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Which of the following is not a documented stock market anomaly (i.e., a strategy that appears to deliver positive risk-adjusted profits)? A. Invest in small

Which of the following is not a documented stock market anomaly (i.e., a strategy that appears to deliver positive risk-adjusted profits)?

A.

Invest in small stocks, especially in January.

B.

Invest in 'growth' stocks with above average earnings growth over past 5 years.

C.

Invest in the stock market on days when Congress is out of session, but invest in riskless securities when Congress is in session.

D.

Exploit momentum by buying (selling) stocks that have increased (decreased) in price over the last 3-12 months.

E.

Invest in 'value' firms with high dividend yields (D/P), book-to-market ratios (B/M), or low P/E ratios.

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