PT - JOURNAL ARTICLE AU - Elroy Dimson AU - Paul Marsh TI - Murphy's Law and Market Anomalies AID - 10.3905/jpm.1999.319734 DP - 1999 Jan 31 TA - The Journal of Portfolio Management PG - 53--69 VI - 25 IP - 2 4099 - https://pm-research.com/content/25/2/53.short 4100 - https://pm-research.com/content/25/2/53.full AB - Many researchers have uncovered empirical regularities in stock market returns. If these regularities persist, investors can expect to achieve superior performance. Unfortunately, nature can be perverse. Once an apparent anomaly is publicized, only too often it disappears or goes into reverse. The latter seems to have happened to the small-firm premium. The authors show that after the U.K. size premium was documented and disseminated, the historical small-cap premium of 6% was replaced by a small-cap discount of around 6%. The authors present evidence of and some explanations for the disappearance of the small-firm premium.