The Unintended Impact of Academic Research on Asset Returns: The Capital Asset Pricing Model Alpha
研究发现，投资者根据学术研究调整投资组合会导致资产定价异常，具体表现为低CAPM阿尔法的资产表现优于高阿尔法资产，且该现象仅在CAPM发表后才出现。
This paper explores a channel whereby asset-pricing anomalies can appear as investors alter portfolios according to findings in academic research. In particular, I find that assets with low realized capital asset pricing model (CAPM) alphas outperform those with high alphas, but this finding only appears after the CAPM’s publication in the 1960s. I find evidence consistent with the widespread application of the CAPM generating incentives to tilt portfolios systematically away from low CAPM alpha assets, causing such assets to be undervalued. This paper was accepted by Kay Giesecke, finance.