That doesn ' t make it a real thing though . <| sep |> I don ' t know man , I found a fourleaf clover this morning . Source Am now IrishAmerican <| sep |> Logan still melts my heart . It ' s so easy to forget about Odette <| sep |> Hello ? This is dog . <| sep |> Titman ' s momentum based trading paper and Gervais , Kaniel , Mingelgrin ' s paper both show excess returns for example , although they no longer work . There are plenty published in top journals such as The journal of finance , The journal of financial economics , etc . But to get on the main topic , I agree with you that for the small individual investor this is way too far fetched and he has no access to free lunches , he just ought to invest in the index if he wants to invest at all . However , its not right to say markets are rational when they are not . These things may not be exploitable for a small individual investor , but large institutions that have tiny transaction costs and some who can borrow at the risk free rate can indeed exploit them .