Marquering, Wessel; Nisser, Johan; Valla, Toni - In: Applied Financial Economics 16 (2006) 4, pp. 291-302
This study examines several well-known stock market anomalies before and after they were published. If the anomalies are a result of data snooping or data crunching, these are expected to disappear in the data soon after they have been reported. Moreover, increased awareness of anomalies among...