Murphy's Law and Market Anomalies
研究发现，英国股市的小公司溢价在被公开报道后，从历史平均6%的溢价反转为约6%的折价，揭示了市场异象在公开后可能消失或反转的现象。
Many researchers have uncovered empirical regularities in stock market returns. If these regularities persist, investors can expect to achieve superior performance. Unfortunately, nature can be perverse. Once an apparent anomaly is publicized, only too often it disappears or goes into reverse. The latter seems to have happened to the small-firm premium. The authors show that after the U.K. size premium was documented and disseminated, the historical small-cap premium of 6% was replaced by a small-cap discount of around 6%. The authors present evidence of and some explanations for the disappearance of the small-firm premium.