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Murphy's Law and Market Anomalies

Elroy Dimson
London 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.

JEL Classifications: G12, G14

Working Paper Series

Date posted: October 24, 1998 ; Last revised: November 21, 2001

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

Elroy Dimson (Contact Author) London Business School ( email ) Sussex Place Regent's Park London NW1 4SA United Kingdom 44 20 7000 7000 (Phone) 44 707 505 5005 (Fax) HOME PAGE: http://www.london.edu/faculty/edimson
Paul Marsh London Business School - Institute of Finance and Accounting ( email ) Sussex Place Regent's Park London NW1 4SA United Kingdom