Christopher Polk

London School of Economics

London School of Economics

United Kingdom

http://personal.lse.ac.uk/polk/

SCHOLARLY PAPERS

21

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21,511

SSRN CITATIONS
Rank 1,258

SSRN RANKINGS

Top 1,258

in Total Papers Citations

472

CROSSREF CITATIONS

484

Scholarly Papers (21)

1.

Best Ideas

Number of pages: 50 Posted: 23 Mar 2009 Last Revised: 21 Apr 2021
Miguel Anton, Randolph B. Cohen and Christopher Polk
University of Navarra, IESE Business School, Harvard Business School - Finance Unit and London School of Economics
Downloads 8,274 (806)
Citation 44

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mutual funds, managerial skill, market efficiency

2.

How the Inflation Illusion Killed the CAPM

Number of pages: 29 Posted: 20 May 2004
Randolph B. Cohen, Christopher Polk and Tuomo Vuolteenaho
Harvard Business School - Finance Unit, London School of Economics and Arrowstreet Capital, LP
Downloads 2,000 (9,225)
Citation 1

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Inflation illusion, CAPM, beta

3.
Downloads 1,484 ( 14,840)
Citation 18

The Real Effects of Investor Sentiment

Number of pages: 69 Posted: 30 Nov 2002
Christopher Polk and Paola Sapienza
Downloads 987 (26,975)
Citation 14

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The Real Effects of Investor Sentiment

6th Annual Texas Finance Festival
Number of pages: 61 Posted: 01 Sep 2004
Christopher Polk and Paola Sapienza
Downloads 369 (96,382)
Citation 2

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The Real Effects of Investor Sentiment

NBER Working Paper No. w10563
Number of pages: 62 Posted: 04 Jul 2004
Christopher Polk and Paola Sapienza
Downloads 95 (327,880)

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The Real Effects of Investor Sentiment

Number of pages: 70 Posted: 08 May 2003
Christopher Polk and Paola Sapienza
Downloads 33 (548,507)
Citation 2
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Behavioural finance, investments

4.
Downloads 1,268 ( 18,909)
Citation 52

Financial Constraints and Stock Returns

Number of pages: 54 Posted: 27 Aug 1998
Owen A. Lamont, Christopher Polk and Jesus Saa-Requejo
Harvard University - Department of Economics, London School of Economics and Vega Asset Management LLC
Downloads 1,186 (20,536)
Citation 51

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Financial Constraints and Stock Returns

NBER Working Paper No. w6210
Number of pages: 52 Posted: 29 Aug 2000 Last Revised: 18 Apr 2008
Owen A. Lamont, Christopher Polk and Jesus Saa-Requejo
Harvard University - Department of Economics, London School of Economics and Vega Asset Management LLC
Downloads 82 (359,769)

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Financial Constraints and Stock Returns

Posted: 19 Jul 2000
Owen A. Lamont, Christopher Polk and Jesus Saa-Requejo
Harvard University - Department of Economics, London School of Economics and Vega Asset Management LLC

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Does Diversification Destroy Value? Evidence from Industry Shocks

Number of pages: 43 Posted: 24 Jul 2000
Owen A. Lamont and Christopher Polk
Harvard University - Department of Economics and London School of Economics
Downloads 1,175 (20,850)
Citation 11

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Does Diversification Destroy Value? Evidence from Industry Shocks

NBER Working Paper No. w7803
Number of pages: 42 Posted: 02 May 2011 Last Revised: 29 Apr 2021
Owen A. Lamont and Christopher Polk
Harvard University - Department of Economics and London School of Economics
Downloads 34 (542,946)

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6.

Does Risk or Mispricing Explain the Cross-Section of Stock Prices

AFA 2003 Washington, DC Meetings; EFA 2002 Berlin Meetings Presented Paper, HBS Finance Working Paper No. 03-107
Number of pages: 61 Posted: 02 Mar 2002
Randolph B. Cohen, Christopher Polk and Tuomo Vuolteenaho
Harvard Business School - Finance Unit, London School of Economics and Arrowstreet Capital, LP
Downloads 1,089 (23,732)
Citation 13

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stock prices, present value, book-to-market, variance decomposition, capital asset pricing model, beta, expected returns, return on equity

Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns

Harvard Institute of Economic Research Discussion Paper No. 2082
Number of pages: 50 Posted: 22 Mar 2006
John Y. Campbell, Christopher Polk and Tuomo Vuolteenaho
Harvard University - Department of Economics, London School of Economics and Arrowstreet Capital, LP
Downloads 936 (29,107)
Citation 41

Abstract:

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Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns

NBER Working Paper No. w11389
Number of pages: 49 Posted: 06 Jul 2005 Last Revised: 14 Feb 2021
John Y. Campbell, Christopher Polk and Tuomo Vuolteenaho
Harvard University - Department of Economics, London School of Economics and Arrowstreet Capital, LP
Downloads 90 (339,615)
Citation 9

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Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns

The Review of Financial Studies, Vol. 23, Issue 1, pp. 305-344, 2009
Posted: 25 Jan 2010
John Y. Campbell, Christopher Polk and Tuomo Vuolteenaho
Harvard University - Department of Economics, London School of Economics and Arrowstreet Capital, LP

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G12, G14, N22

8.
Downloads 820 ( 35,518)
Citation 67

An Intertemporal CAPM with Stochastic Volatility

Number of pages: 72 Posted: 15 Mar 2012 Last Revised: 15 Sep 2016
Harvard University - Department of Economics, Yale School of Management, London School of Economics and Harvard University
Downloads 802 (36,061)
Citation 2

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ICAPM, time-varying expected returns, stochastic volatility, value premium

An Intertemporal CAPM with Stochastic Volatility

NBER Working Paper No. w18411
Number of pages: 61 Posted: 22 Sep 2012 Last Revised: 23 Apr 2021
Harvard University - Department of Economics, Yale School of Management, London School of Economics and Harvard University
Downloads 17 (657,474)

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An Intertemporal CAPM with Stochastic Volatility

CEPR Discussion Paper No. DP10681
Number of pages: 62 Posted: 29 Jun 2015
Harvard University - Department of Economics, Yale School of Management, London School of Economics and Dodge & Cox Funds
Downloads 1 (798,118)
Citation 37
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ICAPM, stochastic volatility, time-varying expected returns, value premium

9.
Downloads 814 ( 35,864)
Citation 4

New Forecasts of the Equity Premium

Number of pages: 56 Posted: 10 Jan 2005
London School of Economics, Arrowstreet Capital, L.P. and Arrowstreet Capital, LP
Downloads 755 (39,215)

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risk premium, beta, bias, size, conditional test

New Forecasts of the Equity Premium

NBER Working Paper No. w10406
Number of pages: 57 Posted: 19 Apr 2004 Last Revised: 07 Dec 2020
London School of Economics, Arrowstreet Capital, L.P. and Arrowstreet Capital, LP
Downloads 59 (431,837)

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10.
Downloads 781 ( 37,962)
Citation 28

The Diversification Discount: Cash Flows vs. Returns

Number of pages: 46 Posted: 09 Jan 2000
Owen A. Lamont and Christopher Polk
Harvard University - Department of Economics and London School of Economics
Downloads 740 (40,286)
Citation 1

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The Diversification Discount: Cash Flows vs. Returns

NBER Working Paper No. w7396
Number of pages: 51 Posted: 26 Jun 2000 Last Revised: 19 Mar 2021
Owen A. Lamont and Christopher Polk
Harvard University - Department of Economics and London School of Economics
Downloads 41 (506,994)
Citation 2

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11.
Downloads 712 ( 43,058)
Citation 40

The Price is (Almost) Right

Number of pages: 61 Posted: 06 Mar 2005
Randolph B. Cohen, Christopher Polk and Tuomo Vuolteenaho
Harvard Business School - Finance Unit, London School of Economics and Arrowstreet Capital, LP
Downloads 637 (49,276)
Citation 1

Abstract:

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stock prices, present value, book-to-market, variance decomposition, capital asset pricing model, beta, expected returns, return on equity

The Price is (Almost) Right

NBER Working Paper No. w10131
Number of pages: 61 Posted: 08 Dec 2003 Last Revised: 08 Mar 2021
Randolph B. Cohen, Christopher Polk and Tuomo Vuolteenaho
Harvard Business School - Finance Unit, London School of Economics and Arrowstreet Capital, LP
Downloads 75 (379,459)
Citation 10

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12.

Time-Series Variation in Factor Premia: The Influence of the Business Cycle

Time-Series Variation in Factor Premia: The Influence of the Business Cycle (2020), Polk, C., Haghbin, M., and de Longis, A., Journal F Investment Management, Volume 18, No.1 https://www.joim.com/time-series-variation-in-factor-premia-the-influence-of-the-business-cycle/
Number of pages: 31 Posted: 24 May 2019 Last Revised: 21 Jul 2020
Christopher Polk, Mo Haghbin and Alessio de Longis
London School of Economics, OppenheimerFunds and OppenheimerFunds, Inc.
Downloads 710 (43,314)

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Factor investing, factor rotation, dynamic multifactor, global macro, business cycles, risk premia, factor tilting, factor timing, asset allocation

13.
Downloads 606 ( 53,346)
Citation 21

Hard Times

AFA 2012 Chicago Meetings Paper
Number of pages: 46 Posted: 20 Mar 2011 Last Revised: 24 Dec 2011
John Y. Campbell, Stefano Giglio and Christopher Polk
Harvard University - Department of Economics, Yale School of Management and London School of Economics
Downloads 363 (98,286)

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Hard Times

Chicago Booth Research Paper No. 12-46, Fama-Miller Working Paper
Number of pages: 50 Posted: 13 Sep 2012
John Y. Campbell, Stefano Giglio and Christopher Polk
Harvard University - Department of Economics, Yale School of Management and London School of Economics
Downloads 189 (191,616)
Citation 15

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Hard Times

NBER Working Paper No. w16222
Number of pages: 33 Posted: 26 Jul 2010 Last Revised: 30 Apr 2021
John Y. Campbell, Stefano Giglio and Christopher Polk
Harvard University - Department of Economics, Yale School of Management and London School of Economics
Downloads 54 (450,594)
Citation 5

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14.
Downloads 210 (173,972)

The Value Spread

NBER Working Paper No. w8242
Number of pages: 41 Posted: 20 Apr 2001 Last Revised: 21 Oct 2010
Randolph B. Cohen, Christopher Polk and Tuomo Vuolteenaho
Harvard Business School - Finance Unit, London School of Economics and Arrowstreet Capital, LP
Downloads 210 (173,706)
Citation 21

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The Value Spread

Journal of Finance, Vol. 58, pp. 609-642, April 2003
Posted: 17 Sep 2003
Randolph B. Cohen, Christopher Polk and Tuomo Vuolteenaho
Harvard Business School - Finance Unit, London School of Economics and Arrowstreet Capital, LP

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15.

A Forecast Evaluation of Expected Equity Return Measures

Bank of England Working Paper No. 520
Number of pages: 42 Posted: 17 Jan 2015 Last Revised: 21 Jan 2015
Michael Chin and Christopher Polk
Bank of England and London School of Economics
Downloads 173 (207,122)

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Expected returns, implied cost of capital, dividend discount model, return predictability, forecasting

16.

Putting the Price in Asset Pricing

Number of pages: 68 Posted: 28 Dec 2019 Last Revised: 06 Jan 2021
Thummim Cho and Christopher Polk
London School of Economics & Political Science (LSE) - Department of Finance and London School of Economics
Downloads 171 (209,221)
Citation 4

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price level, long-horizon returns, mispricing metric, stochastic discount factor, CAPM

17.

Money Illusion in the Stock Market: The Modigliani-Cohn Hypothesis

NBER Working Paper No. w11018
Number of pages: 39 Posted: 12 Jan 2005 Last Revised: 08 Feb 2021
Randolph B. Cohen, Christopher Polk and Tuomo Vuolteenaho
Harvard Business School - Finance Unit, London School of Economics and Arrowstreet Capital, LP
Downloads 163 (217,806)
Citation 12

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18.

The Booms and Busts of Beta Arbitrage

CEPR Discussion Paper No. DP11531
Number of pages: 61 Posted: 26 Sep 2016
Shiyang Huang, Dong Lou and Christopher Polk
The University of Hong Kong - Faculty of Business and Economics, London School of Economics & Political Science (LSE) and London School of Economics
Downloads 1 (762,467)
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betting against beta, crowded trades, positive-feedback trading

19.

The Stock Market and Corporate Investment: A Test of Catering Theory

The Review of Financial Studies, Vol. 22, Issue 1, pp. 187-217, 2009
Posted: 03 Jan 2009
Christopher Polk and Paola Sapienza

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G14, G31

20.

Compustat Selection Bias in Tests of the Sharpe-Lintner-Black CAPM

Posted: 05 Jul 1998
Randolph B. Cohen and Christopher Polk
Harvard Business School - Finance Unit and London School of Economics

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21.

An Investigation of the Impact of Industry Factors in Asset-Pricing Tests

WP96-002
Posted: 19 May 1998
Randolph B. Cohen and Christopher Polk
Harvard Business School - Finance Unit and London School of Economics

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