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

22

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181

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323

Scholarly Papers (22)

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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 9,762 (525)
Citation 87

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

2.

Anomalies and News

Journal of Finance, Forthcoming
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 3,060 (3,940)
Citation 35

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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
Number of pages: 53 Posted: 20 Sep 2009 Last Revised: 07 Aug 2013
R. David McLean and Mengxin Zhao
Georgetown University - Department of Finance and Securities and Exchange Commission (SEC)
Downloads 1,430 (13,897)
Citation 14

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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 1,208 (17,984)
Citation 14

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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 913 (27,167)
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 and Mengxin Zhao
Georgetown University - Department of Finance, City University of Hong Kong (CityUHK) - Department of Accountancy and Securities and Exchange Commission (SEC)
Downloads 899 (27,761)
Citation 7

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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 824 (31,422)
Citation 24

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

8.

Costly Arbitrage and Idiosyncratic Risk: Evidence from Short Sellers

Downloads 777 ( 34,033)

Costly Arbitrage and Idiosyncratic Risk: Evidence from Short Sellers

Journal of Financial Intermediation, Vol. 19, pp. 564-579, 2010
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 777 (33,521)
Citation 2

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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
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

Downloads 755 ( 35,416)

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 755 (34,876)

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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
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 672 (41,439)
Citation 9

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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

AFA 2010 Atlanta Meetings Paper
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 654 (43,008)
Citation 8

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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 (Simba) 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 566 (51,876)
Citation 6

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Innovation, Patents, TFP growth, Economic growth

13.

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 and Mengxin Zhao
University of Maine, Georgetown University - Department of Finance and Securities and Exchange Commission (SEC)
Downloads 465 (66,381)
Citation 3

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

14.

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 and Mengxin Zhao
Georgetown University - Department of Finance, City University of Hong Kong (CityUHK) - Department of Accountancy and Securities and Exchange Commission (SEC)
Downloads 416 (75,985)
Citation 5

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

15.

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 and Mengxin Zhao
Georgetown University - Department of Finance and Securities and Exchange Commission (SEC)
Downloads 360 (89,806)
Citation 2

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

16.

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 Federal Reserve Board
Downloads 231 (143,928)
Citation 3

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

17.

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

Number of pages: 42 Posted: 27 Jun 2013 Last Revised: 10 Aug 2017
R. David McLean, Jeffrey Pontiff and Mengxin Zhao
Georgetown University - Department of Finance, Boston College - Department of Finance and Securities and Exchange Commission (SEC)
Downloads 214 (154,805)

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Liberalization, Equity Issuance, Financial Constraints, Capital Raising

18.

Ancestral Beliefs about Gender Roles and Women in Corporate Leadership

Number of pages: 45 Posted: 29 Oct 2018 Last Revised: 10 Jun 2020
R. David McLean, Christo A. Pirinsky and Mengxin Zhao
Georgetown University - Department of Finance, University of Central Florida and Securities and Exchange Commission (SEC)
Downloads 172 (188,876)

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gender gap; women executives; women board members

19.

Are Cross-Sectional Predictors Good Market-Level Predictors?

American Finance Association Annual Meeting Paper, 2019
Number of pages: 47 Posted: 05 Oct 2019 Last Revised: 08 Jun 2020
Joseph Engelberg, R. David McLean, Jeffrey Pontiff and Matthew 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 150 (212,069)
Citation 4

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

20.

U.S. Financial Markets Growth and the Real Economy

Number of pages: 49 Posted: 05 Oct 2013
Claire Y.C. Liang, R. David McLean and Mengxin Zhao
University of Maine, Georgetown University - Department of Finance and Securities and Exchange Commission (SEC)
Downloads 117 (257,186)

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21.

Taking Sides on Return Predictability

Number of pages: 48
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 2

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

22.

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