The study by Seyhun and colleagues explores the impact of the value factor, measured by the market-to-book ratio, on stock anomalies. They found that anomalies perform best when stocks are cheap, with cheap anomalies outperforming expensive ones by about 30 basis points per month. The research suggests that despite the abundance of anomalies in finance, focusing on market exposure, book-to-market ratio, firm size, and momentum may be more beneficial in the long term.
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