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- Title
The Unintended Impact of Academic Research on Asset Returns: The Capital Asset Pricing Model Alpha.
- Authors
Horenstein, Alex R.
- Abstract
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.
- Subjects
CAPITAL assets pricing model; RETURN on assets; UNIVERSITY research
- Publication
Management Science, 2021, Vol 67, Issue 6, p3655
- ISSN
0025-1909
- Publication type
Article
- DOI
10.1287/mnsc.2020.3635