QUESTION $20$

Which of the following is not considered an anomaly of market efficiency?

Evidence from $95$ years of analysis shows that average Monday returns are lower than other days.

Evidence from $95$ years of analysis shows that average January returns are higher than other months.

Investors reacted to Microsoft's $202010-$K filing with a $2-$day delay.

Large sample evidence shows that small firms perform better than large firms.

All of the above are examples of anomaly.