Market rationality isn't. The fact that if you made an index fund of only female-lead companies it would beat the pants out of the market has been been known for a really long time and still hasn't been arbitraged away. 30 years or so of traders just leaving money on the sidewalk because of testosterone poisoning.
I don't believe that, and you lay out exactly why one should not believe this claim for an instant: you seriously think that in the the $2.4 trillion+ hedge fund industry - stuffed full of the smartest hungriest slimiest most ambitious money-hungry people, men and women who would sell their own grandfather if that would provide collateral for a juicy short, who would encourage their employees to break the law and throw them to the wolves if they get caught, who are worse friends than sharks because at least sharks' bellies can get full - that this entire industry would uniformly pass up almost doubling their return through a dead-simple legal strategy which would be discovered by their machine-learning algorithms even if they were blind to it - out of sexism? (How many Wall Street traders even know the gender of the CEOs whose associated hieroglyphics flash across their screens?) I have to say, you seem to have a much higher opinion of the moral principles of Wall Street than I do.
Having established that you are making an extraordinary claim which requires extraordinary evidence, let's take a look at your evidence.
A link to a piece whose opening centerpiece is link to an informal analysis ('Source: interactive data') in Fortune magazine in July 2014, which mention that there are now 27 female CEOs in the Fortune 1000 and that 'during their tenure' they had returns of 103% vs 70%. Problems with your claim I can spot just from the Fortune writeup (although calling an infographic a writeup is a bit generous):
Academic papers regularly try to find and show violations of EMH, but the more careful a paper is, the smaller the violations become, so they typically find only small ones and are often still false positives due to any one of the reasons I give above and there are far more ways to go wrong than that. A full-blown paper which takes countermeasures against all the problems I mention may have begun to earn some reasonable probability of being correct. It's a hard topic with many traps for the unwary, and some listoids or graphicles isn't going to cut the mustard. One can safely predict that any research showing excess returns to female CEOs will either turn in meaninglessly small effects which could be due to minor methodological issues or the effect will quickly shrink to zero when tested out of sample and especially after the paper is published... (I particularly like the bogus results caused by the database company providing the data retroactively editing the database to remove low-performers. Which is relevant here, now that I think about it.)
Well, consider where the industrial revolution took of, and what was special about that time and place. It wasnt coal or literacy of technical expertise. China had that in abundance for thousands of years. It was all that and high wages
And why could English companies pay so much to workers? Because of high productivity. Maybe you should go reread Clark's papers. Not that one can attribute the IR to simply 'high wages', which is a consequence, not a cause...
LW readers have unusual views on many subjects. Efficient Market Hypothesis notwithstanding, many of these are probably alien to most people in finance. So it's plausible they might have implications that are not yet fully integrated into current asset prices. And if you rightfully believe something that most people do not believe, you should be able to make money off that.
Here's an example for a different group. Feminists believe that women are paid less than men for no good economic reason. If this is the case, feminists should invest in companies that hire many women, and short those which hire few women, to take advantage of the cheaper labour costs. And I can think of examples for groups like Socialists, Neoreactionaries, etc. - cases where their positive beliefs have strong implications for economic predictions. But I struggle to think of such ones for LessWrong, which is why I am asking you. Can you think of any unusual LW-type beliefs that have strong economic implications (say over the next 1-3 years)?
Wei Dai has previously commented on a similar phenomena, but I'm interested in a wider class of phenomena.