Chartered Financial Analyst Level 1
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Which of the following market anomalies is best characterized as a time-series anomaly?
A
The size effect, which is a cross-sectional anomaly where small-cap equities tend to outperform large-cap equities on a risk-adjusted basis.
B
Momentum, a time-series anomaly where short-term share price trends continue in the same direction over time.
C
Initial Public Offerings (IPOs), categorized as an 'other' anomaly rather than a time-series anomaly.