FYI: Historical tests of various asset pricing models, especially the CAPM, have given rise to an abundance of well-documented, anomalously priced characteristics in the cross section of stock returns. In theory, we would expect anomalies to be arbitraged away by sophisticated investors. However, in the real world, anomalies can persist because there are limits to arbitrage, such as constraints on short selling.
Regards,
Ted
http://www.etf.com/sections/index-investor-corner/swedroe-arb-limits-dont-explain-anomalies?nopaging=1
