The big profits from famous stock market strategies are usually just caused by everyone else piling into that same strategy.
March 26, 2026
Original Paper
Anomaly-Driven Demand
SSRN · 6342599
The Takeaway
This study shows that 'market anomalies'—patterns that shouldn't exist in efficient markets—are often fueled by 'anomaly-driven demand.' When investors rush into stocks identified by a specific strategy, their own buying pressure pushes the price up, creating the very returns that make the strategy look like a brilliant discovery.
From the abstract
We show that trading on anomalies generates price pressure in the underlying stocks. We construct a proxy for anomaly-driven demand (ADD), capturing demand generated when investors rebalance into and out of anomaly long and short legs. Stocks with high ADD earn significantly higher subsequent returns than stocks with low ADD. This effect carries over to anomalies: anomalies whose constituent stocks have the highest ADD earn 8.04 percentage points higher annualized returns than those whose contit