Small stocks, value stocks and last year's winners all beat the market once, so why should you doubt every one of these anomalies?
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Decile sorts, the size effect and January
Describe the monthly ranking into ten market-cap bins over 1964–2004, record small stocks near 15% against large near 10% a year, and state that without the Januarys almost no size effect remains.
The value premium and momentum
Define value stocks by low price-to-book, record the 600–700 bp value premium at comparable risk unlike size, and record the momentum spread of about 17.4% against 4.7% across past-twelve-month deciles.
Data mining and out-of-sample decay
State that about 5 of 100 random variables test significant at the 5% level by chance, and record the Fama–French size, value and momentum averages for 1964–2004 against the later period.