如果你希望某项股票交易策略能够实现预期效果，切勿传授他人。

    学术研究人员非常擅长识别大量可以预测股票表现的特征，此外他们还善于宣传自己的研究成果。但问题就出在这里。

    涉及新的交易策略的学术论文发表之后会发生什么情况？对于这个问题，美国麻省理工学院（MIT）教授大卫•麦克莱恩和波士顿大学（Boston College）教授杰弗里•庞迪夫着手进行了研究。他们发现，相关的新交易策略会在论文发表后迅速失效。

    麦克莱恩解释说：“我们的研究结果表明，学术研究人员发表了一篇有关某项新交易策略的论文之后，投资者便会从这篇论文中学到这项策略，然后开始按照这项策略进行交易。这样的交易就会对股价造成相应的影响，从而使得股价更加趋向于各自的基本价值，转而使得采取这个策略所能获得的利润明显降低。显然，学术研究破坏了交易策略在股票收益率方面的可预测性。”

    这两位研究人员对68篇经同行评议的研究论文中所述及的82个不同的选股特征进行了分析。他们发现，相关的研究论文发表之后，这些选股特征就会“绩效衰退”约35％。尤其是在涉及市值较大、流动性强而且具有高股息收益率的股票的交易策略中，这种“绩效衰退”的情况更为严重。

    所有这一切本身固然合情合理。毕竟，成功选股主要在于意识到别人没有意识到的某种价值（因而也是他把股票抛售给你的原因）。但是，值得质疑的是，这些学术研究人员花费大量时间来识别这些交易策略是否有价值。如果这种策略从公开发表的那一刻起就大致上已经变得没有多大用处的话，那么他们差不多就是在“创造历史”，也就是记录已成过眼云烟的往事，而对未来的股票交易毫无帮助……

    译者：iDo98

    If you want a stock trading strategy to work, keep it to yourself.

    Academics are very good at identifying characteristics that can predict stock performance. They also are good at publicizing their findings. And therein lies the problem.

    Professors David McLean (MIT) and Jeffrey Pontiff (Boston College) set out to learn what happens after academic papers on new trading strategies are published, and found that the strategies quickly lose efficacy.

    "Our results suggest that when academics publish a paper about a new strategy, investors learn from the paper and begin to trade on that strategy," McLean explains. "This trading impacts prices, bringing them more in line with fundamental values. This in turn makes the strategy less profitable, so it appears that academic research destroys stock return predictability."

    The researchers analyzed 82 different stock-picking characteristics contained in 68 peer-reviewed studies, and found that characteristics "decay" by approximately 35% post-publication. The decay is particularly severe among strategies that involve trading stocks that are large, liquid and have high-dividend yields.

    All of this makes inherent sense. After all, successful stock-picking is largely about realizing something that the other guy doesn't (thus the reason he sells you shares). What it does question, however, is the value of academics spending their time trying to identify such strategies. If the strategy becomes largely irrelevant the moment it gets published, then it's almost like they're literally creating history...