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Don’t write about new alphas,

not because new alphas are not valuable but because they are not valued in publication. People are no longer interested in new alphas for various reasons:

1a.      We have seen so many, too many, alphas.

2a.      Alphas are not going to last after publication.

3a.      It seems easy to generate alpha, especially now with big data and powerful computers.

...

I know none of these are valid reasons to disregard new alphas, but they are the reasons why people do. I know the truth is that we can flip each of these into reasons why people should care about new alphas:

1b.      Given there are so many alphas, new alphas are increasingly hard to come by.

2b.      Alphas disappearing after publication means that the work has made an impact---it has improved market efficiency and hence social welfare, assuming the alpha was real, of course.

3b.      Big data and powerful computers make new alphas harder to find because the market evolves to be more efficient at the same time. Not to mention the much higher bar for what constitutes an interesting economic story today. Alphas are scarce nowadays.


So for your own good, don’t write about new alphas. Your new alpha will make an impact but will probably not publish well for reasons 1a, 2a, and 3a. Once you’ve posted the paper online or submitted the paper to a conference or a journal, the insight you have becomes public knowledge. Investors will act on your paper, profit from your findings, and your new alpha will be traded away in no time. On the other hand, despite its impact, your paper will be published with about 10% probability. This is a world where everyone benefits from your paper except for you. Considering you could have traded on it yourself, the NPV of writing is negative.


So for your own good, don’t write about new alphas. The world does not need your saving. You do.

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