# I am the Watcher. I am your guide through this vast new twtiverse.
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2021 年，哪些金融学论文让你印象深刻？**
本回答仅限于 2021 年见刊或即将发表的（所以相应的 working paper 会更早一些）。我其实考虑过再至少补一篇今年的 working paper。但是因为我要介绍的这篇令我的印象太过深刻，因此我想把本回答的全部篇幅都留给它。这篇文章就是：
Martin, I. and S. Nagel (2021). Market efficiency in the age of big data. _Journal of Financial Economics_ forthcoming.
一直以来，人们纠结于因子或异象在样本外失效的各种原因：伪发现，市场结构变化，交易拥挤，曝光导致被套利走等等。Martin and Nagel (2021) 提出了一个全新的视角： investor high-dimensional learning。
传统实证资产定价假设理性预期（rational expectation），即假设投资者知道 ... ⌘ Read more