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Department of Finance, LSE
Professor of Finance
Tel
+44 (0)20 7955 4917
Email
Christopher Polk
Finance Faculty
Publications
Ripples into waves: Trade networks, economic activity, and asset prices
Journal of Financial Economics, 145(1), 217-238
Comomentum: Inferring Arbitrage Activity from Return Correlations
The Review of Financial Studies, 35(7), 3272–3302
A tug of war: Overnight versus intraday expected returns
Journal of Financial Economics, 134 (1), 192-213.
A Tug of War: Overnight Versus Intraday Expected Returns
We decompose the abnormal profits associated with well-known patterns in the cross-section of expected returns into their overnight and intraday...
DP 744
The Booms and Busts of Beta Arbitrage
Historically, low-beta stocks deliver high average returns and low risk relative to high-beta stocks, offering a potentially profitable investment...
DP 743
Comomentum: Inferring Arbitrage Activity from Return Correlations
We propose a novel measure of arbitrage activity to examine whether arbitrageurs can have a destabilizing effect in the stock market. We apply our...
DP 721
