| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP16353 |
| DP16353 Dynamic Asset (Mis)Pricing: Build-up vs. Resolution Anomalies | |
| Jules van Binsbergen; Martijn Boons; Christian Opp; Andrea Tamoni | |
| 发表日期 | 2021-07-10 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | We classify asset pricing anomalies into those that exacerbate mispricing (build-up anomalies) and those that resolve it (resolution anomalies). To this end, we estimate the dynamics of price wedges for a large number of well-known anomaly portfolios in the factor zoo and map them to firm-level mispricings. We find that several prominent anomalies like momentum and profitability further dislocate prices. While mispricing buildup is often quick, the subsequent resolution tends to be slow, suggesting the potential for material real economic consequences. Our results suggest that financial intermediaries chasing build-up anomalies in fact negatively affect price efficiency and associated real capital allocation |
| 主题 | Financial Economics |
| 关键词 | : dynamic price wedges Buildup Resolution Alphas Persistence |
| URL | https://cepr.org/publications/dp16353 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/545316 |
| 推荐引用方式 GB/T 7714 | Jules van Binsbergen,Martijn Boons,Christian Opp,et al. DP16353 Dynamic Asset (Mis)Pricing: Build-up vs. Resolution Anomalies. 2021. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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