Journal of Portfolio Management, Vol. 25, No. 2, 1999, pages 53–69
35 Pages Posted: 24 Oct 1998 Last revised: 20 Mar 2016
Date Written: October 1, 1998
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.
Notes: This abstract was published Nov. 19 with incorrect email addresses. SSRN regrets the error.
JEL Classification: G12, G14
Suggested Citation: 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: https://ssrn.com/abstract=135681 or http://dx.doi.org/10.2139/ssrn.135681
By Eugene Fama