While a large number of studies support the efficient market hypothesis at the semi strong and weakly efficient levels, there are a growing number of studies which do not. These studies are called anomalies. Some of the major anomalies are-
- Weekend effect: stock returns do not have the same expected return for each day of the week. Typically Monday’s return is slightly negative.
- January effect: Stock returns, especially those of small firm, are usually higher in January than in any other month.
- Low P/E Stocks: Stock with low P/E ratios out per form the market, after adjusting for risk, taxes, and transaction costs.
- Small firm effect: Stocks of small firms have beaten the market on a risk-adjusted basis.
- Neglected firm effect: Firm which do not have a large following by analysis have abnormal returns associated with them.
- Unexpected quarterly earnings: Firm whose current quarterly earnings are well above their expected quarterly earnings tend to have positive abnormal returns for several weeks before and after the large increase in earnings becomes public information.