 41(3). 601–601. 8 indexed citations
19.
Stambaugh, Robert F.. (1983). Testing the CAPM with broader market indexes. Journal of Banking & Finance. 7(1). 5–16. 6 indexed citations
20.
Stambaugh, Robert F.. (1981). Missing assets, measuring the market, and testing the capital asset pricing model. 11 indexed citations

Rankless uses publication and citation data sourced from OpenAlex, an open and comprehensive bibliographic database. While OpenAlex provides broad and valuable coverage of the global research landscape, it—like all bibliographic datasets—has inherent limitations. These include incomplete records, variations in author disambiguation, differences in journal indexing, and delays in data updates. As a result, some metrics and network relationships displayed in Rankless may not fully capture the entirety of a scholar's output or impact.

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