Does academic research destroy stock return predictability?– David McLean

Visiting Asst. Prof. David McLean

The first published paper that I know of to document that returns are predictable across stocks was published in 1972. In that paper, the authors showed that price level predicts returns in that low priced stocks tend to have higher returns than high priced stocks. Since then, this has been an active research area with numerous academic papers showing that various strategies based on observable firm traits (e.g., size, past performance) can predict returns across stocks. Read More »