I read an article today, The Fallibility of the Efficient Market Theory: A New Paradigm  Good article, made e look through a major article cited: An Institutional Theory of Momentum and Reversal.

The former article explains in basic terms what the authors have illustrated.  The latter article, provides all of the complex math.  I get 50%+ of  it, and I think it is right.  This explains value, momentum, and mean-reversion, the largest anomalies that trouble the Efficient Markets Hypothesis.

This article deserves more attention from quants and academics.  The only thing that troubles me about it is that they assume a normal distribution for security returns.

Have a read, and for those that can understand the math, if you disagree with it, let me know.

By David Merkel, CFA of alephblog