Are equity market anomalies disappearing? Evidence from the U.K

We study the persistence over time of nine well-known equity market anomalies in the cross-section of U.K. stocks. We find strong evidence of diminished statistical significance for most of these anomalies including the return reversal and momentum effects. Two anomalies – firm profitability and stock turnover – remain quite robust throughout our sample period. These results hold for both portfolio sorts and Fama-MacBeth regression analyses and are robust to the use of alternative methods of risk adjustment. Our findings are consistent with improvements in market efficiency overtime with respect to well-known anomaly variables.