Getting a substantive/writing endorsement from Jason Furman is a big deal for any of us doing evidence based work in the policy space. I am flattered and grateful. But more importantly, if he likes the article, then you should read it! Foreign Policy Peterson Institute

Merry Christmas! I just completed all 25 days of Advent of Code 2023! adventofcode.com #AdventOfCode

Fascinating study showing that poor households benefit over proportionally from price reduction due to trade liberalisation. Their marginal utility of consumption is larger than for richer households . Looking only at labour market effects would be too narrow to analyse trade

Adam Smith Award remarks at the Association for Private Enterprise Education. On the wonders of free markets and good economics. grumpy-economist.com/p/adam-smith-r…

Intraday investors captured none of the last 5 years of gains of #MSTR (#MicroStrategy) and many other Meme stocks as explored in our recent JOIM paper with Victor Haghani and Richard Dewey, recognized by the 2024 Harry Markowitz award last week. joim.com/night-moves-is…

Honored to be awarded the Harry Markowitz Prize with my good friend Victor Haghani Victor Haghani and Vladimir Ragulin. Markowitz was a pioneer and guiding light in so many aspects of finance. joim.com/markowitz-awar…

Elm Wealth Vladimir Ragulin 1/ 10 Our paper was inspired by the research notes of Bruce Knuteson, a former particle physicist and researcher at DE Shaw. Check out his papers here: papers.ssrn.com/sol3/cf_dev/Ab…

Victor Haghani Vladimir Ragulin 2/ The big idea is that global stock markets tend to deliver most of their returns when the market is closed. Wait, what?

Victor Haghani Vladimir Ragulin 3 / 10 How can that be? Simple analysis shows that an investor who bought at the close and sold at the open would achieve better returns than a buy and hold investor.

Victor Haghani Vladimir Ragulin 4 / 10 What’s going on here? Some have argued the markets are riskier at night, others that it’s down to frictions and funding costs. Knuteson has theories about price manipulation by large quant trading firms.

Victor Haghani Vladimir Ragulin 5/ 10 The big thing is that the effect is persistent across markets and continues to be observed over 15 years after it was first reported. From a statistical standpoint the overnight effect is stronger than most of the other anomalies observed in markets.

Victor Haghani Vladimir Ragulin 6 / 10 Our contribution to the overnight literature examines meme stocks. We find the overnight effect is more pronounced in the meme universe of TSLA, GBTC, GME, AMC and ARKK.

Victor Haghani Vladimir Ragulin 7 / 10 This clue leads us to update our beliefs that one of the contributing factors to the overnight effect is likely the trading patterns of retail investors. Specifically retail tends to trade more at the open and institutional more at the close.

Victor Haghani Vladimir Ragulin 8 / 10 Why hasn’t smart capital taken this out of the market? We can’t answer that but offer a few explanations that fall broadly in the camp of limits of arbitrage.

Victor Haghani Vladimir Ragulin 9 / 10 We hope this research spurs others on to investigate this phenomenon and provide more comprehensive explanations. Here the paper for those interested: joim.com/night-moves-is…

Victor Haghani Vladimir Ragulin 10 / 10 And here’s an update of the study at Elm Wealth: elmwealth.com/night-shift/