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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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Distinction between "risk factor" and "market anomaly"

Nice question! I don’t have a precise answer to it but I will try somehow to give you my thoughts. I think it depends a lot whether you have in mind an APT or an ICAPM as explained in this article b …
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