Why some factor investing strategies only work in the developed but not the emerging countries?

In our forthcoming JFQA paper, we show that in order for anomalies to be observed, there is a need to be sufficient newswatcher in the market. In a market with too low (emerging market, or too high (very efficient market) there will be lower anomaly compare to those markets with a medium level of newswatchers.

About Charlie Cai

I devote to studying a wide range of finance topics including asset pricing, investment and financial technology. Through my research I am learning the core of value and valuation with a piratical mind. I am searching and researching on database-driven analytical solutions for quantitative trading strategies.

I am currently Professor of Finance at the University of Liverpool.

Feel free to explore and get in touch.

The pictures used in the following categories are from Kevinkeasey.com a great friend and mentor of mine.

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