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学术研究破坏了股票收益可预测性吗?

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添加时间:2015-06-29 00:04:17

最后更新:2015-06-29 00:09:43

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资源简介

阿尔伯特大学的金融学家DAVID MCLEAN 与波士顿学院的金融学家JEFFREY PONTIFF的研究表明:投资者会学习学术出版物的相关研究,从而减少其错误定价行为。

 

Does Academic Research Destroy Stock Return Predictability?*


R. DAVID MCLEAN and JEFFREY PONTIFF


Journal of Finance, Forthcoming


ABSTRACT
We study the out-of-sample and post-publication return-predictability of 97 variables that academic studies show to predict cross-sectional stock returns. Portfolio returns are 26% lower out-of-sample and 58% lower post-publication. The out-of-sample decline is an upper bound estimate of data mining effects. We estimate a 32% (58% - 26%) lower return from publication-informed trading. Post-publication declines are greater for predictors with higher in-sample returns, and returns are higher for portfolios concentrated in stocks with high idiosyncratic risk and low liquidity. Predictor portfolios exhibit post-publication increases in correlations with other published-predictor portfolios. Our findings suggest investors learn about mispricing from academic publications.


Keywords: Return predictability, limits of arbitrage, publication impact, market efficiency, comovement, statistical bias.
JEL Code: G00, G14, L3, C1

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