Is there a gap between the profitability of a trading strategy “on paper” and that which is achieved in practice? We answer this question by developing a general technique to measure the real-world implementation costs of financial market anomalies. Our method extends Fama-MacBeth...

Equal compensation across assets for the same risk exposures is a bedrock of asset pricing theory and empirics. Yet real-world frictions can violate this equality and create high-Sharpe ratio opportunities. We develop new methods for asset pricing with cross-sectional heterogeneity in...