Real Anomalies
研究了横截面资产定价异常（alpha）对实体经济的影响，通过一个包含非连续投资和信息效率低下的定量模型，发现异常会导致实际效率损失，而消除异常能增加经济价值。
ABSTRACT We examine the importance of cross‐sectional asset pricing anomalies (alphas) for the real economy. To this end, we develop a novel quantitative model of the cross‐section of firms that features lumpy investment and informational inefficiencies, while yielding distributions in closed form. Our findings indicate that anomalies can cause material real inefficiencies, which raises the possibility that agents who help eliminate them add significant value to the economy. The model shows that the magnitude of alphas alone is a poor indicator of real outcomes, and highlights the importance of the alpha persistence, the amount of mispriced capital, and the Tobin's q of firms affected.