University of Rochester William E.Simon Graduate School of Business Administration The Bradley Policy Research Center Financial Research and Policy Working Paper No. FR02-13 October 2002 Anomalies and Market Efficiency G.William Schwert Simon School of Business,University of Rochester This paper can be downloaded from the Social Science Research Network Electronic Paper Collection: http://papers.ssrn.com/abstract=University of Rochester William E. Simon Graduate School of Business Administration The Bradley Policy Research Center Financial Research and Policy Working Paper No. FR 02-13 October 2002 Anomalies and Market Efficiency G. William Schwert Simon School of Business, University of Rochester This paper can be downloaded from the Social Science Research Network Electronic Paper Collection: http://papers.ssrn.com/abstract=