What does the existence of a positive alpha investment strategy imply?

What will be an ideal response?

If, indeed, these alphas are positive, we are left to draw one of two conclusions:
1. Investors are systematically ignoring positive-NPV investment opportunities. That is, the CAPM correctly computes risk premiums, but investors are ignoring opportunities to earn extra returns without bearing any extra risk, either because they are unaware of them or because the costs to implement the strategies are larger than the NPV of undertaking them.
2. The positive-alpha trading strategies contain risk that investors are unwilling to bear but the CAPM does not capture. That is, a stock's beta with the market portfolio does not adequately measure a stock's systematic risk, and so the CAPM does not correctly compute the risk premium.