The Revealed Preference of Sophisticated Investors
研究发现对冲基金投资者的显示性偏好也最适合用资本资产定价模型（CAPM）描述，且CAPM阿尔法与基金经理能力相关，比多因子模型更能预测业绩，支持了CAPM适用于所有投资者的观点。
Abstract Berk and van Binsbergen (2016) have shown that the Capital Asset Pricing Model (CAPM) best represents the revealed preferences of any investor who can invest in mutual funds (i.e., all investors). This claim seems overly broad, as it applies to all asset classes. However, we show that hedge fund investors' revealed preferences are also best modeled by the CAPM. Because hedge fund investors are sophisticated and can access all assets classes, our finding supports this broad claim. Using the CAPM is rational, as we show that CAPM alpha correlates with managerial skill and predicts performance better than other multi‐factor models.