Details about Christopher Keith Polk

Access statistics for papers by Christopher Keith Polk.

Last updated 2024-08-08. Update your information in the RePEc Author Service.

Short-id: ppo238

Working Papers

2024

1. Putting the price in asset pricing
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library

2023

2. The booms and busts of beta arbitrage
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library
   Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2014)
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2016) View citations (4)
   See also Journal Article The Booms and Busts of Beta Arbitrage, Management Science, INFORMS (2024) (2024)
3. What Drives Booms and Busts in Value?
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)

2022

4. Comomentum: inferring arbitrage activity from return correlations
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (2)
   Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2013)
   See also Journal Article Comomentum: Inferring Arbitrage Activity from Return Correlations, The Review of Financial Studies, Society for Financial Studies (2022) View citations (5) (2022)
5. Ripples into waves: trade networks, economic activity, and asset prices
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (2)
   See also Journal Article Ripples into waves: Trade networks, economic activity, and asset prices, Journal of Financial Economics, Elsevier (2022) View citations (3) (2022)

2019

6. A tug of war: overnight versus intraday expected returns
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (64)
   Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2015)
   See also Journal Article A tug of war: Overnight versus intraday expected returns, Journal of Financial Economics, Elsevier (2019) View citations (67) (2019)

2018

7. An Intertemporal CAPM with stochastic volatility
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (84)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015) View citations (14)
   NBER Working Papers, National Bureau of Economic Research, Inc (2012) View citations (56)
   See also Journal Article An intertemporal CAPM with stochastic volatility, Journal of Financial Economics, Elsevier (2018) View citations (84) (2018)

2015

8. A forecast evaluation of expected equity return measures
   Bank of England working papers, Bank of England View citations (4)

2013

9. Hard Times
   Scholarly Articles, Harvard University Department of Economics View citations (15)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2010) View citations (2)
   See also Journal Article Hard Times, The Review of Asset Pricing Studies, Society for Financial Studies (2013) View citations (7) (2013)

2012

10. New in Town: Demographics, Immigration, and the Price of Real Estate
    Working Papers, HAL

2011

11. Stock prices under pressure: how tax and interest rates drive returns at the turn of the tax year
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (1)
    Also in FMG Discussion Papers, Financial Markets Group (2011) View citations (1)

2010

12. Connected Stocks
    FMG Discussion Papers, Financial Markets Group View citations (2)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2010) View citations (1)
    See also Journal Article Connected Stocks, Journal of Finance, American Finance Association (2014) View citations (13) (2014)
13. Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns
    Scholarly Articles, Harvard University Department of Economics View citations (123)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations (17)
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2005) View citations (7)
    See also Journal Article Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns, The Review of Financial Studies, Society for Financial Studies (2010) View citations (124) (2010)

2008

14. Best ideas
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library

2005

15. Money Illusion in the Stock Market: The Modigliani-Cohn Hypothesis
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (111)
    See also Journal Article Money Illusion in the Stock Market: The Modigliani-Cohn Hypothesis, The Quarterly Journal of Economics, President and Fellows of Harvard College (2005) View citations (116) (2005)

2004

16. New Forecasts of the Equity Premium
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
17. The Real Effects of Investor Sentiment
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (33)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2003) View citations (6)

2003

18. The Price is (Almost) Right
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
    See also Journal Article The Price Is (Almost) Right, Journal of Finance, American Finance Association (2009) View citations (58) (2009)

2001

19. The Value Spread
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (22)
    See also Journal Article The Value Spread, Journal of Finance, American Finance Association (2003) View citations (112) (2003)

2000

20. Does Diversification Destroy Value? Evidence From Industry Shocks
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
    Also in CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago
    See also Journal Article Does diversification destroy value? Evidence from the industry shocks, Journal of Financial Economics, Elsevier (2002) View citations (103) (2002)

1999

21. The Diversification Discount: Cash Flows vs. Returns
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (5)
    Also in CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago View citations (17)

1997

22. Financial Constraints and Stock Returns
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)
    Also in CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago
    See also Journal Article Financial Constraints and Stock Returns, The Review of Financial Studies, Society for Financial Studies (2001) View citations (500) (2001)

Undated

23. Inferring Arbitrage Activity from Return Correlations
    FMG Discussion Papers, Financial Markets Group

Journal Articles

2024

1. Scale or Yield? A Present-Value Identity
   The Review of Financial Studies, 2024, 37, (3), 950-988
2. The Booms and Busts of Beta Arbitrage
   Management Science, 2024, 70, (8), 5367-5385
   See also Working Paper The booms and busts of beta arbitrage, LSE Research Online Documents on Economics (2023) (2023)

2022

3. Comomentum: Inferring Arbitrage Activity from Return Correlations
   The Review of Financial Studies, 2022, 35, (7), 3272-3302 View citations (5)
   See also Working Paper Comomentum: inferring arbitrage activity from return correlations, LSE Research Online Documents on Economics (2022) View citations (2) (2022)
4. Ripples into waves: Trade networks, economic activity, and asset prices
   Journal of Financial Economics, 2022, 145, (1), 217-238 View citations (3)
   See also Working Paper Ripples into waves: trade networks, economic activity, and asset prices, LSE Research Online Documents on Economics (2022) View citations (2) (2022)

2019

5. A tug of war: Overnight versus intraday expected returns
   Journal of Financial Economics, 2019, 134, (1), 192-213 View citations (67)
   See also Working Paper A tug of war: overnight versus intraday expected returns, LSE Research Online Documents on Economics (2019) View citations (64) (2019)

2018

6. An intertemporal CAPM with stochastic volatility
   Journal of Financial Economics, 2018, 128, (2), 207-233 View citations (84)
   See also Working Paper An Intertemporal CAPM with stochastic volatility, LSE Research Online Documents on Economics (2018) View citations (84) (2018)

2014

7. Connected Stocks
   Journal of Finance, 2014, 69, (3), 1099-1127 View citations (13)
   See also Working Paper Connected Stocks, FMG Discussion Papers (2010) View citations (2) (2010)

2013

8. Hard Times
   The Review of Asset Pricing Studies, 2013, 3, (1), 95-132 View citations (7)
   See also Working Paper Hard Times, Scholarly Articles (2013) View citations (15) (2013)
9. Predicting asset prices
   Nature, 2013, 504, (7478), 97-97

2010

10. Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns
    The Review of Financial Studies, 2010, 23, (1), 305-344 View citations (124)
    Also in Proceedings, 2005 (2005) View citations (6)
    See also Working Paper Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns, Scholarly Articles (2010) View citations (123) (2010)

2009

11. The Price Is (Almost) Right
    Journal of Finance, 2009, 64, (6), 2739-2782 View citations (58)
    See also Working Paper The Price is (Almost) Right, NBER Working Papers (2003) View citations (6) (2003)
12. The Stock Market and Corporate Investment: A Test of Catering Theory
    The Review of Financial Studies, 2009, 22, (1), 187-217 View citations (179)

2006

13. Cross-sectional forecasts of the equity premium
    Journal of Financial Economics, 2006, 81, (1), 101-141 View citations (91)

2005

14. Money Illusion in the Stock Market: The Modigliani-Cohn Hypothesis
    The Quarterly Journal of Economics, 2005, 120, (2), 639-668 View citations (116)
    See also Working Paper Money Illusion in the Stock Market: The Modigliani-Cohn Hypothesis, NBER Working Papers (2005) View citations (111) (2005)
15. Stock returns and expected business conditions: half a century of direct evidence
    Proceedings, 2005 View citations (6)

2003

16. The Value Spread
    Journal of Finance, 2003, 58, (2), 609-641 View citations (112)
    See also Working Paper The Value Spread, NBER Working Papers (2001) View citations (22) (2001)

2002

17. Does diversification destroy value? Evidence from the industry shocks
    Journal of Financial Economics, 2002, 63, (1), 51-77 View citations (103)
    See also Working Paper Does Diversification Destroy Value? Evidence From Industry Shocks, NBER Working Papers (2000) View citations (4) (2000)

2001

18. Financial Constraints and Stock Returns
    The Review of Financial Studies, 2001, 14, (2), 529-54 View citations (500)
    See also Working Paper Financial Constraints and Stock Returns, NBER Working Papers (1997) View citations (3) (1997)
19. The Diversification Discount: Cash Flows Versus Returns
    Journal of Finance, 2001, 56, (5), 1693-1721 View citations (66)

Editor

1. FMG Discussion Papers
   Financial Markets Group