The paper, by Andrew Chen, Alejandro Lopez-Lira, and Tom Zimmermann (who I will call CLZ), looks at two sets of predictors of above-market stock returns, or “alpha”. The first set includes 200 signals documented in prestigious peer-reviewed journals of economics, finance, and accounting; they include things such as rising investment, high debt or equity issuance, and earnings surprises. In the literature, these come with historical evidence of outperformance and, in many cases, an accompanying economic explanation. The explanations tend to propose either that investors are being paid for taking on risk, or that a persistent form of investor irrationality is at work.