Re-Examining the Profitability of Technical Analysis with White’s Reality Check

In this paper, we re-examine the profitability of technical analysis using the Reality Check of White (2000, Econometrica) that corrects the data snooping bias. Comparing to previous studies, we study a more complete “universe” of trading techniques, including not only simple trading rules but also investor’s strategies, and we test the profitability of these rules and strategies with four main indices from both relatively mature and young markets. It is found that profitable simple rules and investor’s strategies do exist with statistical significance for NASDAQ Composite and Russell 2000 but not for DJIA and S&P 500. Moreover, the best rules for NASDAQ Composite and Russell 2000 outperform the buy-and-hold strategy in most in- and out-of-sample periods, even when transaction costs are taken into account. We also find that investor’s strategies are able to improve on the profits of simple rules and may even generate significant profits from unprofitable simple rules.data snooping, investor’s strategies, stationary bootstrap, technical analysis, trading rules, White’s Reality Check.

Use electrochemistry to charge the next dynamic thermal metamaterials

Electrochemistry has enabled a wide range of important energy technologies such as fuel cells and batteries, emerging as a powerful tool to achieve active materials and devices with novel applications. In this Perspective, we highlight the great potential of electrochemistry in propelling the next generation of dynamic thermal metamaterials with a focus on thermal radiation applications. After a brief introduction of the mechanisms of electrochemistry to change material properties, we discuss the possibilities of achieving highly tunable thermal radiation features by electrochemically manipulating the carrier densities of plasmonic materials. Recent studies in the intersections between electrochemistry, metamaterials, and thermal radiation applications are reviewed, indicating an emerging research direction incorporating these three fields — electrochemically dynamic thermal metamaterials. Towards this direction, we anticipate a promising pathway of employing conducting polymers and point out its remarkable opportunities and potential challenges. We hope this perspective could encourage more researchers to contribute to the development of this interdisciplinary field targeting the next energy technologies and applications

Don’t Hide Your Light Under a Bushel: Innovative Originality and Stock Returns

We propose that owing to limited investor attention and skepticism of complexity, firms with greater innovative originality (IO) will be undervalued, especially for firms with higher valuation uncertainty, lower attention, and greater sensitivity of future profitability to IO. We find that IO strongly positively predicts firms’ profitability and abnormal stock returns, especially among those firms suggested by the model. The return predictive power of IO is robust to extensive asset pricing controls, to an alternative IO measure, and across sample periods. Although we do not rule out risk-based explanations, the most plausible interpretation of the evidence is that the market undervalues IO

Don’t Hide Your Light Under a Bushel: Innovative Originality and Stock Returns

We propose that owing to limited investor attention and skepticism of complexity, firms with greater innovative originality (IO) will be undervalued, especially for firms with higher valuation uncertainty, lower attention, and greater sensitivity of future profitability to IO. We find that IO strongly positively predicts firms’ profitability and abnormal stock returns, especially among those firms suggested by the model. The return predictive power of IO is robust to extensive asset pricing controls, to an alternative IO measure, and across sample periods. Although we do not rule out risk-based explanations, the most plausible interpretation of the evidence is that the market undervalues IO

Leviathan Inc. and corporate environmental engagement

Published in Management Science, 2021, DOI: 10.1287/mnsc.2021.4064. See full text at https://ink.library.smu.edu.sg/lkcsb_research/6923/</p

Social globalization and design innovation

While designs play a critical role in corporate innovation and business operations, the determinants of design innovation (i.e., new aesthetic or stylistic forms) are largely underexplored in the literature. Accumulating evidence suggests that openness to the exchange of ideas, the adoption of progressive policies, and the circulation of human capital play significant roles in driving regional innovative activities. In this study, we ask a variation of this question: Is there evidence that social globalization, i.e., “the spread of ideas, information, images and people” (Dreher et al., 2008, p. 43) – can drive the extent of national design innovation? We leverage a survey instrument reporting on globalization levels, the KOF Globalization Index, to measure national levels of social globalization. We find that national levels of social globalization predict design innovation, as measured by the number of annual design awards granted by the Industrie Forum (iF) over the period 1973-2015. To address the potential endogeneity in our analysis, we instrument for social globalization using a differences-in-differences approach and an instrumental variable approach. Our findings remain robust when we use U.S. design patents as an alternative measure for design innovation. We further show that personal contact could be the main underlying mechanism for social globalization to encourage design innovation.Othe