Publications of Christopher Polk

We propose a loglinear present-value identity in which investment ("scale"), profitability ("yield"), and discount rates determine a firm’s market-to...

We propose a novel way to estimate a portfolio’s abnormal price, the percentage gap between price and the present value of dividends computed with a...

We study dynamic portfolio choice in a calibrated equilibrium model where value and momentum anomalies arise because capital slowly moves from under-...

Journal of Financial Economics, 145(1), 217-238

The Review of Financial Studies, 35(7), 3272–3302

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...

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...

This paper provides powerful evidence that mutual fund managers can pick stocks that outperform the market. Many have argued that the inability of...