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Effects of In-sample Bias and Market Adaptation on Stock Anomalies [PREMIUM]

Do stock return anomalies weaken after discovery? If so, why? In the February 2016 update of their paper entitled “Does Academic Research Destroy Stock Return Predictability?”, David McLean and Jeffrey Pontiff examine out-of-sample and post-publication performance of 97 predictors of the cross section of stock returns published in peer-reviewed finance, accounting and economics journals.
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