R. David McLean

Georgetown University - Department of Finance

3700 O Street, NW

Washington, DC Washington DC 20057

United States

  • Georgetown University - Department of Finance

SCHOLARLY PAPERS

23

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333

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324

Scholarly Papers (23)

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1.

Does Academic Research Destroy Stock Return Predictability?

Journal of Finance, Forthcoming
Number of pages: 48 Posted: 04 Oct 2012 Last Revised: 24 Feb 2016
R. David McLean and Jeffrey Pontiff
Georgetown University - Department of Finance and Boston College - Department of Finance
Downloads 11,132 (614)
Citation 149

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anomalies, arbitrage, limits of arbitrage, short selling, predicting stock returns

2.

Anomalies and News

Journal of Finance, Forthcoming, 6th Miami Behavioral Finance Conference
Number of pages: 65 Posted: 17 Jul 2015 Last Revised: 23 Nov 2017
Joseph Engelberg, R. David McLean and Jeffrey Pontiff
University of California, San Diego (UCSD) - Rady School of Management, Georgetown University - Department of Finance and Boston College - Department of Finance
Downloads 3,460 (4,630)
Citation 45

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News, Anomalies, Cross-sectional return predictability, earnings announcements, market efficiency

3.

The Business Cycle, Investor Sentiment, and Costly External Finance

Journal of Finance, Forthcoming, University of Alberta School of Business Research Paper No. 2013-1310
Number of pages: 53 Posted: 20 Sep 2009 Last Revised: 07 Aug 2013
R. David McLean, Mengxin Zhao and Mengxin Zhao
Georgetown University - Department of Finance and Securities and Exchange Commission (SEC)Independent
Downloads 1,486 (17,981)
Citation 21

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Business Cycle, Recession, Investor Sentiment, Financial Constraint, Market Efficiency, Corporate Investment

4.

Analysts and Anomalies

Journal of Accounting & Economics (JAE), Forthcoming
Number of pages: 46 Posted: 23 Mar 2017 Last Revised: 15 Aug 2019
Joseph Engelberg, R. David McLean and Jeffrey Pontiff
University of California, San Diego (UCSD) - Rady School of Management, Georgetown University - Department of Finance and Boston College - Department of Finance
Downloads 1,394 (19,794)
Citation 15

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Anomalies, Analysts, Market Efficiency

5.

Idiosyncratic Risk, Long-Term Reversal, and Momentum

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 44 Posted: 23 Jul 2007 Last Revised: 05 Jun 2009
R. David McLean
Georgetown University - Department of Finance
Downloads 946 (34,807)
Citation 6

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Costly arbitrage, Idiosyncratic risk, Market efficiency, Momentum, Reversals

6.

Why Does the Law Matter? Investor Protection and its Effects on Investment, Finance, and Growth

Journal of Finance, Forthcoming
Number of pages: 64 Posted: 07 Jan 2011 Last Revised: 27 Jan 2013
R. David McLean, Tianyu Zhang, Mengxin Zhao and Mengxin Zhao
Georgetown University - Department of Finance, City University of Hong Kong (CityUHK) - Department of Accountancy and Securities and Exchange Commission (SEC)Independent
Downloads 938 (35,213)
Citation 16

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Investor Protection, Financial Constraints, Investment-Sensitivity, Financial Development

7.

Share Issuance and Cross-Sectional Returns: International Evidence

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 48 Posted: 22 Aug 2007 Last Revised: 27 Jan 2013
R. David McLean, Jeffrey Pontiff and Akiko Watanabe
Georgetown University - Department of Finance, Boston College - Department of Finance and University of Alberta - School of Business
Downloads 905 (37,067)
Citation 45

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Return Predictability, Market Efficiency, International Asset Pricing, Corporate Finance

8.

Costly Arbitrage and Idiosyncratic Risk: Evidence from Short Sellers

Downloads 802 ( 43,739)
Citation 6

Costly Arbitrage and Idiosyncratic Risk: Evidence from Short Sellers

Journal of Financial Intermediation, Vol. 19, pp. 564-579, 2010, WFA 2006 Keystone Meetings Paper
Number of pages: 31 Posted: 14 Aug 2006 Last Revised: 27 Jan 2013
Ying Duan, Gang Hu and R. David McLean
Simon Fraser University (SFU) - Beedie School of Business, Hong Kong Polytechnic University - School of Accounting and Finance and Georgetown University - Department of Finance
Downloads 802 (43,138)
Citation 6

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Short sellers, short interest, short sale constraints, costly arbitrage, idiosyncratic risk, market efficiency

Costly Arbitrage and Idiosyncratic Risk: Evidence from Short Sellers

Journal of Financial Intermediation, Vol. 19, No. 4, 2010, University of Alberta School of Business Research Paper No. 2013-204
Posted: 23 May 2013 Last Revised: 30 May 2013
Ying Duan, Gang Hu and R. David McLean
Simon Fraser University (SFU) - Beedie School of Business, Hong Kong Polytechnic University - School of Accounting and Finance and Georgetown University - Department of Finance

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9.

When is Stock-Picking Likely to be Successful? Evidence from Mutual Funds

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When is Stock-Picking Likely to be Successful? Evidence from Mutual Funds

Financial Analysts Journal, Vol. 65, No. 2, pp. 55-66, 2009
Number of pages: 29 Posted: 12 Dec 2008 Last Revised: 27 Jan 2013
Ying Duan, Gang Hu and R. David McLean
Simon Fraser University (SFU) - Beedie School of Business, Hong Kong Polytechnic University - School of Accounting and Finance and Georgetown University - Department of Finance
Downloads 784 (44,419)
Citation 1

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mutual funds, insitutional investors, arbitage, limits of arbitrage, idiosyncratic risk, market efficiency

When is Stock Picking Likely to Be Successful? Evidence from Mutual Funds

Financial Analysts Journal, 65, Number 2, 2009, University of Alberta School of Business Research Paper No. 2013-205
Posted: 23 May 2013 Last Revised: 30 May 2013
Ying Duan, Gang Hu and R. David McLean
Simon Fraser University (SFU) - Beedie School of Business, Hong Kong Polytechnic University - School of Accounting and Finance and Georgetown University - Department of Finance

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10.

Share Issuance and Cash Savings

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 67 Posted: 20 Mar 2008 Last Revised: 22 Jan 2016
R. David McLean
Georgetown University - Department of Finance
Downloads 698 (52,608)
Citation 17

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Market Timing, SEO, Equity, Share Issuance, Cash, Precautionary Motives

11.

The Year-End Trading Activities of Institutional Investors: Evidence from Daily Trades

Review of Financial Studies, Forthcoming, AFA 2010 Atlanta Meetings Paper, EFA 2009 Bergen Meetings Paper, University of Alberta School of Business Research Paper No. 2014-11
Number of pages: 39 Posted: 15 Feb 2009 Last Revised: 08 Dec 2013
Gang Hu, R. David McLean, Jeffrey Pontiff and Qinghai Wang
Hong Kong Polytechnic University - School of Accounting and Finance, Georgetown University - Department of Finance, Boston College - Department of Finance and University of Central Florida - College of Business Administration
Downloads 697 (52,718)
Citation 9

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mutual funds, portfolio pumping, window dressing, tape painting, institutional investors

12.

Do Patents Portend Productivity Growth? Global Evidence from Private and Public Firms

Number of pages: 50 Posted: 25 Dec 2013 Last Revised: 04 Aug 2018
Xin Chang, R. David McLean, Bohui Zhang and Wenrui Zhang
Nanyang Business School, Nanyang Technological University, Georgetown University - Department of Finance, The Chinese University of Hong Kong, Shenzhen and The Chinese University of Hong Kong (CUHK) - Department of Finance
Downloads 657 (56,877)
Citation 6

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Innovation, Patents, TFP growth, Economic growth

13.

Taking Sides on Return Predictability

Number of pages: 54 Posted: 20 Jul 2020 Last Revised: 22 Feb 2022
R. David McLean, Jeffrey Pontiff and Christopher Reilly
Georgetown University - Department of Finance, Boston College - Department of Finance and Boston College - Department of Finance
Downloads 571 (68,050)
Citation 1

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Anomalies, Retail investors, Institutional investors, Short sellers, Hedge funds

14.

U.S. Financial Markets Growth and the Real Economy

International Conference of the French Finance Association (AFFI) 2011
Number of pages: 48 Posted: 07 Dec 2010 Last Revised: 08 Dec 2013
Claire Y.C. Liang, R. David McLean, Mengxin Zhao and Mengxin Zhao
Georgetown University, Georgetown University - Department of Finance and Securities and Exchange Commission (SEC)Independent
Downloads 481 (84,015)
Citation 4

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Financial dependence, Financial development, Innovation, Research and Development, Creative Destruction

15.

Investor Protection and Choice of Share Issuance Mechanism

AFFI - French Finance Association , International Conference of the French Finance Association (AFFI) 2011
Number of pages: 44 Posted: 21 Jun 2010 Last Revised: 27 Jan 2013
R. David McLean, Tianyu Zhang, Mengxin Zhao and Mengxin Zhao
Georgetown University - Department of Finance, City University of Hong Kong (CityUHK) - Department of Accountancy and Securities and Exchange Commission (SEC)Independent
Downloads 452 (90,453)
Citation 6

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Seasoned equity offerings, Rights offerings, Private placements, Mergers, Investor protection, Equity market development, Operating performance

16.

Do Cross-Sectional Predictors Contain Systematic Information?

Journal of Financial and Quantitative Analysis, Forthcoming
Number of pages: 45 Posted: 05 Oct 2019 Last Revised: 03 May 2022
Joseph Engelberg, R. David McLean, Jeffrey Pontiff and Matthew C. Ringgenberg
University of California, San Diego (UCSD) - Rady School of Management, Georgetown University - Department of Finance, Boston College - Department of Finance and University of Utah - Department of Finance
Downloads 419 (98,782)
Citation 4

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Return predictability, data snooping, statistical bias, market risk premium.

17.

Cash Savings and Capital Markets

Journal of Empirical Finance, Forthcoming
Number of pages: 46 Posted: 07 Dec 2011 Last Revised: 19 Feb 2018
R. David McLean, Mengxin Zhao and Mengxin Zhao
Georgetown University - Department of Finance and Securities and Exchange Commission (SEC)Independent
Downloads 378 (111,172)
Citation 3

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market timing, cash savings, precautionary motives, hedging, financial development, investor protection

18.

Corporate Leadership and Inherited Beliefs about Gender Roles

Forthcoming, Journal of Financial and Quantitative Analysis
Number of pages: 57 Posted: 29 Oct 2018 Last Revised: 29 Jun 2022
R. David McLean, Christo A. Pirinsky, Mengxin Zhao and Mengxin Zhao
Georgetown University - Department of Finance, University of Central Florida and Securities and Exchange Commission (SEC)Independent
Downloads 319 (133,701)

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gender gap; women executives; women board members; regional culture

19.

Debt Issue Motives and Earnings Optimism

Number of pages: 44 Posted: 18 Jan 2016 Last Revised: 01 Apr 2018
R. David McLean and Berardino Palazzo
Georgetown University - Department of Finance and Board of Governors of the Federal Reserve System
Downloads 270 (158,878)
Citation 4

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debt issues; analyst forecast error; earnings surprises; rollovers; liquidity squeezes; leverage; maturity structure

20.

A Closer Look at the Effects of Equity Market Liberalization in Emerging Markets

Review of Corporate Finance Studies, Forthcoming
Number of pages: 46 Posted: 27 Jun 2013 Last Revised: 01 Apr 2022
R. David McLean, Jeffrey Pontiff, Mengxin Zhao and Mengxin Zhao
Georgetown University - Department of Finance, Boston College - Department of Finance and Securities and Exchange Commission (SEC)Independent
Downloads 238 (179,836)

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Liberalization, Equity Issuance, Financial Constraints, Capital Raising

21.

Social Media and Short Sellers

Number of pages: 56 Posted: 21 Aug 2021 Last Revised: 29 Jun 2022
Guilong Cai, R. David McLean, Tianyu Zhang, Mengxin Zhao and Mengxin Zhao
Sun Yat-sen University (SYSU), Georgetown University - Department of Finance, The Chinese University of Hong Kong (CUHK) and Securities and Exchange Commission (SEC)Independent
Downloads 135 (293,460)

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short selling, social media, manipulation, arbitrage

22.

U.S. Financial Markets Growth and the Real Economy

Number of pages: 49 Posted: 05 Oct 2013
Claire Y.C. Liang, R. David McLean, Mengxin Zhao and Mengxin Zhao
Georgetown University, Georgetown University - Department of Finance and Securities and Exchange Commission (SEC)Independent
Downloads 124 (312,776)

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23.

Fooled by Compounding

Journal of Portfolio Management, 2012, https://doi.org/10.3905/jpm.2012.38.2.108
Posted: 08 Oct 2009 Last Revised: 23 May 2019
R. David McLean
Georgetown University - Department of Finance

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compounding, black swans, return measurement, event studies, alpha, outliers, abnormal returns