The Booms and Busts of Beta Arbitrage

The authors would like to thank Nicholas Barberis, Sylvain Champonnais, Andrea Frazzini, Pengjie Gao, Emmanuel Jurczenko, Ralph Koijen, Toby Moskowitz, Lasse Pedersen, Steven Riddiough, Emil Siriwardane, Dimitri Vayanos, Michela Verardo, Tuomo Vuolteenaho, Yu Yuan, and seminar participants at Arrowstreet Capital, Citigroup Quant Research Conference, Imperial College, London Quant Group, London Business School, London School of Economics, Norwegian School of Economics, Renmin University of China, UBS Quant Conference, University of Cambridge, University of California Los Angeles, University of Hong Kong, University of Rotterdam, University of Warwick, China International Conference in Finance, Imperial College Hedge Fund Conference, Quantitative Management Initiative Conference, American Finance Association Conference, Financial Intermediation Research Society Conference, Northern Finance Conference, European Finance Association Conference, and Finance Down Under Conference for helpful comments and discussions. The authors are grateful for funding from the Europlace Institute of Finance, the Paul Woolley Centre at the London School of Economics, and the QUANTVALLEY/FdR: Quantitative Management Initiative.