Robert F. Stambaugh

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Robert F. Stambaugh
RobertStambaugh.PNG
Nationality American
Alma mater University of Chicago
Occupation Miller Anderson & Sherrerd Professor of Finance
Years active Since 2008
Organization Wharton School, Univ. of PA
Website Home page at Wharton

Robert F. Stambaugh is the Miller Anderson & Sherrerd Professor of Finance at the Wharton School of the University of Pennsylvania. He has published articles on topics including return predictability, asset pricing tests, portfolio choice, parameter uncertainty, liquidity risk, volatility, performance evaluation, and investor sentiment.

Papers

Stambaugh has co-authored numerous award winning papers.[1][2][3][4][5]

Year Award Study
2013 Marshall Blume Prize (honorable mention) Scale and Skill in Active Management[6][note 1]
2011 Marshall Blume Prize (honorable mention) The Short of It: Investor Sentiment and Anomalies[7][note 2]
2002 Marshall Blume Prize (honorable mention) Mutual Fund Performance and Seemingly Unrelated Assets[8][note 3]
1999 Fama-DFA Prize (second-place) Predictive regressions[9]
1997 Fama-DFA Prize (second-place) Analyzing investments whose histories differ in length[10]
1996 Smith-Breeden Prize On the Predictability of Stock Returns: An Asset-Allocation Perspective[11]

Additional awards include:

  • Whitebox Advisors first prize, 2012?[12] for “Are Stocks Really Less Volatile in the Long Run?”.[13]
  • Goldman Sachs Asset Management Award (Western Finance Association), 2007[14] for “Predictive Systems: Living with Imperfect Predictors”.[15]
  • Moskowitz Prize[16] honorable mention, 2003 for "Investing In Socially Responsible Mutual Funds".[17]

See also

Notes

  1. Stambaugh also won the 2014 Best Paper, Jacobs Levy Equity Management Center for Quantitative Financial Research award (best paper) for "Scale and Skill in Active Management".
  2. Stambaugh also won the 2012 AQR Insight Award (honorable mention) for "The Short of It: Investor Sentiment and Anomalies".
  3. Stambaugh also won the 2002 Fama-DFA Prize (second-place paper) for "Mutual Fund Performance and Seemingly Unrelated Assets".

References

  1. "Marshall Blume Prizes". Rodney L. White Center (Wharton). http://rodneywhitecenter.wharton.upenn.edu/past-marshall-blume-prizes/. Retrieved December 19, 2015.
  2. "Jensen and Fama-DFA Prizes". Journal of Financial Economics. http://jfe.rochester.edu/winners.htm. Retrieved December 17, 2015.
  3. "Amundi Smith Breeden Prizes". American Finance Association. http://www.afajof.org/details/page/2870731/Prizes.html. Retrieved December 17, 2015.
  4. "AQR Insight Award". https://www.aqr.com/who-we-are/insight-award. Retrieved December 19, 2015.
  5. "Research Paper Prizes". http://jacobslevycenter.wharton.upenn.edu/research-papers/paper-prizes/. Retrieved December 19, 2015.
  6. Pastor, Lubos; Stambaugh, Robert F.; Taylor, Lucian A. (2013). Scale and Skill in Active ManagementReturns. Journal of Financial Economics. North-Holland. pp. 23-45. https://scholar.google.com/citations?view_op=view_citation&hl=en&user=1MK2_tMAAAAJ&sortby=pubdate&citation_for_view=1MK2_tMAAAAJ:_kc_bZDykSQC.
  7. Stambaugh, Robert F.; Yu, Jianfeng; Yuan, Yu. The Short of It: Investor Sentiment and Anomalies. Journal of Financial Economics. North-Holland. pp. 288-302.
  8. Pastor, Lubos; Stambaugh, Robert F. (2002). Mutual Fund Performance and Seemingly Unrelated Assets. Journal of Financial Economics. pp. 315-349. https://scholar.google.com/citations?view_op=view_citation&hl=en&user=1MK2_tMAAAAJ&cstart=20&sortby=pubdate&citation_for_view=1MK2_tMAAAAJ:Tyk-4Ss8FVUC.
  9. Stambaugh, Robert F. (1999). Predictive regressions. Journal of Financial Economics. North-Holland. pp. 375-421. https://scholar.google.com/citations?view_op=view_citation&hl=en&user=1MK2_tMAAAAJ&citation_for_view=1MK2_tMAAAAJ:9yKSN-GCB0IC.
  10. Stambaugh, Robert F. (1997). Analyzing investments whose histories differ in length. Journal of Financial Economics. North-Holland. pp. 285-331. https://scholar.google.com/citations?view_op=view_citation&hl=en&user=1MK2_tMAAAAJ&cstart=20&pagesize=80&sortby=pubdate&citation_for_view=1MK2_tMAAAAJ:8k81kl-MbHgC.
  11. Kandel, Shmuel; Stambaugh, Robert F. (1996). On the Predictability of Stock Returns: An Asset-Allocation Perspective. National Bureau of Economic Research. https://scholar.google.com/citations?view_op=view_citation&hl=en&user=1MK2_tMAAAAJ&citation_for_view=1MK2_tMAAAAJ:UeHWp8X0CEIC.
  12. "Whitebox Advisors Awards $25k Prize for Best Financial Research of the Year". PR Newswire. http://www.prnewswire.com/news-releases/whitebox-advisors-awards-25k-prize-for-best-financial-research-of-the-year-159605995.html. Retrieved December 18, 2012.
  13. Pastor, Lubos; Stambaugh, Robert F (2012). "Are Stocks Really Less Volatile in the Long Run?”". Journal of Finance. pp. 431-478. https://scholar.google.com/citations?view_op=view_citation&hl=en&user=1MK2_tMAAAAJ&sortby=pubdate&citation_for_view=1MK2_tMAAAAJ:kNdYIx-mwKoC..
  14. "Professor Lubos Pastor Receives 2007 Goldman Sachs Asset Management Award". University of Chicago. http://www.chicagobooth.edu/about/newsroom/press-releases/2007/2007-07-05. Retrieved December 18, 2015.
  15. Pastor, Lubos; Stambaugh, Robert F. (2009). Predictive Systems: Living with Imperfect Predictors. The Journal of Finance. Blackwell Publishing Inc.. pp. 1583-1628. https://scholar.google.com/citations?view_op=view_citation&hl=en&user=1MK2_tMAAAAJ&sortby=pubdate&citation_for_view=1MK2_tMAAAAJ:0EnyYjriUFMC.
  16. "Moskowitz Prize Winners". https://responsiblebusiness.haas.berkeley.edu/programs/moskowitzprizewinners.html. Retrieved December 19, 2015.
  17. Geczy, Christopher; Stambaugh, Robert F.; Levin (2005). Investing in Socially Responsible Mutual Funds. SSRN. http://ssrn.com/abstract=416380.

External links