“异常”这个词是库恩于1970首次提出的。它是在科学发现的出现，讨论违反范式诱导的期望是由正常的科学描述（库恩1970节）。异常只出现在范式意味着金融市场提供了背景，异常是指相对于正常返回的定义（constainides，Harris & Stulz，2003，p.4）。市场异常的发现表明，市场效率低下，资产定价模型失败的想法受到许多学者的支持（Fama，1970；当中，1981）。在世界许多证券交易所，资产定价并不遵循有效市场假说（EMH）。但球（1978）和Keim（2008），拒绝假设的基础上的信息有效的市场均衡模型依赖利润，如资本资产定价模型，是没有必要怀疑市场的效率。因此，支持者认为，规模效应的存在是实证研究的结果，抗议者认为测量和数据库错误表明尺寸效应的探索。
Anomalies are phenomena arising from some surprising market results and are seen as contradictions to the theories of asset pricing behavior and the theories of efficient market. Usually anomalies indicate market inefficiencies and profit opportunities. They had been analyzed in many academic literatures by scholars and various forms of well known anomalies could be found in documents, such as the value effect, the low PE effect, the market overreaction, the January effect and the weekend effect and so on. But there are many suspicions about the existence of those anomalies as some forms of anomalies disappeared after certain period, such as the small firm effect, and they were treated simply as statistical aberrations. If there really are anomalies in financial market, opportunities for investors to make more profit than normal can definitely be explored. One form of anomalies mentioned above, a small firm effect, is emphasized and analyzed from the cross sectional financial markets and time series in this essay. The anomalies, especially the small firm effect, and its implications for market efficiency are introduced first. And then the reasons for the small firm effect are explored to explain the existence of anomaly and its effects. The final goal in analyzing anomalies is actually to promote some suggestions and strategies to investors and managers. And at last there comes the conclusions.
The term anomaly was first introduced by Kuhn in 1970. It is described in the discussion of emergence of scientific discoveries as a violation to the paradigm induced expectation which is governed by the normal science (Kuhn, 1970, p.52). Anomaly appears only against the background provided by the paradigm which means in the financial market, anomaly is defined relative to the definition of the normal return (Constainides, Harris & Stulz, 2003, p.4). The ideas that discoveries of market anomalies implicate the inefficiency of market and the failure of asset pricing model are supported by many scholars (Fama, 1970; Banz, 1981). And empirically in many stock exchanges around the world, the pricing of assets is not following the rules of Efficient Market Hypothesis (EMH). But to Ball (1978) and Keim (2008), the refuse to the hypothesis based on an information efficient market and an equilibrium model relied profit, such as the CAPM, is not necessary to suspect the market efficiency. So the supports believe the existence of the size effect as the empirical studies indicate, the protestors believe the exploration of the size effect as the measurement and databases errors indicate.