Putting the Price in Asset Pricing
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...
DP 897
Turning alphas into betas: Arbitrage and endogenous risk
Journal of Financial Economics, 137(2), 550-570
Turning Alphas into Betas: Arbitrage and the Cross-section of Risk
What determines the cross-section of betas with respect to a risk factor? The act of arbitrage plays an important role. If the capital of arbitrageurs...
DP 780