Christopher Polk

London School of Economics

London School of Economics

United Kingdom

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

SCHOLARLY PAPERS

20

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Top 1,494

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19,623

CITATIONS
Rank 1,986

SSRN RANKINGS

Top 1,986

in Total Papers Citations

378

Scholarly Papers (20)

1.

Best Ideas

Number of pages: 47 Posted: 23 Mar 2009 Last Revised: 02 Apr 2010
Randolph B. Cohen, Christopher Polk and Bernhard Silli
Harvard Business School - Finance Unit, London School of Economics and Goldman Sachs Group, Inc.
Downloads 7,485 (733)
Citation 30

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 1,963 (7,384)
Citation 1

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Inflation illusion, CAPM, beta

3.
Downloads 1,423 ( 12,512)
Citation 12

The Real Effects of Investor Sentiment

AFA 2003 Washington, DC Meetings
Number of pages: 69 Posted: 30 Nov 2002
Christopher Polk and Paola Sapienza
Downloads 956 (22,543)
Citation 8

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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 353 (82,971)
Citation 1

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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 81 (303,990)

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The Real Effects of Investor Sentiment

CEPR Discussion Paper No. 3826
Number of pages: 70 Posted: 08 May 2003
Christopher Polk and Paola Sapienza
Downloads 33 (462,020)
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Behavioural finance, investments

4.
Downloads 1,194 ( 16,469)
Citation 12

Financial Constraints and Stock Returns

CRSP Working Paper No. 451
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 1,122 (17,749)
Citation 9

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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 72 (325,980)

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Financial Constraints and Stock Returns

Review of Financial Studies
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

CRSP Working Paper No. 521
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 1,156 (16,972)
Citation 2

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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
Owen A. Lamont and Christopher Polk
Harvard University - Department of Economics and London School of Economics
Downloads 28 (487,874)

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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 1,056 (19,798)
Citation 9

Abstract:

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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 915 (24,062)
Citation 6

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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: 16 Aug 2010
John Y. Campbell, Christopher Polk and Tuomo Vuolteenaho
Harvard University - Department of Economics, London School of Economics and Arrowstreet Capital, LP
Downloads 84 (297,285)

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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 791 ( 30,010)
Citation 35

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 776 (30,320)
Citation 3

Abstract:

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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
Harvard University - Department of Economics, Yale School of Management, London School of Economics and Harvard University
Downloads 15 (569,377)

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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 0
Citation 6
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ICAPM, stochastic volatility, time-varying expected returns, value premium

9.
Downloads 788 ( 30,182)
Citation 4

New Forecasts of the Equity Premium

AFA 2005 Philadelphia Meetings
Number of pages: 56 Posted: 10 Jan 2005
London School of Economics, Arrowstreet Capital, L.P. and Arrowstreet Capital, LP
Downloads 737 (32,565)

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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
London School of Economics, Arrowstreet Capital, L.P. and Arrowstreet Capital, LP
Downloads 51 (389,274)

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10.
Downloads 767 ( 31,329)
Citation 38

The Diversification Discount: Cash Flows vs. Returns

AFA 2001 New Orleans Meetings; Center for Research in Security Prices (CRSP) Working Paper No. 504
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 729 (33,033)
Citation 3

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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: 14 Oct 2010
Owen A. Lamont and Christopher Polk
Harvard University - Department of Economics and London School of Economics
Downloads 38 (439,687)
Citation 10

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11.
Downloads 679 ( 36,996)
Citation 31

The Price is (Almost) Right

EFA 2005 Moscow Meetings Paper
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 626 (40,603)

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 Sep 2010
Randolph B. Cohen, Christopher Polk and Tuomo Vuolteenaho
Harvard Business School - Finance Unit, London School of Economics and Arrowstreet Capital, LP
Downloads 53 (382,455)
Citation 1

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12.
Downloads 588 ( 44,796)
Citation 6

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 354 (82,698)

Abstract:

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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 185 (162,125)
Citation 4

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Hard Times

NBER Working Paper No. w16222
Number of pages: 33 Posted: 26 Jul 2010
John Y. Campbell, Stefano Giglio and Christopher Polk
Harvard University - Department of Economics, Yale School of Management and London School of Economics
Downloads 49 (396,310)

Abstract:

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13.

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

Number of pages: 29 Posted: 24 May 2019
Christopher Polk, Mo Haghbin and Alessio de Longis
London School of Economics, OppenheimerFunds and OppenheimerFunds, Inc.
Downloads 222 (136,738)

Abstract:

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

14.
Downloads 181 (165,361)
Citation 4

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 181 (165,369)
Citation 4

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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 156 (188,083)

Abstract:

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

16.

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: 11 Aug 2010
Randolph B. Cohen, Christopher Polk and Tuomo Vuolteenaho
Harvard Business School - Finance Unit, London School of Economics and Arrowstreet Capital, LP
Downloads 146 (198,686)
Citation 2

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17.

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 (648,637)
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betting against beta, crowded trades, positive-feedback trading

18.

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

19.

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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20.

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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