Market anomalies shrink once identified, partly because traders exploit them.

Evidence

In many cases, the identification of finance’s anomalies was the precursor to their attenuation or disappearance. That was so not just in the sense that explanations of them consistent with efficient-market theory were put forward, but because the anomalies were exploited in practice, often by the theory’s adherents, and this exploitation seems to have reduced their size. — Donald MacKenzie, An Engine, Not a Camera, 433

Categorization

• XREF: connects to: Anomaly-identification followed by trading strategies shrank the anomalies themselves — Donald MacKenzie, An Engine, Not a Camera: How Financial…, 1151; Using a model can make markets conform less well to it. — Donald MacKenzie, An Engine, Not a Camera: How Financial…, 92; Trading on momentum may intensify the anomaly rather than eliminate it. — Donald MacKenzie, An Engine, Not a Camera: How Financial…, 456 (+2 more)

Broader Connections

• Anomaly-identification followed by trading strategies shrank the anomalies themselves #corroborates (1.00) — Donald MacKenzie, An Engine, Not a Camera, 1151
• Trading on a CAPM anomaly would have performed it away by bidding up prices #exemplifies (0.95) — Donald MacKenzie, An Engine, Not a Camera, 397
• Using a model can make markets conform less well to it. #corroborates (0.85) — Donald MacKenzie, An Engine, Not a Camera, 92
• Trading on momentum may intensify the anomaly rather than eliminate it. #contradicts (0.80) — Donald MacKenzie, An Engine, Not a Camera, 456