Market Anomaly Investigation

Market Anomalies are market patterns that do seem to lead to abnormal returns more often than not, and since some of these patterns are based on information in financial reports, market anomalies present a challenge to the semi-strong form of the efficient market hypothesis, indicating that fundamental analysis does have some value for the individual investor.

Table of Content:

1. Theory
   Stationary vs Non-stationary
   Importance of stationarity
   Transformation of Non-stationary Data
   Quasi-stationary data
   

2. Investigation
   Visual Examination of Stationarity
   Probability Distribution Plot/Function
   Statisatical Examination of Stationarity
   Probability Distribution Models
   Power, Impact and Entry Ratio
   Impact/Power Entry Ratio
   

3. Conclusion