API: Make .shift always copy (Fixes #22397)

doc/source/whatsnew/v0.24.0.txt

@@ -501,6 +501,7 @@ Other API Changes
 - :class:`Index` subtraction will attempt to operate element-wise instead of raising ``TypeError`` (:issue:`19369`)
 - :class:`pandas.io.formats.style.Styler` supports a ``number-format`` property when using :meth:`~pandas.io.formats.style.Styler.to_excel` (:issue:`22015`)
 - :meth:`DataFrame.corr` and :meth:`Series.corr` now raise a ``ValueError`` along with a helpful error message instead of a ``KeyError`` when supplied with an invalid method (:issue:`22298`)
+- :meth:`shift` will now always return a copy, instead of the previous behaviour of returning self when shifting by 0 (:issue:`22397`)
 
 .. _whatsnew_0240.deprecations:
 

pandas/core/generic.py

@@ -8165,7 +8165,7 @@ def mask(self, cond, other=np.nan, inplace=False, axis=None, level=None,
     @Appender(_shared_docs['shift'] % _shared_doc_kwargs)
     def shift(self, periods=1, freq=None, axis=0):
         if periods == 0:
-            return self
+            return self.copy()
 
         block_axis = self._get_block_manager_axis(axis)
         if freq is None:

pandas/tests/generic/test_series.py

@@ -227,3 +227,9 @@ def test_valid_deprecated(self):
         # GH18800
         with tm.assert_produces_warning(FutureWarning):
             pd.Series([]).valid()
+
+    def test_shift_always_copy(self):
+        # GH22397
+        s = Series([1, 2, 3])
+        assert s.shift(0) is not s
+        assert s.shift(1) is not s