Real Anomalies

Jules van Binsbergen and Christian Opp

No 23238, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: We examine the importance of asset pricing anomalies (alphas) for the real economy. We develop a novel quantitative model with lumpy investment that features such informational inefficiencies and yields closed-form solutions for cross-sectional distributions of firm dynamics. Our findings indicate that anomalies can cause material real inefficiencies, raising the possibility that agents that help eliminate them can provide significant value added to the economy. The framework reveals that alphas alone are poor indicators of real distortions, and that efficiency losses depend on the persistence of alphas, the amount of mispriced capital, and the Tobin's q of firms affected.

JEL-codes: D22 D24 D53 D92 E22 G2 G30 (search for similar items in EconPapers)
Date: 2017-03
New Economics Papers: this item is included in nep-mac
Note: AP
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Published as JULES H. van BINSBERGEN & CHRISTIAN C. OPP, 2019. "Real Anomalies," The Journal of Finance, vol 74(4), pages 1659-1706.

Downloads: (external link)
http://www.nber.org/papers/w23238.pdf (application/pdf)

Related works:
Journal Article: Real Anomalies (2019)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberwo:23238

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w23238

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().