Economics, Econometrics and Finance
8 years ago

Stock market anomalies vanish over time, impacting investment strategies.

Contributions to management science
Do Stock Market Anomalies Disappear? The Example of Small Size and Market-to-Book Premia at the London Stock Exchange
Leonardo Becchetti, Laura Cavallo

Paper Summary

Stock market anomalies related to firm size and market-to-book value exist at the London Stock Exchange. Contrarian strategies using sector-relative indicators are more effective than absolute indicators, especially when considering market-to-book value. However, these anomalies tend to disappear over time.

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