Abstract
Financial market anomalies are cross-sectional and time series patterns in security returns that are not predicted by a central paradigm or theory. The focus here is on equity market anomalies including the size effect, value effect, serial correlation in returns and calendar-related patterns in returns related to month of the year and day of the week. Many of these patterns have persisted for decades, suggesting they are not evidence of market inefficiencies. Although transactions costs might preclude trading that would eliminate such patterns, it is possible that our benchmark models might be less than complete descriptions of equilibrium price formation.
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Keim, D.B. (2018). Financial Market Anomalies. In: The New Palgrave Dictionary of Economics. Palgrave Macmillan, London. https://doi.org/10.1057/978-1-349-95189-5_1958
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DOI: https://doi.org/10.1057/978-1-349-95189-5_1958
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