Ladies and gentlemen . . . the American tax system!
I hope you like federal regulations

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.