What determines the cross-section of betas with respect to a risk factor? The act of arbitrage plays an important role. If the capital of arbitrageurs...

November 2018

DP 780

Thummim Cho

Thummim Cho

Research interests

Publications

Academic journals

Turning alphas into betas: Arbitrage and endogenous risk

Discussion Papers

Turning Alphas into Betas: Arbitrage and the Cross-section of Risk

News

Liliana Varela awarded ERC Starting Grant

Beyond the pandemic: the future of monetary policy - Confere ...

Dimitri Vayanos wins ERC Advanced Grant

Events

Financial regulation when the government goes for growth

Financing Ukraine’s Recovery

Book launch: The Illusion of Control

Seminars

Unmasking mutual fund derivative use

Publications

Assessment of damages to Ukraine’s productive capacity

Liz Truss has an opportunity to fix a critical financial reg ...

Algorithmic Trading and Investment-To-Price Sensitivity