Dynamic asset (mis)pricing: Build-up versus resolution anomalies

• 成果类型: Article
• 署名作者: van Binsbergen, Jules H.; Boons, Martijn; Opp, Christian C.; Tamoni, Andrea
• 署名单位: University of Pennsylvania; National Bureau of Economic Research; Tilburg University; Universidade Nova de Lisboa; University of Rochester; Rutgers University System; Rutgers University Newark; Rutgers University New Brunswick
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2022.11.005
• 发表日期: 2023
• 页码: 406-431
• 关键词: Mispricing; Price wedges; Tobin?s q; Real misallocation

摘要

We classify asset pricing anomalies into those exacerbating mispricing (build-up anoma-lies) and those resolving it (resolution anomalies). We estimate the dynamics of price wedges for well-known anomaly portfolios and map them to firm-level mispricings. We find that several prominent anomalies like momentum and profitability further dislocate prices. Multi-factor models designed to eliminate one-month alphas still produce large price wedges. Our estimates yield a novel decomposition of Tobin's q , revealing that q's mispricing component has substantial explanatory power for firm investment. Overall, our results suggest that financial intermediaries chasing build-up anomalies negatively affect price efficiency and associated real capital allocation.(c) 2022 Elsevier B.V. All rights reserved.