Abstract

http://ssrn.com/abstract=135681
 
 

References (96)



 
 

Citations (53)



 
 

Footnotes (19)



 


 



Murphy's Law and Market Anomalies


Elroy Dimson


London Business School; University of Cambridge - Judge Business School

Paul Marsh


London Business School - Institute of Finance and Accounting

October 1998


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.

Note: This abstract was published Nov. 19 with incorrect email addresses. SSRN regrets the error.

Number of Pages in PDF File: 35

JEL Classification: G12, G14

working papers series





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Date posted: October 24, 1998  

Suggested Citation

Dimson, Elroy and Marsh, Paul, Murphy's Law and Market Anomalies (October 1998). Available at SSRN: http://ssrn.com/abstract=135681 or http://dx.doi.org/10.2139/ssrn.135681

Contact Information

Elroy Dimson (Contact Author)
London Business School ( email )
Sussex Place
Regent's Park
London, NW1 4SA
United Kingdom
44 20 7000 7000 (Phone)
44 700 607 7390 (Fax)
HOME PAGE: http://www.london.edu/faculty/edimson
University of Cambridge - Judge Business School
Trumpington Street
Cambridge, CB2 1AG
United Kingdom
Paul Marsh
London Business School - Institute of Finance and Accounting ( email )
Sussex Place
Regent's Park
London NW1 4SA
United Kingdom
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References:  96
Citations:  53
Footnotes:  19

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