<p><strong>The problem was due to an invisible character in the end of the link URL.</strong></p>

<p>Here is the revision history of this answer: <a href="https://stats.stackexchange.com/posts/91181/revisions">https://stats.stackexchange.com/posts/91181/revisions</a>. Scroll down to the Revision #1. At the moment I do see the link rendered (so, strictly speaking, I cannot reproduce the problem as reported), but it's broken: clicking on the link yields 404 error. Look at the URL of this 404 error:</p>

<pre><code>http://www.stat.columbia.edu/~gelman/research/published/priors11.pdf%E2%80%8E
</code></pre>

<p>There are weird characters <code>%E2%80%8E</code> in the end. Erasing these characters opens the paper. What is interesting, however, is that if we look at the source code of this Revision #1 (<a href="https://stats.stackexchange.com/revisions/d51c2570-ea25-4bfa-afa5-98065623956a/view-source">https://stats.stackexchange.com/revisions/d51c2570-ea25-4bfa-afa5-98065623956a/view-source</a>), we see this:</p>

<blockquote>
<pre><code>[1]: http://www.stat.columbia.edu/~gelman/research/published/priors11.pdf‎
</code></pre>
</blockquote>

<p>This link appears to be fine, so one can wonder where did the weird characters come from. But in fact they are right there, just invisible. If you copy this URL from the source code (you can copy it directly from the above quote in this answer of mine) and paste it into the browser, you'll get to the 404 error and the same broken URL. That's because the invisible character gets copied.</p>

<p>So what is this invisible character? It is <a href="https://en.wikipedia.org/wiki/Left-to-right_mark" rel="nofollow noreferrer">https://en.wikipedia.org/wiki/Left-to-right_mark</a></p>

<blockquote>
  <p>The left-to-right mark (LRM) is a control character (an invisible formatting character) used in computerized typesetting (including word processing in a program like Microsoft Word) of text that contains a mixture of left-to-right text (such as English or Russian) and right-to-left text (such as Arabic, Persian or Hebrew). It is used to set the way adjacent characters are grouped with respect to text direction.</p>
</blockquote>

<p>Wikipedia says that its UTF-8 code is <code>E2 80 8E</code>.</p>

<p>How did it get into your link? You must have copy-pasted it from somewhere, possibly from a text editor.</p>
