Efficiency of financial markets implies that prices fully reflect all available information rapidly and in an unbiased manner. Thus, market prices should provide an unbiased estimate of fundamental value. Despite strong empirical evidence supporting this theory, there are questions about its validity. In recent years, a significantly large volume of empirical research has been conducted to show predictability of asset returns using publicly available information. This is popularly referred to as the anomalies literature. These studies used different explanatory variables ranging from fundamental to technical factors and showed evidence of market inefficiency. The results indicate that returns exhibit trends of momentum in the short to medium term and reversal in the long term