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

Jules H. van Binsbergen, Martijn Boons, Christian C. Opp, Andrea Tamoni

Research output: Contribution to journalArticlepeer-review


We classify asset pricing anomalies into those exacerbating mispricing (build-up anomalies) 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.

Original languageAmerican English
Pages (from-to)406-431
Number of pages26
JournalJournal of Financial Economics
Issue number2
StatePublished - Feb 2023
Externally publishedYes

ASJC Scopus subject areas

  • Accounting
  • Finance
  • Economics and Econometrics
  • Strategy and Management


  • Mispricing
  • Price wedges
  • Real misallocation
  • Tobin's q


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