G2TT
来源类型Discussion paper
规范类型论文
来源IDDP16353
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
URLhttps://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.
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