Market efficiency is a tough thing to beat. Go ahead, find an anomaly and then have it torn to bits in future papers. Lesmond, Schill, and Zhou come to the defense of market efficiency and find that the reported profits from momentum investing are minimally overstated and possibly non-existent because of the higher than normal transactions costs involved with the necessary trading. For example while previous papers (example Jegadeesh and Titman 1991) account for transactions costs, they only use the average cost of trading. This paper reports that where momentum investing seems to be profitable is concentrated in stocks with higher than average transactions costs. Thus after they make adjustments for transaction costs, the abnormal returns disappear. [FinanceProfessor.com Annotation]