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A market anomaly (or market inefficiency) is a price and/or rate of return distortion on a financial market that seems to contradict the efficient-market hypothesis, as conceived by Fama (1970) in his seminal paper.

A market anomaly (or market inefficiency) is a price and/or rate of return distortion/bias on a financial market that seems to contradict the efficient-market hypothesis, as conceived by Fama (1970) in his seminal paper.

There are a lot of market inefficiencies in the financial markets, and particularly, they are of three kinds:

  • Calendar effects;
  • Structural biases;
  • Behavioural biases;
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