Efficiently Inefficient Markets for Assets and Asset Management

We are grateful for helpful comments from Jules van Binsbergen, Ronen Israel, Stephen Mellas, Jim Riccobono, Andrei Shleifer, and Morten Sorensen, as well as from seminar participants at Harvard University, New York University, UC Berkeley-Haas, CEMFI, IESE, Toulouse School of Economics, MIT Sloan, Copenhagen Business School, and the conferences at Queen Mary University of London, the Cowles Foundation at Yale University, the European Financial Management Association Conference, the 7th Erasmus Liquidity Conference, the IF2015 Annual Conference in International Finance, the FRIC'15 Conference, and the Karl Borch Lecture. Pedersen gratefully acknowledges support from the European Research Council (ERC grant no. 312417) and the FRIC Center for Financial Frictions (grant no. DNRF102) The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.