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Paper Stats:
Abstract Views: 5843
Downloads: 2291
Download Rank: 576
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Murphy's Law and Market Anomalies
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ELROY DIMSON
London Business School
PAUL MARSH
London Business School - Institute of Finance and Accounting
October 1998
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Abstract:
Many researchers have uncovered empirical regularities in stock market returns. If these regularities persist, investors can expect to achieve superior performance. Unfortunately, nature can be perverse. Once an apparent anomaly is publicised, only too often it disappears or goes into reverse. The latter seems to have happened to the small firm premium. After the UK size premium was documented and disseminated, a historical small-cap premium of six percent was followed by a small-cap discount of around six percent. This study presents evidence of and some explanations for the disappearance of the small firm premium.
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Note: This abstract was published Nov. 19 with incorrect email addresses. SSRN regrets the error.
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JEL Classifications: G12, G14
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Working Paper Series
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Suggested Citation
Dimson, Elroy and Marsh, Paul, "Murphy's Law and Market Anomalies"
(October 1998).
Available at SSRN: http://ssrn.com/abstract=135681
or DOI: 10.2139/ssrn.135681
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Contact Information for
ELROY
DIMSON
(Contact Author)
Email address for ELROY
DIMSON
London Business School
Sussex Place
Regent's Park
London
NW1 4SA
United Kingdom
44 20 7000 7000 (Phone)
44 707 505 5005 (Fax)
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Contact Information for
PAUL
MARSH
Email address for PAUL
MARSH
London Business School - Institute of Finance and Accounting
Sussex Place
Regent's Park
London NW1 4SA
United Kingdom
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Oct 24, 1998 |
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