Research seminars

Real Anomalies

Finance

Speaker: Jules Van Binsbergen
Wharton - University of Pennsylvania

2 March 2017 - T004 - From 2:00 pm to 3:15 pm


We examine the importance of asset pricing anomalies (alphas) for the real economy. To this end, we develop a novel lumpy investment model that features such anomalies and yields closed-from solutions for the joint cross-sectional distribution of firm dynamics. Our findings indicate that informational inefficiencies measured by cross-sectional alphas can cause material real inefficiencies, raising the possibility that agents that help eliminate anomalies can provide significant value added to the economy. The framework reveals that alphas alone are poor indicators of real distortions, and that efficiency losses crucially depend on the persistence of alpha, the amount of mispriced capital, and the Tobin's q of firms that are affected.

Finance

Speaker: Adriano Rampini

23 May 2019 - T105 - From 2:00 pm to 3:15 pm


Finance

Speaker: Luke Taylor

16 May 2019 - T105 - From 2:00 pm to 3:15 pm


Finance

Speaker: Jessica Jeffers

18 April 2019 - T104 - From 2:00 pm to 3:15 pm


Finance

Speaker: Emil Verner

4 April 2019 - T104 - From 2:00 pm to 3:15 pm


Finance

Speaker: Ramona Dagostino

14 March 2019 - T104 - From 2:00 pm to 3:15 pm



JavaScriptSettings