Christopher Polk

The Review of Financial Studies, 2021, in press

Journal of Financial Economics, 2021, in press

Journal of Financial Economics, 134 (1), 192-213.

Journal of Financial Economics, 128 (2), 207-233

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...

The Journal of Finance, 69 (3). pp. 1099-1127. 

We propose a novel measure of arbitrage activity to examine whether arbitrageurs can have a destabilizing effect in the stock market. We apply our...