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McLean/Pontiff (2016) give evidence that portfolio returns are 26% lower out-of-sample and 58% lower after publishing an academic paper on variables, which are likely to predict cross-sectional returns:

Our findings suggest that investors learn about mispricing from academic publications. [...] This result is also consistent with the idea that academic research draws trading attention to the predictors.

Isn't this a self-fulfilling prophecy, having regard to the data-snooping bias?

Assume data-snooping leads us to a variable which explains the cross-section of stock returns and luckily passes some robustness tests. After publishing our paper, the market adopts our findings and diminishes strategies based on our variable - although there is no economic reason to do so! In fact, anyone thinks of a previous mispricing but only after our publication real mispricing arises.

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    $\begingroup$ Only anecdotal evidence. Dong Lou once said that one of the big investment banks tried for him not to circulate this paper: personal.lse.ac.uk/loud/ATugofWar.pdf precisely because it was the type of trading they were doing. $\endgroup$ – phdstudent Oct 17 '18 at 9:27

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