Abstract

Over the last few decades, much debate has arisen regarding the determinants of the factors that help explain the cross-section of equity returns. Four well-known documented anomalies, which represent deviations from the capital asset pricing model, include the size effect, the value effect, the long-term momentum effect and the short-term momentum effect. The purpose of this paper is to review the empirical evidence regarding these anomalies and their possible interpretations within the investment community.

Key words:     Size effect, value effect, momentum effect, empirical evidence.