Christopher Polk

London School of Economics

London School of Economics

United Kingdom

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

SCHOLARLY PAPERS

22

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Top 1,747

in Total Papers Downloads

21,840

SSRN CITATIONS
Rank 1,235

SSRN RANKINGS

Top 1,235

in Total Papers Citations

501

CROSSREF CITATIONS

489

Scholarly Papers (22)

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 8,392 (812)
Citation 44

Abstract:

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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 2,007 (9,452)
Citation 1

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Inflation illusion, CAPM, beta

3.
Downloads 1,486 ( 15,278)
Citation 19

The Real Effects of Investor Sentiment

Number of pages: 69 Posted: 30 Nov 2002
Christopher Polk and Paola Sapienza
Downloads 988 (27,679)
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 370 (98,372)
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 Last Revised: 14 May 2021
Christopher Polk and Paola Sapienza
Downloads 95 (334,759)

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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 (559,779)
Citation 2
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Behavioural finance, investments

4.
Downloads 1,278 ( 19,240)
Citation 56

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 1,196 (20,912)
Citation 55

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Financial Constraints and Stock Returns

NBER Working Paper No. w6210
Number of pages: 52 Posted: 29 Aug 2000 Last Revised: 21 Jun 2021
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 (367,421)

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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 1,176 (21,450)
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 (554,064)

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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 1,094 (24,274)
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 938 (29,821)
Citation 41

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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 (346,665)
Citation 13

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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 827 ( 36,033)
Citation 74

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 808 (36,660)
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 18 (663,413)

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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 (812,342)
Citation 37
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ICAPM, stochastic volatility, time-varying expected returns, value premium

9.
Downloads 816 ( 36,708)
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 757 (40,139)

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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: 09 Jun 2021
London School of Economics, Arrowstreet Capital, L.P. and Arrowstreet Capital, LP
Downloads 59 (440,707)

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10.
Downloads 781 ( 38,998)
Citation 29

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 (41,369)
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 (517,212)
Citation 2

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11.

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 765 (40,211)

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

12.
Downloads 716 ( 43,883)
Citation 39

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 (50,576)
Citation 1

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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 79 (375,752)
Citation 10

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13.
Downloads 608 ( 54,478)
Citation 20

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 364 (100,308)

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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 190 (194,980)
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 (459,886)
Citation 5

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14.
Downloads 216 (174,087)

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 216 (173,794)
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.

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 200 (186,274)
Citation 4

Abstract:

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

16.

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 174 (210,663)

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

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 167 (218,153)
Citation 12

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18.

Scale or Yield? A Present-Value Identity

Number of pages: 60 Posted: 08 Jun 2021
Thummim Cho, Lukas Kremens, Dongryeol Lee and Christopher Polk
London School of Economics & Political Science (LSE) - Department of Finance, University of Washington, UCLA - Anderson School of Management and London School of Economics
Downloads 74 (385,962)

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19.

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 (776,357)
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betting against beta, crowded trades, positive-feedback trading

20.

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

21.

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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22.

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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