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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.
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Are BARRA's Multiple-Factor Risk models rational asset pricing models?
Does it suffices to only include market beta as control variable for the search of marekt anomalies? Is there any acadimic jouranl artical that uses Barra models' variables as control variables? …