The Unintended Impact of Academic Research on Asset Returns: The Capital Asset Pricing Model Alpha

• 成果类型: Article
• 署名作者: Horenstein, Alex R.
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2020.3635
• 发表日期: 2021
• 页码: 3655-3673
• 关键词: betting against alpha; Capital asset pricing model; extrapolative beliefs

摘要

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.