Real Anomalies
نویسندگان
چکیده
We examine the importance of asset pricing anomalies for the real economy. When firms interpret public information in the way it is reflected in market prices, informational inefficiencies manifesting in financial markets as anomalies can cause material real inefficiencies. We estimate the joint dynamic distribution of firm characteristics that have been linked to anomalies and other firm variables, such as investment, capital, and value added. Based on a model that matches these joint dynamics, we then evaluate the counterfactual dynamic distribution of these quantities in an informationally efficient economy, and find significant deviations. Our results suggest that if financialand academic institutions helped reduce and/or eliminate such anomalies they could provide large value added to the economy. We show that informational inefficiencies are particularly destructive for high Tobin’s q firms, and that the persistence and the amount of mispriced capital are major determinants of the real economic consequences. JEL classification: D22, D24, D53, D92, E22, G2, G30 ∗University of Pennsylvania, The Wharton School, email: [email protected]. †University of Pennsylvania, The Wharton School, email: [email protected].
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