Research

Selected Working Papers

Going Supranational: Anomaly-Market Links and New Dimensions of Market Efficiency

with Xi Dong (Baruch College), Yan Li (Southwestern University of Finance and Economics and Baruch Graduate), David Rapach (Federal Reserve Bank of Atlanta), and Guofu Zhou (Washington University in St. Louis)

Presented at: 2026 CICF (scheduled), 2025 AI in Finance, 2025 CFRN, 2025 AFA Poster, 2025 MFA, 2025 E(astern)FA, 2025 SWFA, “AI Era in Finance” Symposium 2024, Seminars at Washington University in St Louis, Aarhus University, Baruch College, City University of New York; Singapore Management University; University of Melbourne; Peking University; SWUFE

Abstract: We connect cross-sectional anomalies to time-series market return predictability using data from 44 non-US countries. While a large set of representative anomaly returns show limited predictive power for market returns at the country level, they exhibit strong predictability when aggregated to the supranational level. We develop an international analytical framework to explain this difference: cross-sectional mispricing corrections in one country can propagate into market-wide corrections in another, enhancing supranational predictability precisely when mispricing is more country-specific than global. We further decompose anomaly–market links into three analytically-grounded market (in)efficiency measures of broad relevance: systematic mispricing, overpricing dominance, and price randomness. Supported by data, they govern the strength and nature of anomaly–market links across global markets.