Does Academic Research Destroy Stock Return Predictability?

A study asking whether academic research destroys stock return predictability. The companion cites its finding that anomalies lose more than half of their returns once academics publish them. It supports the market precedent for teleological saturation (C2): purpose, aggregated and in competition, looks like noise.

Cited in

the companion paper (Companion §10)

Used for

C2C2

Strand

Studying up: reflexivity, observation & method · Reflexivity, performativity & studying up

Cite

@article{mclean2016does,
  title = {Does Academic Research Destroy Stock Return Predictability?},
  author = {R. David McLean and Jeffrey Pontiff},
  year = {2016},
  journal = {The Journal of Finance},
  doi = {10.1111/jofi.12365},
}