Market Line Deviations and Market Anomalies with Reference to Small and Large Firms
从理论上证明，经市场指数调整后的小公司平均回报（即市场线偏离）并不能反映增加小公司投资的相对合意性，并推导了正确的改进标准。实证表明，在平均月份中，增加小公司权重并未显著改善价值加权市场指数；考虑季节性后，小公司或大公司在某些月份带来显著改进，但所需组合头寸不明确。
Previous anomaly research may have misinterpreted corrected, for the market index, mean returns on small firms. Assuming mean-variance preferences, it is shown theoretically that corrected mean returns (i.e., market line deviations) are not indicative of the relative desirability of increasing the proportional investment in small firms. The correct improvement criterion is derived and estimated. Tests indicate that the value-weighted market index is not significantly improved with greater weight on small firms, in the average month. When seasonality is considered, the observed performance improvements due to small or large firms are significant in some months, but the required portfolio position is unclear. If a case exists for a small firm anomaly in January, it probably exists in other months and it also exists for large firms. It is doubtful whether such an anomalous stock market exists.