| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w23238 |
| 来源ID | Working Paper 23238 |
| Real Anomalies | |
| Jules H. van Binsbergen; Christian C. Opp | |
| 发表日期 | 2017-03-13 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Microeconomics ; Households and Firms ; General Equilibrium ; Behavioral Economics ; Macroeconomics ; Consumption and Investment ; Financial Economics ; Financial Institutions ; Corporate Finance |
| URL | https://www.nber.org/papers/w23238 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/580912 |
| 推荐引用方式 GB/T 7714 | Jules H. van Binsbergen,Christian C. Opp. Real Anomalies. 2017. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w23238.pdf（556KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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