The Unintended Impact of Academic Research on Asset Returns: The Capital Asset Pricing Model Alpha
Published Online:6 Oct 2020https://doi.org/10.1287/mnsc.2020.3635
References
- (2017) Alpha or beta in the eye of the beholder: What drives hedge fund flows? J. Financial Econom. 127(3):417–434.Crossref, Google Scholar
- (2018) Beta matrix and common factors in stock returns. J. Financial Quant. Anal. 53(3):1417–1440.Crossref, Google Scholar
- (2007) CAPM over the long run: 1926–2001. J. Empirical Finance 14(1):1–40.Crossref, Google Scholar
- (2016) Betting against correlation: Testing theories of the low-risk effect. Preprint, submitted January 31, https://ssrn.com/abstract=2913508.Google Scholar
- (2011) Benchmarks as limits to arbitrage: Understanding the low-volatility anomaly. Financial Anal. J. 67(1):40–54.Crossref, Google Scholar
- (1981) The relationship between return and market value of common stocks. J. Financial Econom. 9(1):3–18.Crossref, Google Scholar
- (2016) Which factors matter to investors? Evidence from mutual fund flows. Rev. Financial Stud. 29(10):2600–2642.Crossref, Google Scholar
- (2015) X-CAPM: An extrapolative capital asset pricing model. J. Financial Econom. 115(1):1–24.Crossref, Google Scholar
- (2018) Extrapolation and bubbles. J. Financial Econom. 129(2):203–227.Crossref, Google Scholar
- (2017) Which alpha? Rev. Financial Stud. 30(4):1316–1338.Crossref, Google Scholar
- (2010) False discoveries in mutual fund performance: Measuring luck in estimated alphas. J. Finance 65(1):179–216.Crossref, Google Scholar
- (2005) The mutual fund industry 60 years later: For better or worse? Financial Anal. J. 61(1):15–24.Crossref, Google Scholar
- (2010) Hedge fund contagion and liquidity shocks. J. Finance 65(5):1789–1816.Crossref, Google Scholar
- (2013) Analyst recommendations, mutual fund herding, and overreaction in stock prices. Management Sci. 60(1):1–20.Link, Google Scholar
- (2009) Market liquidity and funding liquidity. Rev. Financial Stud. 22(6):2201–2238.Crossref, Google Scholar
- (2019) When anomalies are publicized broadly, do institutions trade accordingly? Management Sci. 65(10):4555–4574.Google Scholar
- (2004) Bad beta, good beta. Amer. Econom. Rev. 94(5):1249–1275.Crossref, Google Scholar
- (1997) On persistence in mutual fund performance. J. Finance 52(1):57–82.Crossref, Google Scholar
- (2009) How active is your fund manager? A new measure that predicts performance. Rev. Financial Stud. 22(9):3329–3365.Crossref, Google Scholar
- (2017) On the demand for high-beta stocks: Evidence from mutual funds. Rev. Financial Stud. 30(8):2596–2620.Crossref, Google Scholar
- (2011) Institutional trade persistence and long-term equity returns. J. Finance 66(2):635–653.Crossref, Google Scholar
- (1985) Does the stock market overreact? J. Finance 40(3):793–805.Crossref, Google Scholar
- (2017) Factor-based investing: The long-term evidence. J. Portfolio Management 43(5):15–37.Crossref, Google Scholar
- (1992) The cross-section of expected stock returns. J. Finance 47(2):427–465.Crossref, Google Scholar
- (1993) Common risk factors in the returns on stocks and bonds. J. Financial Econom. 33(1):3–56.Crossref, Google Scholar
- (2008) Dissecting anomalies. J. Finance 63(4):1653–1678.Crossref, Google Scholar
- (2010) Luck vs. skill in the cross-section of mutual fund returns. J. Finance 65(5):1915–1947.Crossref, Google Scholar
- (2018) Choosing factors. J. Financial Econom. 128(2):234–252.Crossref, Google Scholar
- (2014) Betting against beta. J. Financial Econom. 111(1):1–25.Crossref, Google Scholar
- (2014) Expectations of returns and expected returns. Rev. Financial Stud. 27(3):714–746.Crossref, Google Scholar
- (1996) Another puzzle: The growth in actively managed mutual funds. J. Finance 51(3):783–810.Crossref, Google Scholar
- (2016) …and the cross-section of expected returns. Rev. Financial Stud. 29(1):5–68.Crossref, Google Scholar
- (2020) New factors wanted: Evidence from a simple specification test. Preprint, submitted February 28, https://ssrn.com/abstract=3143752.Google Scholar
- (2018) Alpha momentum and price momentum. Internat. J. Financial Stud . 6(2):1–28.Crossref, Google Scholar
- (1990) Evidence of predictable behavior of security returns. J. Finance 45(3):881–898.Crossref, Google Scholar
- (1993) Returns to buying winners and selling losers: Implications for stock market efficiency. J. Finance 48(1):65–91.Crossref, Google Scholar
- (1968) The performance of mutual funds in the period 1945–1964. J. Finance 23(2):389–416.Crossref, Google Scholar
- (1972) The Capital Asset Pricing Model: Some empirical tests. Jenson MC , ed. Studies in the Theory of Capital Markets (Praeger Publishers, London).Google Scholar
- (2008) Unobserved actions of mutual funds. Rev. Financial Stud. 21(6):2379–2416.Crossref, Google Scholar
- (2014) Time-varying fund manager skill. J. Finance 69(4):1455–1484.Crossref, Google Scholar
- (2019) Characteristics are covariances: A unified model of risk and return. J. Financial Econom. 134(3):501–524.Crossref, Google Scholar
- (2020) Shrinking the cross-section. J. Financial Econom. 135(2):271–279.Crossref, Google Scholar
- (1991) Window dressing by pension fund managers. Amer. Econom. Rev. 81(2):227–231.Crossref, Google Scholar
- (1965) The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. Rev. Econom. Statist. 47(1):13–37.Crossref, Google Scholar
- (2002) The statistics of Sharpe ratios. Financial Anal. J. 58(4):36–52.Crossref, Google Scholar
- (2019) Portfolio manager compensation in the U.S. mutual fund industry. J. Finance 74(2):587–638.Crossref, Google Scholar
- (1995) Returns from investing in equity mutual funds 1971 to 1991. J. Finance 50(2):549–572.Crossref, Google Scholar
- (2016) Does academic research destroy stock return predictability? J. Finance 71(1):5–32.Crossref, Google Scholar
- (1972) An intertemporal capital asset pricing model. Econometrica 41(5):867–887.Crossref, Google Scholar
- (1966) Equilibrium in a capital asset market. Econometrica 34(4):768–783.Crossref, Google Scholar
- (2018) Betting against betting against beta. Preprint, submitted November, https://ssrn.com/abstract=3300965.Google Scholar
- (1976) The arbitrage theory of capital asset pricing. J. Econom. Theory 13(3):341–360.Crossref, Google Scholar
- (2003) Anomalies and market efficiency. Constantinides GM , Harris M , Stulz R , eds. Handbook of the Economics of Finance (Elsevier, Amsterdam), 937–972.Google Scholar
- (1964) Capital asset prices: A theory of market equilibrium under conditions of risk. J. Finance 19(3):425–442.Google Scholar
- (2019) The mismatch between mutual fund scale and skill. Preprint, December 12, https://ssrn.com/abstract=3065700.Google Scholar
- (1999) Toward a theory of market value and risky assets. Korajczyk RA , ed. Asset Pricing and Portfolio Performance (Risk Books, London), 15–22.Google Scholar
- (2000) Mutual fund performance: An empirical decomposition into stock-picking talent, style, transaction costs, and expenses. J. Finance 55(4):1655–1695.Crossref, Google Scholar
- (2019) Alpha momentum and alpha reversal in country and industry equity indexes. J. Empirical Finance 53(xx):144–161.Crossref, Google Scholar

