RT Journal Article SR Electronic T1 Murphy's Law and Market Anomalies JF The Journal of Portfolio Management FD Institutional Investor Journals SP 53 OP 69 DO 10.3905/jpm.1999.319734 VO 25 IS 2 A1 Elroy Dimson A1 Paul Marsh YR 1999 UL https://pm-research.com/content/25/2/53.abstract 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.