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