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