英文标题：
《On Origins of Alpha》
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作者：
Zura Kakushadze
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最新提交年份：
2015
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英文摘要：
  We argue that an important contributing factor into market inefficiency is the lack of a robust mechanism for the stock price to rise if a company has good earnings, e.g., via buybacks/dividends. Instead, the stock price is prone to volatility due to rather random perception/interpretation of earnings announcements (among other data) by market participants. We present empirical evidence indicating that dividend paying stocks on average are less volatile, even factoring out market cap. We further ponder possible ways of increasing market efficiency via 1) instituting such a mechanism, 2) a taxation scheme that would depend on holding periods, and 3) a universal crossing engine/exchange for mutual and pension funds (and similar long holding horizon vehicles) with no dark pools, 100% transparency, and no advantage for timing orders.
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中文摘要：
我们认为，导致市场效率低下的一个重要因素是，如果一家公司有良好的收益，例如通过回购/股息，那么缺乏一个强大的机制来推动股价上涨。相反，由于市场参与者对收益公告（以及其他数据）的随机感知/解读，股票价格容易波动。我们提供的经验证据表明，平均而言，派息股票的波动性较小，即使考虑到市值因素。我们进一步思考了通过以下方式提高市场效率的可能途径：1）建立这样一种机制，2）一个取决于持有期的税收方案，以及3）共同基金和养老基金（以及类似的长期持有期工具）的通用交叉引擎/交换，没有暗池，100%的透明度，没有时间安排优势。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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