That's not necessarily true. A market anomaly does not disappear instantaneously, but instead decays gradually as it is exploited and in turn becomes harder to

That's not necessarily true. A market anomaly does not disappear instantaneously, but instead decays gradually as it is exploited and in turn becomes harder to exploit. Think of it as a radioactive half-life. Some research (I found the link on Mark Buchanan's blog http://physicsoffinance.blogspot.com/ http://physicsoffinance.blogspot.com/) suggests that half-life is quite long.