DEFINITION of 'Anomaly'
A term describing the incidence when the actual result under a given set of assumptions is different from the expected result. An anomaly provides evidence that a given assumption or model does not hold in practice. The model can either be a relatively new or older model.
INVESTOPEDIA EXPLAINS 'Anomaly'
Anomalies often occur with respect to asset pricing models, in particular the capital asset pricing model (CAPM). Although the CAPM was derived by using innovative assumptions and theories, it often does a poor job in predicting stock returns. The numerous market anomalies that were observed after the formation of the CAPM helped form the basis for those wishing to disprove the model.
Although the model may not hold up in empirical and practical tests, that is not to say that the model does not hold some utility.

Capital Asset Pricing Model  CAPM
A model that describes the relationship between risk and expected ... 
Equity Risk Premium
The excess return that an individual stock or the overall stock ... 
Small Firm Effect
A theory that holds that smaller firms, or those companies with ... 
Equity Premium Puzzle  EPP
An phenomenon that describes the anomalously higher historical ... 
RiskFree Rate Puzzle  RFRP
An anomaly in the difference between the lower historic real ... 
Consumption Capital Asset Pricing ...
A financial model that extends the concepts of the capital asset ...

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