Does the anomalies offer risk-free arbitrage opportunities?
–Two opposing answers: Does the anomalies offer risk-free arbitrage opportunities? –Two opposing answers Barberis & Thaler (2003) Even if price offer risk-free arbitrage opportunities, we can’t be sure that prices return to their arbitrage-free equilibrium position (Noise trader risk). So arbitrage is limited. Schwert (2003) Many researchers could find anomalous statistics in samples of data, but none of the anomalies has proved to be reliably present out of sample. In other words, the anomalies have never in fact really been there, or have been arbitraged away since their discovery.
