From ‘Vas ist Das?’ to ‘100 Anomalies’: A Review of Methodology

Abstract

This paper endeavors to provide a review of methodology employed for studying four major anomalies over time – size effect, value effect, liquidity effect and standardized unexpected earnings (SUE) effect. First, the paper synthesizes a list of measures that have been employed to proxy each anomaly. Next, the asset pricing or other forms of models employed to study these anomalies have been summarized. Different ways in which returns have been measured forms the next heading. Finally, owing to the argument that poorly defined model components could also lead to evidence of anomalies, how literature has dealt various model components also forms the topic of discussion. The paper contributes to the body of literature by summarizing a substantial number of papers at one place, covering possibly all facets of stock market anomalies. However, the field is so vast that this review can by no means be considered exhaustive.