earnings or dividend announcements) that can be readily evaluated by investors using generally-accepted structural models. Consider, however, the informational event of publication in a scientific journal of the empirical discovery of an anomalous profit opportunity (e.g, smaller-capitalized firms earn excessive risk-ad justed average returns). The expected duration between the creation of this investment opportunity and its elimination by rational investor actions in the market place can be considerable Before results are published, an anomaly must in fact exist for a long enough period of time to permit sufficient statistical documentation. 7 After publication, the diffusion rate of this type of information from this source is likely to be significantly slower than for an earnings announcement. If the anomaly applies to a large collection of securities (e.g, all small stocks), then its correction"will require the actions of many investors. If an investor does not know about the anomaly, he will not, of course. act to correct it Once an investor becomes aware of a study, he must decide whether the reported historical relations will apply in the future. On the expected duration of this decision, I need only mention that six years have passed since publication of the first study on the small-firm effect and we in academic finance have yet to agree on whether it even exists. Resolving this issue is presumably no easier a task for investors. Beyond this decision, the investor must also determine whether the potential gains to him are sufficient to warrant the cost of implementing the strategy. Included in the cost are the time and expense required to build the model and create the data base necessary to support the strategy. Moreover, professional money managers may have to expend further time and resources to market the strategy to clients-5- earnings or dividend announcements) that can be readily evaluated by investors using generally-accepted structural models. Consider, however, the informational event of publication in a scientific journal of the empirical discovery of an anomalous profit opportunity (e.g., smaller-capitalized firms earn excessive risk-adjusted average returns). The expected duration between the creation of this investment opportunity and its elimination by rational investor actions in the market place can be considerable. Before results are published, an anomaly must in fact exist for a long enough period of time to permit sufficient statistical documentation. After publication, the diffusion rate of this type of information from this source is likely to be significantly slower than for an earnings announcement. If the anomaly applies to a large collection of securities (e.g., all small stocks), then its "correction" will require the actions of many investors. If an investor does not know about the anomaly, he will not, of course, act to correct it. Once an investor becomes aware of a study, he must decide whether the reported historical relations will apply in the future. On the expected duration of this decision, I need only mention that six years have passed since publication of the first study on the "small-firm effect" and we in academic finance have yet to agree on whether it even exists. Resolving this issue is presumably no easier a task for investors. Beyond this decision, the investor must also determine whether the potential gains to him are sufficient to warrant the cost of implementing the strategy. Included in the cost are the time and expense required to build the model and create the data base necessary to support the strategy. Moreover, professional money managers may have to expend further time and resources to market the strategy to clients