Textbook Equity Anomalies in a Free-Data Panel, 2016–2026: What Survives Adjustment, Costs and Multiple Testing

An exploratory study by the author reported that 12–1 momentum lost 96% and low volatility 86% of capital in U.S. stocks over 2021–2026, while a 21-day reversal strategy more than doubled. That panel had been aggregated from exchange minute bars without any split or dividend adjustment. We rebuild the analysis on a free panel of 4,908 currently listed U.S. common stocks (Yahoo Finance, 2010–2026) that carries split-adjusted, total-return and reconstructed as-traded prices side by side, so the effect of each adjustment can be isolated. Re-running the original code on the adjusted panel turns the momentum Sharpe ratio from −0.82 to +0.48 and the reversal “winner” from +0.55 to −0.10; on the unadjusted panel, momentum and low-volatility positions lose 210 and 873 percentage points of cumulative return on split-event days alone, mostly short positions hit by reverse splits that appear as gains of several hundred per cent. The error is lethal in an unfiltered universe that contains exchange-traded funds (ETFs), and nearly harmless once a $5 as-traded price screen and a common-stock filter are applied. On the corrected panel we test twelve price-based anomalies in three point-in-time liquidity universes over January 2016 to September 2026. Our long-short returns correlate 0.90 with Kenneth French’s equal-weighted momentum and short-term reversal spreads and 0.93 with his low-variance spread, so the construction is sound. Yet none of the 36 anomaly–universe tests has a Newey–West |t| above 1.96, none survives Holm or Benjamini–Hochberg–Yekutieli correction, none clears the Harvey–Liu–Zhu hurdle of 3.0, and none has a significant Fama–French six-factor alpha. Among the 1,000 most liquid names, the strongest result after estimated trading costs, 12–1 momentum, earns a gross Sharpe ratio of 0.35 (bootstrap interval −0.17 to 0.88), inside the ±0.47 band produced by random signals. Low volatility, low beta and low MAX (maximum daily return) are negative, weekly reversal is destroyed by estimated spreads, and the one apparently strong result in a survivor-biased replication of a transition-matrix paper—a long-only winner portfolio with Sharpe ratio 1.22—falls to 0.86, level with SPY, in a point-in-time universe. We document survivorship by comparing decile returns with portfolios based on the Center for Research in Security Prices (CRSP) database.Declaration of generative AI use: All research questions, hypotheses, study designs and conclusions are the author’s own, including the decision to re-audit the author’s earlier exploratory results, which identified data errors in them. Under the author’s direction, generative AI tools (Claude Code, Anthropic) wrote most of the analysis code and ran it, and assisted with drafting, editing and formatting the text, and with typesetting. The author reviewed all code, results and text and takes full responsibility for the content of this paper.