Fama attributed anomalies to CAPM flaws, not market inefficiency.

Evidence

The dominant response of Eugene Fama and his University of Chicago students to the growing list of anomalies was to suggest that the fault lay in the Capital Asset Pricing Model, not in the efficient-market hypothesis. — Donald MacKenzie, An Engine, Not a Camera, 430

Categorization

• XREF: connects to: Fama-French replaced CAPM’s beta with size and book-to-market factors. — Donald MacKenzie, An Engine, Not a Camera: How Financial…, 431; Trading on a CAPM anomaly would have performed it away by bidding up prices — Donald MacKenzie, An Engine, Not a Camera: How Financial…, 397; Trading on momentum may intensify the anomaly rather than eliminate it. — Donald MacKenzie, An Engine, Not a Camera: How Financial…, 456 (+3 more)

Broader Connections

• Trading on a CAPM anomaly would have performed it away by bidding up prices #complicates (0.75) — Donald MacKenzie, An Engine, Not a Camera, 397
• Trading on momentum may intensify the anomaly rather than eliminate it. #complicates (0.75) — Donald MacKenzie, An Engine, Not a Camera, 456
• Empirical testing can only fail to disconfirm, never confirm, models like the CAPM #complicates (0.72) — Donald MacKenzie, An Engine, Not a Camera, 408
• A bank sponsor turned a CAPM anomaly into a leveraged low-beta investment strategy #qualifies (0.70) — Donald MacKenzie, An Engine, Not a Camera, 395