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As there are different aspects if you want to search the paranormal.

Physical aspect: As investigations often take place in the dark, it may cause hazards. You can not see anything, you can stumble into things, etc.
Paranormal aspect: Stated by various paranormal investigators, they have afterwards been haunted themselves. Whether one can call it bad luck, is unknown.
The psychological aspect: For a skeptic, such a study could be traumatizing. It is easy to explain things by "creeking doors", "cold drafts" and "car headlights making shadows in the house". By experiencing a real paranormal activity, the skeptic's faith in physic and belief could be shaken.
Social aspect: The possibility of ridicule is the biggest threat in the paranormal community. Friends, acquaintances and employers can easily see this unconventional hobby as "nonsense and witchcraft".
Legal aspect: Any ghosthunt or paranormal invesigation must be approved by the owner of the object of interest. Even a field. If you forget this, it can easily constitute a visit from the police.