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

Dimitri Vayanos wins ERC Advanced Grant

A short explanation of socially-responsible finance, with Ma ...

Events

An Institutional Theory of the Firm

Secular Stagnation or Secular Stagflation

Finance Theory Group - 5th Summer Meeting

Seminars

Speculator Spreading Pressure and the Commodity Futures Risk ...

Publications

Some Evidence of Regulatory Convergence

Delegation Chains

Bond Funds and Credit Risk