Evolution and Interplay of Equity Market Anomalies with Asset Pricing Models: Navigating Global Research using Bibliometric Analysis

Abstract: Equity anomalies’ literature has existed for multiple decades. Still, recent advancements, such as changes in the market microstructure of stock exchanges, algorithm trading, machine learning, and multi-factor asset pricing models have created a need to revisit anomalies in a new light. This study scientifically synthesized and analyzed the past 20 years’ literature on ‘stock market anomalies’ in an integrated manner with that on ‘asset pricing models’. Using the PRISMA model, this study shortlisted 3502 research papers indexed in SCOPUS and Web of Science databases spanning over 2004 to 2024 period. Bibliometric analysis helped screen quality research papers, journals and identify the most productive authors, co-occurrence of themes, and recent trends in research on equity anomalies in global stock markets. Results indicate that research on market anomalies has seen exponential growth after the year 2002, and there are no signs of saturation yet. While Adam Zaremba emerged as the most prominently productive author in this period, Fama & French remained the most cited authors globally. Fama and French’s extensive work dominated the list of seminal articles in this domain. Two significant research gaps identified are – a lack of research originating in developing countries and scant literature on emerging topics like investor sentiment, behavioural finance, machine learning, and ESG stocks. There is still scope for further research on market anomalies in the context of seasonality and the five-factor model. This is a comprehensive study that will help researchers, academicians, and investors understand the changing paradigm of equity market anomalies and alpha investing to generate excess returns on portfolios. It acquaints readers with the emerging and relevant themes in this domain which can be capitalized in doing further research and designing investment strategies. Keywords: Systematic Review of Literature, Bibliometric Analysis, Thematic Analysis, stock market anomalies, Multi-factor asset pricing JEL Classification Number: C87, G11, G12