Resources
If this site makes you want to go deeper, start here. The first group is the anomalies themselves; the second is the replication literature that put them on trial; the third is about why a premium might exist at all; the last is where to get the data.
The paper that turned 'value and size beat the market' into a model everyone still regresses against. Everything on this site is measured relative to its descendants.
Momentum. The one large anomaly that has stubbornly refused to decay, in the US and nearly everywhere else.
Adds profitability and investment. The current default benchmark; our 'α vs factors' column uses this plus momentum.
Made quality respectable and gave value investors a hedge: buy cheap AND profitable.
Counts 316 published factors and argues that, given the search, the honest significance bar is a t-stat around 3.0 — not 2.0. The intellectual backbone of the multiple-testing page.
Replicates 97 anomalies and finds returns fall ~26% out-of-sample and ~58% post-publication — the effect this whole site is a small demonstration of.
Tries to reproduce 447 anomalies with consistent methods and microcap controls; ~64% fail to clear a t-stat of 1.96. Controversial in its choices, essential in its conclusion.
Public code and data for 200+ predictors, with the original-paper results carefully catalogued. The best starting point if you want to extend this work beyond free portfolio data.
A clean case study of one anomaly dying on schedule after hedge funds noticed it. Referenced on the accruals page.
The leverage-constraint explanation for why low-risk stocks win risk-adjusted — and the construction of the BAB factor used here.
Defines 'quality' (profitable, growing, safe, well-managed) and shows the market only partly prices it. Source of the QMJ series.
The canonical behavioral case for value: investors extrapolate past growth too far, and it mean-reverts.
Coined 'a zoo of new factors' and lays out the framework — every anomaly is a statement about discount rates — that the risk-vs-behavioral debate lives inside.
Free monthly factor and portfolio returns back to 1926. The source for most of this site.
Public monthly series for QMJ, BAB, value & momentum everywhere, and the Century of Factor Premia.
Chen & Zimmermann's downloadable returns and Stata/Python code for 200+ predictors.
Links go to publishers or authors’ pages where a free version usually exists. This list is a starting point, not a survey — the Open Source Asset Pricing bibliography is the comprehensive one.