Overview
Robert F. Stambaugh is a financial economist (The Wharton School, University of Pennsylvania) known for work on predictive regressions and small-sample bias ("Stambaugh bias"), liquidity and asset pricing, mispricing factors, and Bayesian portfolio choice. He is a past president of the American Finance Association.
Key Contributions / Features
- Stock returns and volatility (French-Schwert-Stambaugh 1987): co-authored the foundational study of the risk-return tradeoff and volatility feedback (Risk-Return Tradeoff).
- Predictive-regression bias (Stambaugh 1999): the finite-sample bias in return-predictability regressions when the predictor is persistent and its innovations correlate with returns.
- Work on liquidity risk (Pástor-Stambaugh) and mispricing/anomaly factors.
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