Subscribe in a reader

Buy Conservative Advertising

Wikio - Top Blogs

Find the best blogs at

Enter your email address:

Delivered by FeedBurner

No one but the author bears any responsibility for the non-advertising content on this blog. AND PLEASE NOTE: the author neither necessarily uses nor endorses any product advertised on this blog.

« Ladies and gentlemen . . . the American tax system! | Main | I hope you like federal regulations »

December 04, 2012

It's not enough to *find* an anomaly . . .

. . . ya gotta keept it secret, too. Tim Harford, "Still Think You Can Beat the Market?"

A new research paper by David McLean and Jeffrey Pontiff explicitly examines the idea that academic research into anomalies is a self-denying endeavour. They find some evidence of spurious patterns: if a given dataset suggests an anomaly, including subsequent data tends to erode it. But what is really striking is that after an anomaly has been published, it quickly shrinks – although it does not disappear.

The anomalies are most likely to persist when they apply to small, illiquid markets – as one might expect, because there it is harder to profit from the anomaly.


Feed You can follow this conversation by subscribing to the comment feed for this post.

Brent Buckner

OTOH, to my mind Fama & French simply re-categorized the value anomaly as a risk factor, explaining it away as opposed to it actually going away.

The comments to this entry are closed.

Powered by TypePad
Member since 07/2003

Shelfari: Book reviews on your book blog