NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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Christian Opp

Simon Business School
University of Rochester
3-110N Carol Simon Hall
Rochester, NY 14627

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NBER Program Affiliations: AP
NBER Affiliation: Research Associate
Institutional Affiliation: University of Rochester

NBER Working Papers and Publications

March 2017Real Anomalies
with Jules H. van Binsbergen: w23238
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.

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

 
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