Do stock market anomalies die when everyone trades them?

The cross-section of stock returns, momentum and asset pricing anomalies appear on 210 recent papers in the finance and economics journals, but only 14 of them carry a crowding, capacity, decay, replication or out-of-sample keyword. As quantitative funds trade the same signals, do anomaly returns shrink, and can crowding be measured in time?

What prompted this

Since October 2025, 210 papers carry a factor-investing, factor-model, anomaly, momentum or cross-section-of-returns keyword (130 in finance journals, 38 in economics). Only 14 of them also carry a crowding, capacity, arbitrage-capital, decay, post-publication, replication or out-of-sample keyword. "Factor investing" appears on 8 papers and "stock return predictability" on 28.

Questions

Do anomaly returns fall after the strategies become available in cheap funds, beyond the decline after publication?
Can crowding be measured from short interest, fund holdings and trading volume in the anomaly portfolios, and does it predict crashes such as the 2007 quant meltdown?
Do the same anomalies decay in China's A-share market, where quantitative funds grew later?

Data that could help

Anomaly portfolio returns (Open Source Asset Pricing, the Kenneth French library), fund holdings (13F filings), short interest and trading volume (CRSP).

Next step

Build a crowding measure from 13F holdings for 20 anomalies and test whether it predicts their returns over the following year.

Related research activity

The keywords this note follows, in the tracked finance, accounting, economics, management, operations research and AI journals as of 2026-10-26
Keyword	Papers, last 30 days	Rank	Papers, last 36 months
factor investing	0	–	22
momentum	2	#1303	36
factor models	1	#2881	52
stock return predictability	0	–	72

@misc{scholar4ai-ideas-factor-crowding-and-anomaly-decay, author = {{Scholar4AI}}, title = {Do stock market anomalies die when everyone trades them?}, year = {2026}, howpublished = {\url{https://scholar4ai.com/ideas/factor-crowding-and-anomaly-decay}}, urldate = {2026-10-23}, note = {Journal Research Rankings; data from OpenAlex (CC0); licensed CC BY-NC 4.0} }