Administrative contact: Vicky Batley V.Batley@lse.ac.uk
Asset Pricing
Corporate Finance
Hedge Funds Macroeconomics
The Review of Financial Studies, 2021, in press
Journal of Financial Economics, 134 (1), 192-213.
We decompose the abnormal profits associated with well-known patterns in the cross-section of expected returns into their overnight and intraday...
Historically, low-beta stocks deliver high average returns and low risk relative to high-beta stocks, offering a potentially profitable investment...
We propose a novel measure of arbitrage activity to examine whether arbitrageurs can have a destabilizing effect in the stock market. We apply our...
We show that the level of interest rates determines the magnitude of mispricing at the turn of the tax year, as investors face the trade-off between...
By connecting stocks through common active mutual fund ownership, we forecast cross-sectional variation in return covariance, controlling for...
