Abstract

http://ssrn.com/abstract=135681
 
 

References (96)



 
 

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Footnotes (19)



 


 



Murphy's Law and Market Anomalies


Elroy Dimson


University of Cambridge - Judge Business School ; London Business School

Paul Marsh


London Business School - Institute of Finance and Accounting

October 1, 1998

Journal of Portfolio Management, Vol. 25, No. 2, 1999, pages 53–69

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


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Date posted: October 24, 1998 ; Last revised: March 20, 2016

Suggested Citation

Dimson, Elroy and Marsh, Paul, Murphy's Law and Market Anomalies (October 1, 1998). Journal of Portfolio Management, Vol. 25, No. 2, 1999, pages 53–69. Available at SSRN: http://ssrn.com/abstract=135681 or http://dx.doi.org/10.2139/ssrn.135681

Contact Information

Elroy Dimson (Contact Author)
University of Cambridge - Judge Business School ( email )
Trumpington Street
Cambridge, CB2 1AG
United Kingdom
+44 20 7000 8212 (Phone)
+44 700 607 7390 (Fax)
London Business School ( email )
Sussex Place
Regent's Park
London, NW1 4SA
United Kingdom
44 20 7000 7000 (Phone)
44 700 607 7390 (Fax)
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
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