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Various trading strategies appear to offer non-zero alphas when we examine real world data. If ...

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Various trading strategies appear to offer non-zero alphas when we examine real world data. If ...

Various trading strategies appear to offer non-zero alphas when we examine real world data. If indeed these alphas are positive, it could be explained by any of the following EXCEPT:
A) Investors are systematically ignoring positive-NPV investment opportunities.
B) The market portfolio is inefficient, but the market portfolio proxy used to calculate the alphas is efficient.
C) A stock's beta with the market portfolio does not adequately measure a stock's systematic risk.
D) The positive alpha trading strategies contain risk that investors are unwilling to bear but the CAPM does not capture.

Textbook

Corporate Finance: The Core

Edition: 4^th

Authors: Berk, DeMarzo

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