I wondered about the existence of a complete list of the anomalies detected in quantitative finance.

Generally, a market anomaly or inefficiency is a asset price and/or rate of return distortion on a financial market that actually contradicts the efficient-market hypothesis, as conceived by Fama's (1970) seminal paper.

Can you provide a list of them by posting the references of the relative books or papers?

Possibly, it would be greatly appreciated that you post the seminal paper reference, as, for instance, Basu (1977) in the case of the size effect or Thaler (1987) for the January effect.

I do not care about if they disappeared or not, but, instead, I'm interested to construct a full complete list of them.

Any help or suggestion will be appreciated.

NOTE: I will update a list every time I find something new or a user post an answer with a new anomaly, in order to maintain the list updated.

  • $\begingroup$ Could you define what you mean by "anomaly"? $\endgroup$ – vonjd May 8 '15 at 14:54
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    $\begingroup$ Thanks for the criticism to the question, @vonjd! I edited the question inserting a general definition of market anomaly and edited the relative tag. Let me know whether the question need some clarification more. $\endgroup$ – Quantopik May 8 '15 at 15:14
  • $\begingroup$ Sorry but this doesn't make sense! Fama is in fact one of the most prominent advocates of the EMH! His factors like value or size are additional risk factors where investors get compensated for holding those risks! It would be same if you said beta is an anomaly because some people earn more than others when they hold more beta... $\endgroup$ – vonjd May 8 '15 at 16:18
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    $\begingroup$ @Quantopic vonjd presently has the top answer on a post discussing the difference between risk factors and anomalies. I'm not a particularly big fan of the answer, but it's consistent with academic finance. To me, it doesn't really matter what they're called. Size and value used to be considered anomalies by some, but now the profession calls them risk factors. Oh well. $\endgroup$ – John May 8 '15 at 21:22
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    $\begingroup$ Here's a recent paper detailing over 80 anomalies: papers.ssrn.com/sol3/papers.cfm?abstract_id=2508322 $\endgroup$ – John May 9 '15 at 18:32

The best overview I have seen so far is this paper which lists 214 (!) factors (or anomalies if you like) on over one hundred (!) pages:

Harvey, Campbell R. and Liu, Yan and Zhu, Caroline, …and the Cross-Section of Expected Returns (February 3, 2015). Available at SSRN: https://ssrn.com/abstract=2249314 or http://dx.doi.org/10.2139/ssrn.2249314


Hundreds of papers and hundreds of factors attempt to explain the cross-section of expected returns. Given this extensive data mining, it does not make any economic or statistical sense to use the usual significance criteria for a newly discovered factor, e.g., a t-ratio greater than 2.0. However, what hurdle should be used for current research? Our paper introduces a multiple testing framework and provides a time series of historical significance cutoffs from the first empirical tests in 1967 to today. Our new method allows for correlation among the tests as well as publication bias. We also project forward 20 years assuming the rate of factor production remains similar to the experience of the last few years. The estimation of our model suggests that today a newly discovered factor needs to clear a much higher hurdle, with a t-ratio greater than 3.0. Echoing a recent disturbing conclusion in the medical literature, we argue that most claimed research findings in financial economics are likely false.

The authors now provide a datasheet with an exhaustive overview of all factors: https://tinyurl.com/y23ozzkc

The following chart is taken from the paper and summarizes its key results: enter image description here

A new record! The following new paper lists and tests 452 (!) anomalies on more than 130 pages:

Hou, Kewei and Xue, Chen and Zhang, Lu, Replicating Anomalies (October 2018). Review of Financial Studies, forthcoming; Fisher College of Business Working Paper No. 2017-03-010; Charles A. Dice Center Working Paper No. 2017-10. Available at SSRN: https://ssrn.com/abstract=3275496

It indicates "that most published U.S. stock market anomalies are not replicable after reasonably demoting microcaps to a very minor role, and especially after raising the threshold for significance to account for data snooping."
Source and summary of the paper (behind a paywall):


Most anomalies fail to hold up to currently acceptable standards for empirical finance. With microcaps mitigated via NYSE breakpoints and value-weighted returns, 65% of the 452 anomalies in our data library, including 96% of the trading frictions category, cannot clear the single test hurdle of the absolute t-value of 1.96. Imposing the higher, multiple test hurdle of 2.78 at the 5% significance level raises the failure rate to 82.1%. Even for the replicated anomalies, their economic magnitudes are much smaller than originally reported. In all, capital markets are more efficient than previously recognized.

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    $\begingroup$ Thank you for the hint @vonjd! I am going to read that and update the question to provide a full list of the market inefficiencies! $\endgroup$ – Quantopik Jun 6 '15 at 14:42

You have started a huge job, an enormous number of anomalies have been reported. The web site quantpedia.com has a list, here for example is their writeup on momentum effect in stocks

  • $\begingroup$ could you provide a link to the list? $\endgroup$ – vonjd Jun 5 '15 at 17:39
  • $\begingroup$ +1 @noob2!! Really a good source! Thank you too for the answer! $\endgroup$ – Quantopik Jun 6 '15 at 14:45

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