Primate biologists worry their mere presence among the apes they study could change behavior. Academics studying markets can have a similar effect.
For 40 years, economists have published a steady stream of articles detailing money-making opportunities, or so-called anomalies, which should in theory have been arbitraged away. But the free lunches get more expensive once they’re publicized, according to David McLean of the University of Alberta and Jeffrey Pontiff of Boston College.
Examining 72 anomalies appearing in academic journals between 1972 and 2011, they found that after publication average returns eroded by 35%....MORE
See also last November's "Traders Copy Academics Who Copy Traders: 'Does Academic Research Destroy Stock Return Predictability?'" for more on the work of Pontiff/McLean and the difficulty in finding research that is exploitable.
