{"id":"https://openalex.org/W3124697404","doi":"https://doi.org/10.1287/mnsc.2023.4929","title":"The Booms and Busts of Beta Arbitrage","display_name":"The Booms and Busts of Beta Arbitrage","publication_year":2023,"publication_date":"2023-09-26","ids":{"openalex":"https://openalex.org/W3124697404","doi":"https://doi.org/10.1287/mnsc.2023.4929","mag":"3124697404"},"language":"en","primary_location":{"id":"doi:10.1287/mnsc.2023.4929","doi":"https://doi.org/10.1287/mnsc.2023.4929","is_oa":false,"landing_page_url":"https://doi.org/10.1287/mnsc.2023.4929","pdf_url":null,"source":{"id":"https://openalex.org/S33323087","display_name":"Management Science","issn_l":"0025-1909","issn":["0025-1909","1526-5501"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","erih-plus","fnege-1-star","ft50","jufo-3","ki-jl-1","norway-2","poland-200","russia-white-list-1","utd24","vabb-shw"],"host_organization":"https://openalex.org/P4310315699","host_organization_name":"Institute for Operations Research and the Management Sciences","host_organization_lineage":["https://openalex.org/P4310315699"],"host_organization_lineage_names":["Institute for Operations Research and the Management Sciences"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Management Science","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://doi.org/10.2139/ssrn.2666910","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5087143132","display_name":"Shiyang Huang","orcid":"https://orcid.org/0000-0002-1273-4621","observed_orcids":["https://orcid.org/0000-0002-1273-4621"]},"institutions":[{"id":"https://openalex.org/I135458274","display_name":"Citigroup","ror":"https://ror.org/032xgdx47","country_code":"US","type":"other","lineage":["https://openalex.org/I135458274"]},{"id":"https://openalex.org/I161318765","display_name":"University of California, Los Angeles","ror":"https://ror.org/046rm7j60","country_code":"US","type":"education","lineage":["https://openalex.org/I161318765"]},{"id":"https://openalex.org/I241749","display_name":"University of Cambridge","ror":"https://ror.org/013meh722","country_code":"GB","type":"education","lineage":["https://openalex.org/I241749"]},{"id":"https://openalex.org/I39555362","display_name":"University of Warwick","ror":"https://ror.org/01a77tt86","country_code":"GB","type":"education","lineage":["https://openalex.org/I39555362"]},{"id":"https://openalex.org/I4210140326","display_name":"Centre for Economic Policy Research","ror":"https://ror.org/04jzmdh37","country_code":"GB","type":"nonprofit","lineage":["https://openalex.org/I4210140326"]},{"id":"https://openalex.org/I4210160949","display_name":"American Finance Association","ror":"https://ror.org/04rynnm03","country_code":"US","type":"education","lineage":["https://openalex.org/I4210160949"]},{"id":"https://openalex.org/I47508984","display_name":"Imperial College London","ror":"https://ror.org/041kmwe10","country_code":"GB","type":"education","lineage":["https://openalex.org/I47508984"]},{"id":"https://openalex.org/I61544103","display_name":"London Business School","ror":"https://ror.org/001c2sn75","country_code":"GB","type":"education","lineage":["https://openalex.org/I124357947","https://openalex.org/I61544103"]},{"id":"https://openalex.org/I78988378","display_name":"Renmin University of China","ror":"https://ror.org/041pakw92","country_code":"CN","type":"education","lineage":["https://openalex.org/I78988378"]},{"id":"https://openalex.org/I889458895","display_name":"University of Hong Kong","ror":"https://ror.org/02zhqgq86","country_code":"HK","type":"education","lineage":["https://openalex.org/I889458895"]},{"id":"https://openalex.org/I909854389","display_name":"London School of Economics and Political Science","ror":"https://ror.org/0090zs177","country_code":"GB","type":"education","lineage":["https://openalex.org/I124357947","https://openalex.org/I909854389"]},{"id":"https://openalex.org/I931913249","display_name":"Norwegian School of Economics","ror":"https://ror.org/04v53s997","country_code":"NO","type":"education","lineage":["https://openalex.org/I931913249"]}],"countries":["CN","GB","HK","NO","US"],"is_corresponding":false,"raw_author_name":"Shiyang Huang","raw_affiliation_strings":["Faculty of Business and Economics, The University of Hong Kong, Pokfulam Road, Hong Kong;","American Finance Association Conference, Financial Interamediation Research Society Conference,","Imperial College Hedge Fund Conference, Quantitative Management Initiative Conference,","London Business School, London School of Economics, Norwegian School of Economics, Renmin University of China, UBS Quant Conference, University of Cambridge, University of California in Los Angeles,","London School of Economics and CEPR","Northern Finance","School of Finance, Renmin University of China","University of Hong Kong, University of Rotterdam, University of Warwick, China International Conference in Finance,","participants at Arrowstreet Capital, Citigroup Quant Research Conference, Imperial College, London Quant Group,"],"raw_orcid":"https://orcid.org/0000-0002-1273-4621","affiliations":[{"raw_affiliation_string":"Faculty of Business and Economics, The University of Hong Kong, Pokfulam Road, Hong Kong;","institution_ids":["https://openalex.org/I889458895"]},{"raw_affiliation_string":"American Finance Association Conference, Financial Interamediation Research Society Conference,","institution_ids":["https://openalex.org/I4210160949"]},{"raw_affiliation_string":"Imperial College Hedge Fund Conference, Quantitative Management Initiative Conference,","institution_ids":["https://openalex.org/I47508984"]},{"raw_affiliation_string":"London Business School, London School of Economics, Norwegian School of Economics, Renmin University of China, UBS Quant Conference, University of Cambridge, University of California in Los Angeles,","institution_ids":["https://openalex.org/I161318765","https://openalex.org/I241749","https://openalex.org/I61544103","https://openalex.org/I78988378","https://openalex.org/I909854389","https://openalex.org/I931913249"]},{"raw_affiliation_string":"London School of Economics and CEPR","institution_ids":["https://openalex.org/I4210140326","https://openalex.org/I909854389"]},{"raw_affiliation_string":"Northern Finance","institution_ids":[]},{"raw_affiliation_string":"School of Finance, Renmin University of China","institution_ids":["https://openalex.org/I78988378"]},{"raw_affiliation_string":"University of Hong Kong, University of Rotterdam, University of Warwick, China International Conference in Finance,","institution_ids":["https://openalex.org/I39555362","https://openalex.org/I889458895"]},{"raw_affiliation_string":"participants at Arrowstreet Capital, Citigroup Quant Research Conference, Imperial College, London Quant Group,","institution_ids":["https://openalex.org/I135458274","https://openalex.org/I47508984"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5007778358","display_name":"Xin Liu","orcid":"https://orcid.org/0000-0003-4878-1486","observed_orcids":["https://orcid.org/0000-0003-4878-1486","https://orcid.org/0000-0002-5727-9802"]},"institutions":[{"id":"https://openalex.org/I135458274","display_name":"Citigroup","ror":"https://ror.org/032xgdx47","country_code":"US","type":"other","lineage":["https://openalex.org/I135458274"]},{"id":"https://openalex.org/I161318765","display_name":"University of California, Los Angeles","ror":"https://ror.org/046rm7j60","country_code":"US","type":"education","lineage":["https://openalex.org/I161318765"]},{"id":"https://openalex.org/I241749","display_name":"University of Cambridge","ror":"https://ror.org/013meh722","country_code":"GB","type":"education","lineage":["https://openalex.org/I241749"]},{"id":"https://openalex.org/I39555362","display_name":"University of Warwick","ror":"https://ror.org/01a77tt86","country_code":"GB","type":"education","lineage":["https://openalex.org/I39555362"]},{"id":"https://openalex.org/I4210140326","display_name":"Centre for Economic Policy Research","ror":"https://ror.org/04jzmdh37","country_code":"GB","type":"nonprofit","lineage":["https://openalex.org/I4210140326"]},{"id":"https://openalex.org/I4210160949","display_name":"American Finance Association","ror":"https://ror.org/04rynnm03","country_code":"US","type":"education","lineage":["https://openalex.org/I4210160949"]},{"id":"https://openalex.org/I47508984","display_name":"Imperial College London","ror":"https://ror.org/041kmwe10","country_code":"GB","type":"education","lineage":["https://openalex.org/I47508984"]},{"id":"https://openalex.org/I61544103","display_name":"London Business School","ror":"https://ror.org/001c2sn75","country_code":"GB","type":"education","lineage":["https://openalex.org/I124357947","https://openalex.org/I61544103"]},{"id":"https://openalex.org/I78988378","display_name":"Renmin University of China","ror":"https://ror.org/041pakw92","country_code":"CN","type":"education","lineage":["https://openalex.org/I78988378"]},{"id":"https://openalex.org/I889458895","display_name":"University of Hong Kong","ror":"https://ror.org/02zhqgq86","country_code":"HK","type":"education","lineage":["https://openalex.org/I889458895"]},{"id":"https://openalex.org/I909854389","display_name":"London School of Economics and Political Science","ror":"https://ror.org/0090zs177","country_code":"GB","type":"education","lineage":["https://openalex.org/I124357947","https://openalex.org/I909854389"]},{"id":"https://openalex.org/I931913249","display_name":"Norwegian School of Economics","ror":"https://ror.org/04v53s997","country_code":"NO","type":"education","lineage":["https://openalex.org/I931913249"]}],"countries":["CN","GB","HK","NO","US"],"is_corresponding":true,"raw_author_name":"Xin Liu","raw_affiliation_strings":["School of Finance, Renmin University of China, Beijing 100872, China;","American Finance Association Conference, Financial Interamediation Research Society Conference,","Faculty of Business and Economics, The University of Hong Kong","Imperial College Hedge Fund Conference, Quantitative Management Initiative Conference,","London Business School, London School of Economics, Norwegian School of Economics, Renmin University of China, UBS Quant Conference, University of Cambridge, University of California in Los Angeles,","London School of Economics and CEPR","Northern Finance","University of Hong Kong, University of Rotterdam, University of Warwick, China International Conference in Finance,","participants at Arrowstreet Capital, Citigroup Quant Research Conference, Imperial College, London Quant Group,"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Finance, Renmin University of China, Beijing 100872, China;","institution_ids":["https://openalex.org/I78988378"]},{"raw_affiliation_string":"American Finance Association Conference, Financial Interamediation Research Society Conference,","institution_ids":["https://openalex.org/I4210160949"]},{"raw_affiliation_string":"Faculty of Business and Economics, The University of Hong Kong","institution_ids":["https://openalex.org/I889458895"]},{"raw_affiliation_string":"Imperial College Hedge Fund Conference, Quantitative Management Initiative Conference,","institution_ids":["https://openalex.org/I47508984"]},{"raw_affiliation_string":"London Business School, London School of Economics, Norwegian School of Economics, Renmin University of China, UBS Quant Conference, University of Cambridge, University of California in Los Angeles,","institution_ids":["https://openalex.org/I161318765","https://openalex.org/I241749","https://openalex.org/I61544103","https://openalex.org/I78988378","https://openalex.org/I909854389","https://openalex.org/I931913249"]},{"raw_affiliation_string":"London School of Economics and CEPR","institution_ids":["https://openalex.org/I4210140326","https://openalex.org/I909854389"]},{"raw_affiliation_string":"Northern Finance","institution_ids":[]},{"raw_affiliation_string":"University of Hong Kong, University of Rotterdam, University of Warwick, China International Conference in Finance,","institution_ids":["https://openalex.org/I39555362","https://openalex.org/I889458895"]},{"raw_affiliation_string":"participants at Arrowstreet Capital, Citigroup Quant Research Conference, Imperial College, London Quant Group,","institution_ids":["https://openalex.org/I135458274","https://openalex.org/I47508984"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5007583888","display_name":"Dong Lou","orcid":"https://orcid.org/0000-0002-5623-4338","observed_orcids":["https://orcid.org/0000-0002-5623-4338"]},"institutions":[{"id":"https://openalex.org/I1279858714","display_name":"Center for Economic and Policy Research","ror":"https://ror.org/01vqjmx11","country_code":"US","type":"nonprofit","lineage":["https://openalex.org/I1279858714"]},{"id":"https://openalex.org/I135458274","display_name":"Citigroup","ror":"https://ror.org/032xgdx47","country_code":"US","type":"other","lineage":["https://openalex.org/I135458274"]},{"id":"https://openalex.org/I161318765","display_name":"University of California, Los Angeles","ror":"https://ror.org/046rm7j60","country_code":"US","type":"education","lineage":["https://openalex.org/I161318765"]},{"id":"https://openalex.org/I241749","display_name":"University of Cambridge","ror":"https://ror.org/013meh722","country_code":"GB","type":"education","lineage":["https://openalex.org/I241749"]},{"id":"https://openalex.org/I39555362","display_name":"University of Warwick","ror":"https://ror.org/01a77tt86","country_code":"GB","type":"education","lineage":["https://openalex.org/I39555362"]},{"id":"https://openalex.org/I4210160949","display_name":"American Finance Association","ror":"https://ror.org/04rynnm03","country_code":"US","type":"education","lineage":["https://openalex.org/I4210160949"]},{"id":"https://openalex.org/I47508984","display_name":"Imperial College London","ror":"https://ror.org/041kmwe10","country_code":"GB","type":"education","lineage":["https://openalex.org/I47508984"]},{"id":"https://openalex.org/I61544103","display_name":"London Business School","ror":"https://ror.org/001c2sn75","country_code":"GB","type":"education","lineage":["https://openalex.org/I124357947","https://openalex.org/I61544103"]},{"id":"https://openalex.org/I78988378","display_name":"Renmin University of China","ror":"https://ror.org/041pakw92","country_code":"CN","type":"education","lineage":["https://openalex.org/I78988378"]},{"id":"https://openalex.org/I889458895","display_name":"University of Hong Kong","ror":"https://ror.org/02zhqgq86","country_code":"HK","type":"education","lineage":["https://openalex.org/I889458895"]},{"id":"https://openalex.org/I909854389","display_name":"London School of Economics and Political Science","ror":"https://ror.org/0090zs177","country_code":"GB","type":"education","lineage":["https://openalex.org/I124357947","https://openalex.org/I909854389"]},{"id":"https://openalex.org/I931913249","display_name":"Norwegian School of Economics","ror":"https://ror.org/04v53s997","country_code":"NO","type":"education","lineage":["https://openalex.org/I931913249"]}],"countries":["CN","GB","HK","NO","US"],"is_corresponding":false,"raw_author_name":"Dong Lou","raw_affiliation_strings":["Center for Economic and Policy Research, Washington, DC 20009","London School of Economics, London WC2A 2AE, United Kingdom;","American Finance Association Conference, Financial Interamediation Research Society Conference,","Faculty of Business and Economics, The University of Hong Kong","Imperial College Hedge Fund Conference, Quantitative Management Initiative Conference,","London Business School, London School of Economics, Norwegian School of Economics, Renmin University of China, UBS Quant Conference, University of Cambridge, University of California in Los Angeles,","Northern Finance","School of Finance, Renmin University of China","University of Hong Kong, University of Rotterdam, University of Warwick, China International Conference in Finance,","participants at Arrowstreet Capital, Citigroup Quant Research Conference, Imperial College, London Quant Group,"],"raw_orcid":"https://orcid.org/0000-0002-5623-4338","affiliations":[{"raw_affiliation_string":"Center for Economic and Policy Research, Washington, DC 20009","institution_ids":["https://openalex.org/I1279858714"]},{"raw_affiliation_string":"London School of Economics, London WC2A 2AE, United Kingdom;","institution_ids":["https://openalex.org/I909854389"]},{"raw_affiliation_string":"American Finance Association Conference, Financial Interamediation Research Society Conference,","institution_ids":["https://openalex.org/I4210160949"]},{"raw_affiliation_string":"Faculty of Business and Economics, The University of Hong Kong","institution_ids":["https://openalex.org/I889458895"]},{"raw_affiliation_string":"Imperial College Hedge Fund Conference, Quantitative Management Initiative Conference,","institution_ids":["https://openalex.org/I47508984"]},{"raw_affiliation_string":"London Business School, London School of Economics, Norwegian School of Economics, Renmin University of China, UBS Quant Conference, University of Cambridge, University of California in Los Angeles,","institution_ids":["https://openalex.org/I161318765","https://openalex.org/I241749","https://openalex.org/I61544103","https://openalex.org/I78988378","https://openalex.org/I909854389","https://openalex.org/I931913249"]},{"raw_affiliation_string":"Northern Finance","institution_ids":[]},{"raw_affiliation_string":"School of Finance, Renmin University of China","institution_ids":["https://openalex.org/I78988378"]},{"raw_affiliation_string":"University of Hong Kong, University of Rotterdam, University of Warwick, China International Conference in Finance,","institution_ids":["https://openalex.org/I39555362","https://openalex.org/I889458895"]},{"raw_affiliation_string":"participants at Arrowstreet Capital, Citigroup Quant Research Conference, Imperial College, London Quant Group,","institution_ids":["https://openalex.org/I135458274","https://openalex.org/I47508984"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5059255216","display_name":"Christopher Polk","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I1279858714","display_name":"Center for Economic and Policy Research","ror":"https://ror.org/01vqjmx11","country_code":"US","type":"nonprofit","lineage":["https://openalex.org/I1279858714"]},{"id":"https://openalex.org/I135458274","display_name":"Citigroup","ror":"https://ror.org/032xgdx47","country_code":"US","type":"other","lineage":["https://openalex.org/I135458274"]},{"id":"https://openalex.org/I161318765","display_name":"University of California, Los Angeles","ror":"https://ror.org/046rm7j60","country_code":"US","type":"education","lineage":["https://openalex.org/I161318765"]},{"id":"https://openalex.org/I241749","display_name":"University of Cambridge","ror":"https://ror.org/013meh722","country_code":"GB","type":"education","lineage":["https://openalex.org/I241749"]},{"id":"https://openalex.org/I39555362","display_name":"University of Warwick","ror":"https://ror.org/01a77tt86","country_code":"GB","type":"education","lineage":["https://openalex.org/I39555362"]},{"id":"https://openalex.org/I4210160949","display_name":"American Finance Association","ror":"https://ror.org/04rynnm03","country_code":"US","type":"education","lineage":["https://openalex.org/I4210160949"]},{"id":"https://openalex.org/I47508984","display_name":"Imperial College London","ror":"https://ror.org/041kmwe10","country_code":"GB","type":"education","lineage":["https://openalex.org/I47508984"]},{"id":"https://openalex.org/I61544103","display_name":"London Business School","ror":"https://ror.org/001c2sn75","country_code":"GB","type":"education","lineage":["https://openalex.org/I124357947","https://openalex.org/I61544103"]},{"id":"https://openalex.org/I78988378","display_name":"Renmin University of China","ror":"https://ror.org/041pakw92","country_code":"CN","type":"education","lineage":["https://openalex.org/I78988378"]},{"id":"https://openalex.org/I889458895","display_name":"University of Hong Kong","ror":"https://ror.org/02zhqgq86","country_code":"HK","type":"education","lineage":["https://openalex.org/I889458895"]},{"id":"https://openalex.org/I909854389","display_name":"London School of Economics and Political Science","ror":"https://ror.org/0090zs177","country_code":"GB","type":"education","lineage":["https://openalex.org/I124357947","https://openalex.org/I909854389"]},{"id":"https://openalex.org/I931913249","display_name":"Norwegian School of Economics","ror":"https://ror.org/04v53s997","country_code":"NO","type":"education","lineage":["https://openalex.org/I931913249"]}],"countries":["CN","GB","HK","NO","US"],"is_corresponding":false,"raw_author_name":"Christopher Polk","raw_affiliation_strings":["Center for Economic and Policy Research, Washington, DC 20009","London School of Economics, London WC2A 2AE, United Kingdom;","American Finance Association Conference, Financial Interamediation Research Society Conference,","Faculty of Business and Economics, The University of Hong Kong","Imperial College Hedge Fund Conference, Quantitative Management Initiative Conference,","London Business School, London School of Economics, Norwegian School of Economics, Renmin University of China, UBS Quant Conference, University of Cambridge, University of California in Los Angeles,","Northern Finance","School of Finance, Renmin University of China","University of Hong Kong, University of Rotterdam, University of Warwick, China International Conference in Finance,","participants at Arrowstreet Capital, Citigroup Quant Research Conference, Imperial College, London Quant Group,"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Center for Economic and Policy Research, Washington, DC 20009","institution_ids":["https://openalex.org/I1279858714"]},{"raw_affiliation_string":"London School of Economics, London WC2A 2AE, United Kingdom;","institution_ids":["https://openalex.org/I909854389"]},{"raw_affiliation_string":"American Finance Association Conference, Financial Interamediation Research Society Conference,","institution_ids":["https://openalex.org/I4210160949"]},{"raw_affiliation_string":"Faculty of Business and Economics, The University of Hong Kong","institution_ids":["https://openalex.org/I889458895"]},{"raw_affiliation_string":"Imperial College Hedge Fund Conference, Quantitative Management Initiative Conference,","institution_ids":["https://openalex.org/I47508984"]},{"raw_affiliation_string":"London Business School, London School of Economics, Norwegian School of Economics, Renmin University of China, UBS Quant Conference, University of Cambridge, University of California in Los Angeles,","institution_ids":["https://openalex.org/I161318765","https://openalex.org/I241749","https://openalex.org/I61544103","https://openalex.org/I78988378","https://openalex.org/I909854389","https://openalex.org/I931913249"]},{"raw_affiliation_string":"Northern Finance","institution_ids":[]},{"raw_affiliation_string":"School of Finance, Renmin University of China","institution_ids":["https://openalex.org/I78988378"]},{"raw_affiliation_string":"University of Hong Kong, University of Rotterdam, University of Warwick, China International Conference in Finance,","institution_ids":["https://openalex.org/I39555362","https://openalex.org/I889458895"]},{"raw_affiliation_string":"participants at Arrowstreet Capital, Citigroup Quant Research Conference, Imperial College, London Quant Group,","institution_ids":["https://openalex.org/I135458274","https://openalex.org/I47508984"]}]}],"institutions":[],"countries_distinct_count":5,"institutions_distinct_count":13,"corresponding_author_ids":["https://openalex.org/A5007778358"],"corresponding_institution_ids":["https://openalex.org/I135458274","https://openalex.org/I161318765","https://openalex.org/I241749","https://openalex.org/I39555362","https://openalex.org/I4210140326","https://openalex.org/I4210160949","https://openalex.org/I47508984","https://openalex.org/I61544103","https://openalex.org/I78988378","https://openalex.org/I889458895","https://openalex.org/I909854389","https://openalex.org/I931913249"],"apc_list":null,"apc_paid":null,"fwci":3.0105,"has_fulltext":true,"cited_by_count":40,"citation_normalized_percentile":{"value":0.91715931,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":98},"biblio":{"volume":"70","issue":"8","first_page":"5367","last_page":"5385"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12123","display_name":"Financial Analysis and Corporate Governance","score":9.999999747378752e-05,"subfield":{"id":"https://openalex.org/subfields/1402","display_name":"Accounting"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10019","display_name":"Corporate Finance and Governance","score":9.999999747378752e-05,"subfield":{"id":"https://openalex.org/subfields/1402","display_name":"Accounting"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/low-beta-stocks","display_name":"low-beta stocks","score":0.921999990940094},{"id":"https://openalex.org/keywords/abnormal-returns","display_name":"abnormal returns","score":0.5350000262260437},{"id":"https://openalex.org/keywords/positive-feedback","display_name":"positive feedback","score":0.47099998593330383},{"id":"https://openalex.org/keywords/corporate-leverage","display_name":"corporate leverage","score":0.7519999742507935},{"id":"https://openalex.org/keywords/price-overshooting","display_name":"price overshooting","score":0.5870000123977661},{"id":"https://openalex.org/keywords/boom-bust-cycles","display_name":"boom-bust cycles","score":0.6809999942779541},{"id":"https://openalex.org/keywords/professional-investors","display_name":"professional investors","score":0.4320000112056732}],"concepts":[{"id":"https://openalex.org/C160623529","wikidata":"https://www.wikidata.org/wiki/Q273088","display_name":"Arbitrage","level":2,"score":0.8581926226615906},{"id":"https://openalex.org/C141441539","wikidata":"https://www.wikidata.org/wiki/Q1970908","display_name":"Boom","level":2,"score":0.6690388917922974},{"id":"https://openalex.org/C153083717","wikidata":"https://www.wikidata.org/wiki/Q6535263","display_name":"Leverage (statistics)","level":2,"score":0.5690106749534607},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5492543578147888},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.5448692440986633},{"id":"https://openalex.org/C2776174256","wikidata":"https://www.wikidata.org/wiki/Q830842","display_name":"BETA (programming language)","level":2,"score":0.47494032979011536},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.4666595160961151},{"id":"https://openalex.org/C2777871818","wikidata":"https://www.wikidata.org/wiki/Q25112207","display_name":"Funding liquidity","level":4,"score":0.44350698590278625},{"id":"https://openalex.org/C42854785","wikidata":"https://www.wikidata.org/wiki/Q2154735","display_name":"Risk arbitrage","level":4,"score":0.41438984870910645},{"id":"https://openalex.org/C183582576","wikidata":"https://www.wikidata.org/wiki/Q184783","display_name":"Market liquidity","level":2,"score":0.3955584466457367},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.35095691680908203},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.3396030068397522},{"id":"https://openalex.org/C181236170","wikidata":"https://www.wikidata.org/wiki/Q848354","display_name":"Capital asset pricing model","level":2,"score":0.2904316186904907},{"id":"https://openalex.org/C142450864","wikidata":"https://www.wikidata.org/wiki/Q629941","display_name":"Arbitrage pricing theory","level":3,"score":0.15392985939979553},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.11053788661956787},{"id":"https://openalex.org/C189259953","wikidata":"https://www.wikidata.org/wiki/Q1042259","display_name":"Liquidity risk","level":3,"score":0.09539607167243958},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.09400835633277893},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.0},{"id":"https://openalex.org/C87717796","wikidata":"https://www.wikidata.org/wiki/Q146326","display_name":"Environmental engineering","level":1,"score":0.0},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.0}],"mesh":[],"locations_count":13,"locations":[{"id":"doi:10.1287/mnsc.2023.4929","doi":"https://doi.org/10.1287/mnsc.2023.4929","is_oa":false,"landing_page_url":"https://doi.org/10.1287/mnsc.2023.4929","pdf_url":null,"source":{"id":"https://openalex.org/S33323087","display_name":"Management Science","issn_l":"0025-1909","issn":["0025-1909","1526-5501"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","erih-plus","fnege-1-star","ft50","jufo-3","ki-jl-1","norway-2","poland-200","russia-white-list-1","utd24","vabb-shw"],"host_organization":"https://openalex.org/P4310315699","host_organization_name":"Institute for Operations Research and the Management Sciences","host_organization_lineage":["https://openalex.org/P4310315699"],"host_organization_lineage_names":["Institute for Operations Research and the Management Sciences"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Management Science","raw_type":"journal-article"},{"id":"doi:10.2139/ssrn.2666910","doi":"https://doi.org/10.2139/ssrn.2666910","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.2666910","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},{"id":"pmh:oai:eprints.lse.ac.uk:119019","doi":null,"is_oa":false,"landing_page_url":"https://orcid.org/0000-0002-5623-4338>,","pdf_url":null,"source":{"id":"https://openalex.org/S4306401593","display_name":"London School of Economics and Political Science Research Online (London School of Economics and Political Science)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I909854389","host_organization_name":"London School of Economics and Political Science","host_organization_lineage":["https://openalex.org/I909854389"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":null,"raw_type":"Monograph"},{"id":"pmh:oai:eprints.lse.ac.uk:120807","doi":null,"is_oa":false,"landing_page_url":"https://orcid.org/0000-0002-5623-4338>","pdf_url":null,"source":{"id":"https://openalex.org/S4306401593","display_name":"London School of Economics and Political Science Research Online (London School of Economics and Political Science)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I909854389","host_organization_name":"London School of Economics and Political Science","host_organization_lineage":["https://openalex.org/I909854389"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":null,"raw_type":"Article"},{"id":"pmh:oai:researchonline.lse.ac.uk:120807","doi":null,"is_oa":true,"landing_page_url":"https://orcid.org/0000-0002-5623-4338>","pdf_url":"https://researchonline.lse.ac.uk/id/eprint/120807/1/bOOM.pdf","source":{"id":"https://openalex.org/S4306400050","display_name":"London School of Economics and Political Science Theses Online (London School of Economics and Political Science)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I909854389","host_organization_name":"London School of Economics and Political Science","host_organization_lineage":["https://openalex.org/I909854389"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"Article"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.701.7663","doi":null,"is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.701.7663","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://personal.lse.ac.uk/loud/cobar.pdf","raw_type":"text"},{"id":"pmh:oai:RePEc:cpr:ceprdp:11531","doi":null,"is_oa":false,"landing_page_url":"http://www.cepr.org/active/publications/discussion_papers/dp.php?dpno=11531","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},{"id":"pmh:oai:RePEc:ehl:lserod:120807","doi":null,"is_oa":false,"landing_page_url":"http://eprints.lse.ac.uk/120807/","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},{"id":"pmh:oai:hub.hku.hk:10722/233170","doi":null,"is_oa":false,"landing_page_url":"http://hdl.handle.net/10722/233170","pdf_url":null,"source":{"id":"https://openalex.org/S4377196271","display_name":"The HKU Scholars Hub (University of Hong Kong)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I889458895","host_organization_name":"University of Hong Kong","host_organization_lineage":["https://openalex.org/I889458895"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Conference_Paper"},{"id":"pmh:oai:hub.hku.hk:10722/233172","doi":null,"is_oa":false,"landing_page_url":"http://hdl.handle.net/10722/233172","pdf_url":null,"source":{"id":"https://openalex.org/S4377196271","display_name":"The HKU Scholars Hub (University of Hong Kong)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I889458895","host_organization_name":"University of Hong Kong","host_organization_lineage":["https://openalex.org/I889458895"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Conference_Paper"},{"id":"pmh:oai:hub.hku.hk:10722/233179","doi":null,"is_oa":false,"landing_page_url":"http://hdl.handle.net/10722/233179","pdf_url":null,"source":{"id":"https://openalex.org/S4377196271","display_name":"The HKU Scholars Hub (University of Hong Kong)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I889458895","host_organization_name":"University of Hong Kong","host_organization_lineage":["https://openalex.org/I889458895"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Conference_Paper"},{"id":"pmh:oai:hub.hku.hk:10722/233180","doi":null,"is_oa":false,"landing_page_url":"http://hdl.handle.net/10722/233180","pdf_url":null,"source":{"id":"https://openalex.org/S4377196271","display_name":"The HKU Scholars Hub (University of Hong Kong)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I889458895","host_organization_name":"University of Hong Kong","host_organization_lineage":["https://openalex.org/I889458895"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Conference_Paper"},{"id":"pmh:oai:repository.hkust.edu.hk:1783.1-134915","doi":null,"is_oa":false,"landing_page_url":"http://gateway.isiknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcAuth=LinksAMR&SrcApp=PARTNER_APP&DestLinkType=FullRecord&DestApp=WOS&KeyUT=001080187900001","pdf_url":null,"source":{"id":"https://openalex.org/S4306401796","display_name":"Rare & Special e-Zone (The Hong Kong University of Science and Technology)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I200769079","host_organization_name":"Hong Kong University of Science and Technology","host_organization_lineage":["https://openalex.org/I200769079"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"Article"}],"best_oa_location":{"id":"doi:10.2139/ssrn.2666910","doi":"https://doi.org/10.2139/ssrn.2666910","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.2666910","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},"sustainable_development_goals":[],"study_designs":[],"awards":[{"id":"https://openalex.org/G7244615352","display_name":null,"funder_award_id":"72233003","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"}],"funders":[{"id":"https://openalex.org/F4320312710","display_name":"London School of Economics and Political Science","ror":"https://ror.org/0090zs177"},{"id":"https://openalex.org/F4320321001","display_name":"National Natural Science Foundation of China","ror":"https://ror.org/01h0zpd94"}],"has_content":{"grobid_xml":true,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W3124697404.pdf","grobid_xml":"https://content.openalex.org/works/W3124697404.grobid-xml"},"referenced_works_count":59,"referenced_works":["https://openalex.org/W1567946811","https://openalex.org/W1575641806","https://openalex.org/W1589971660","https://openalex.org/W1970205847","https://openalex.org/W1995834279","https://openalex.org/W2029056003","https://openalex.org/W2061525759","https://openalex.org/W2084050624","https://openalex.org/W2093877332","https://openalex.org/W2103679355","https://openalex.org/W2104795328","https://openalex.org/W2110155273","https://openalex.org/W2116852260","https://openalex.org/W2121606993","https://openalex.org/W2124597406","https://openalex.org/W2128342851","https://openalex.org/W2130659611","https://openalex.org/W2131773668","https://openalex.org/W2136120210","https://openalex.org/W2148993780","https://openalex.org/W2157969799","https://openalex.org/W2166215547","https://openalex.org/W2169607556","https://openalex.org/W2169645335","https://openalex.org/W2235373759","https://openalex.org/W2312560584","https://openalex.org/W2332262482","https://openalex.org/W2519487162","https://openalex.org/W2589485205","https://openalex.org/W2735586446","https://openalex.org/W2890222871","https://openalex.org/W3012185131","https://openalex.org/W3021190191","https://openalex.org/W3121253679","https://openalex.org/W3121401171","https://openalex.org/W3121467893","https://openalex.org/W3122066741","https://openalex.org/W3122225907","https://openalex.org/W3122578644","https://openalex.org/W3122942322","https://openalex.org/W3123206484","https://openalex.org/W3123233172","https://openalex.org/W3123639445","https://openalex.org/W3123827828","https://openalex.org/W3123892172","https://openalex.org/W3124049292","https://openalex.org/W3124312708","https://openalex.org/W3124339933","https://openalex.org/W3124554394","https://openalex.org/W3124986135","https://openalex.org/W3125133725","https://openalex.org/W3125499890","https://openalex.org/W3125984145","https://openalex.org/W3165799838","https://openalex.org/W4229815463","https://openalex.org/W4230177757","https://openalex.org/W4237239309","https://openalex.org/W4239488419","https://openalex.org/W4242545938"],"related_works":["https://openalex.org/W3122942322","https://openalex.org/W7051417045","https://openalex.org/W7008235679","https://openalex.org/W2473585721","https://openalex.org/W7098796083","https://openalex.org/W3183969458","https://openalex.org/W1408563236","https://openalex.org/W4310130603","https://openalex.org/W2491663371","https://openalex.org/W2763687794"],"abstract_inverted_index":{"Low-beta":[0],"stocks":[1],"deliver":[2],"high":[3],"average":[4],"returns":[5,55],"and":[6,28,68,115,135],"low":[7,39],"risk":[8],"relative":[9],"to":[10,18,50,56],"high-beta":[11],"stocks,":[12],"an":[13],"opportunity":[14],"for":[15,53],"professional":[16],"investors":[17],"\u201carbitrage\u201d":[19],"away.":[20],"We":[21,75],"argue":[22],"that":[23,85],"beta-arbitrage":[24,43],"activity":[25,63],"generates":[26],"booms":[27],"busts":[29],"in":[30,71],"the":[31,42,72,116],"strategy\u2019s":[32],"abnormal":[33,54],"trading":[34],"profits.":[35],"In":[36,59],"times":[37],"of":[38,109,119,124],"arbitrage":[40,62],"activity,":[41],"strategy":[44],"exhibits":[45],"delayed":[46],"correction,":[47],"taking":[48],"up":[49],"three":[51],"years":[52],"be":[57],"realized.":[58],"contrast,":[60],"when":[61],"is":[64,101],"high,":[65],"prices":[66],"overshoot":[67],"then":[69],"revert":[70],"long":[73],"run.":[74],"document":[76],"a":[77],"novel":[78],"positive-feedback":[79],"channel":[80],"operating":[81],"through":[82],"firm":[83],"leverage":[84],"facilitates":[86],"these":[87],"boom-and-bust":[88],"cycles.":[89],"This":[90,99],"paper":[91],"was":[92],"accepted":[93],"by":[94,104],"Lukas":[95],"Schmid,":[96],"finance.":[97],"Funding:":[98],"work":[100],"financially":[102],"supported":[103],"National":[105,120],"Natural":[106,121],"Science":[107,122],"Foundation":[108,123],"China":[110,125],"[NSFC":[111,126],"Grant":[112,127],"Number":[113,128],"72303226]":[114],"Key":[117],"Program":[118],"72233003].":[129],"Supplemental":[130],"Material:":[131],"The":[132],"internet":[133],"appendix":[134],"data":[136],"are":[137],"available":[138],"at":[139],"https://doi.org/10.1287/mnsc.2023.4929":[140],".":[141]},"counts_by_year":[{"year":2026,"cited_by_count":4},{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":7},{"year":2023,"cited_by_count":3},{"year":2022,"cited_by_count":3},{"year":2021,"cited_by_count":2},{"year":2020,"cited_by_count":6},{"year":2019,"cited_by_count":4},{"year":2018,"cited_by_count":2},{"year":2017,"cited_by_count":1},{"year":2016,"cited_by_count":3},{"year":2015,"cited_by_count":2},{"year":2014,"cited_by_count":1}],"updated_date":"2026-11-04T10:54:05.112534","created_date":"2021-02-01T00:00:00"}
