Identifying Robust Market Anomalies in Active Equity Investing

As part of their equity portfolio management strategy, an analyst at Global Equity Investments, Sarah, has been tasked with evaluating potential market anomalies that could be harnessed for active equity investing. She recalls three well-known anomalies: the January effect, momentum effect, and value effect. During a recent meeting, the investment committee challenged her to determine which of these anomalies has shown resilience in various market environments and tends to produce statistically significant excess returns over time.

Which of the following market anomalies is considered the most robust based on empirical research and can consistently provide systematic excess returns across different market conditions?