---
title: Financial Anomalies
url: https://www.ml-quant.com/papers/ssrn/4770243/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4770243
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4770243
featured: 2024-03-27
citations: unknown
topic: Asset Pricing & Factors
---


# Financial Anomalies

The study analyzes irregularities in daily returns of UK companies on the London Stock Exchange from 1990-2022 using volatility models.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4770243
- Identifier: SSRN 4770243
- Released: 2022-03-10
- First featured: Quant Letter No. 42 (2024-03-27): https://www.ml-quant.com/issues/2024-03-27/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Asset Pricing & Factors

## Related

- [A Capital Asset Pricing Model with Idiosyncratic Tail Risk: Comovement of Momentum and Low Risk Anomalies](https://www.ml-quant.com/papers/ssrn/4680248/): Momentum and Low Risk Anomalies: The new model expands the traditional Capital Asset Pricing Model (CAPM) by factoring in idiosyncratic tail risk, explaining momentum in stock returns and low risk anomalies.
- [NUMOSIM: A Synthetic Mobility Dataset with Anomaly Detection Benchmarks](https://www.ml-quant.com/papers/arxiv/2409.03024/): A Synthetic Mobility Dataset: The paper presents NUMOSIM, a synthetic mobility dataset for testing anomaly detection techniques, simulating realistic mobility scenarios and anomalies to improve geospatial mobility analysis.
- [Assaying Anomalies in Equity Returns](https://www.ml-quant.com/papers/ssrn/4723712/): A new protocol and web application are proposed for testing potential predictors of equity returns, providing thorough analysis and identifying common problems in testing equity strategies.
- [Anomalies and Market Returns](https://www.ml-quant.com/papers/repec/oup-revfin-v-28-y-2024-i-1-p-1-44/): A study using machine learning methods revealed that equity anomalies do not predict overall market returns, questioning the belief that anomalies collectively provide useful information for forecasting market risk premia.
- [Economic Uncertainty & the Beta Anomaly](https://www.ml-quant.com/papers/ssrn/4684356/): The beta-alpha anomaly only occurs during times of low economic uncertainty, with retail investors and active mutual funds more prone to pursue high-beta securities.
- [Cash Flow Beliefs in Asset Pricing](https://www.ml-quant.com/papers/ssrn/4679364/): A study finds that investors form separate beliefs on cash flow level and growth, explaining half of the anomaly portfolios' deviation from the CAPM.