This paper. “The Unintended Impact of Academic Research on Asset Returns: The Capital Asset Pricing Model Alpha,”  explored a channel whereby asset-pricing anomalies can appear as investors alter portfolios according to findings in academic research.

In particular, the author found that assets with low realized capital asset pricing model (CAPM) alphas outperform those with high alphas, but this finding only appeared after the CAPM’s publication in the 1960s. The author also found 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.

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