"In contrast to the widely held belief, mispricing associated with the 11 L/S anomalies underlying our composite ranking measure appears to be at least as prevalent in developed markets as in emerging markets."
2/ Caveats: "Emerging markets appear to be comparatively under-researched. This likely has led to a better understanding of which factors truly have predictive power in more mature markets, and the Stambaugh, Yu, and Yuan mispricing score could be partly based on such variables."
3/ "Ranks are standardized to be uniformly distributed over the interval (0,1] in each country-month. A stock's composite rank is computed as the arithmetic average of its anomaly ranks.
"I rely on yearly (not quarterly) accounting data due to limited data availability."
4/ "There is strong evidence for return predictability. Inefficiencies appear to be at least as large in developed markets as they are in emerging markets.
"Smaller (larger) countries with fewer (more) firms tend to dominate the 'country average (composite)' measure."
5/ "Inferences from the baseline analysis carry over to robustness tests. Virtually all alphas are economically and statistically significant. The difference between the alpha obtained in developed markets and that obtained in emerging markets is positive (10 to 61 bps/month)."
6/ "Our tests indicate greater mispricing after switching from being classified as an emerging market to being classified as a developed market.
"In sum, findings obtained from the within-country variation in market development support the results from cross-country variation."
7/ "Market participants in developed markets are more surprised by information contained in the earnings announcements of mispriced stocks.
"Analysts overestimate the earnings of overpriced stocks and, in developed markets only, underestimate the earnings of underpriced stocks."
8/ "Firm characteristics, in particular return R², explain a sizeable fraction of the mispricing difference between developed & emerging markets.
"Anomaly spreads across & within countries appear to be positively related to firm characteristics that may proxy for noise trading."
9/ "There is little evidence IFRS adoption yields reliably lower mispricings.
"This may suggest that aggregate mispricing is hardly affected by disclosure quality; such differences between emerging & developed markets may not necessarily imply strong differences in mispricing."
10/ Caveats: "Our composite mispricing measure is purely cross-sectional and thus does not allow us to draw inferences about market-wide overpricing or underpricing.
"Most of the large cross-country variation in return predictability is still unexplained.
11/ "It is still an open question as to what extent institutional investors' sentiment-induced demand shocks, investment constraints, or agency conflicts (DeVault, Sias, Starks; Edelen, Ince, Kadlec; Lakonishok, Shleifer, Vishny) contribute to mispricing in developed markets."
1/ Investor Demand for Leverage: Evidence from Equity Closed-End Funds (Dam, Davies, Moon)
"We document a strong negative relation between equity CEF fund leverage and associated discounts, indicating that investors pay a relative premium for leverage."
2/ "Each year, we segment funds into two categories: pure equity and mixed-allocation funds. These categories are primarily based on Bloomberg classifications. We manually classify the funds that Bloomberg does not cover. The vast majority of our funds are purely equity-focused."
3/ "To prevent survivorship bias, we do not require funds to have the data from Bloomberg.
"When we use a binary indicator for whether a fund is levered, we set it to zero for funds not covered by Bloomberg. This is conservative (biasing in the direction of finding no result)."
"The most important aspect of cancer progression is the growth pathways of the body, which are also the nutrient-sensing pathways. While there is more to discover, this new paradigm represents a huge leap forward." (p.311)
2/ "In medical research, opinions that dissent from the specified narrative are not welcome.
"John Maynard Keynes is quoted as having said, “The difficulty lies not so much in developing new ideas as in escaping from old ones.” " (p. 3)
3/ "From 1990 to 2002, 68% of the FDA approvals were for cancer drugs that did not necessarily improve life expectancy.
"The most common reason for approval is called the “partial tumor response rate:” the drugs were shown to shrink the primary tumor in volume by over 50%.
2/ "In winter (Jan–Mar) of 2020, COVID-19 explains 85% of the power sector reduction, the rest being attributed to exceptionally warm weather across much of the northern hemisphere.
"The total difference is the largest ever decline in emissions over the first half year."
3/ "The rebound is normal, especially in energy-intensive industries, in which industrial activities and infrastructure construction was suspended during lockdown. This could result in the shortage of industrial products and rebound of production after the lockdown is released."
2/ "The income-happiness correlation is positive but modest; this should puzzle us.
"Money allows people to live healthier lives, buffer against worry and harm, have leisure time with friends and family, and control their daily activities—all of which are sources of happiness.
3/ "Money is an opportunity for happiness, but people routinely squander it the things they think will make them happy often don’t.
"A sizeable literature shows that affective forecasts are often wrong. People’s mental simulations of future events are almost always imperfect.
"In U.S. and international individual stocks, constant volatility-scaled, constant semi-volatility-scaled, and dynamic-scaled momentum all decrease momentum crashes and have higher risk-adj. returns."
2/ "We calculate portfolio breakpoints for each country separately to ensure that country effects do not drive our results.
"Since we measure returns in USD, we calculate excess returns based on the 1-month U.S. Treasury bill rate."
HMLd = AQR HML-Devil monthly-updated factor
3/ cMOM targets a constant momentum portfolio volatility (chosen so that the full-sample volatilities of momentum and cMOM are identical) using 126-day trailing volatility as the forecast.
sMOM uses downside volatility.
dMOM is like cMOM but includes a strategy return forecast.
3/ "He was still five months from the sudden events that would find him walking the streets of New York barefoot, trying to maintain control of his company in the middle of the most humiliating attempt at a public offering in American business history,