We examine whether the recent regime of increased liquidity and trading volume is associated with attenuation of equity return anomalies. The profitabilities of several anomaly-based trading strategies have attenuated significantly over time, particularly in liquid NYSE/AMEX stocks, and virtually none have significantly accentuated. The profits from a composite strategy based on all of the anomalies show a strong downward trend. Hedge fund assets under management, short interest, and the post-decimalization decline in trading costs, are associated with declines in anomaly-based trading strategy profits in recent years, indicating that increased arbitrage activity may have led to this decline in anomaly-based trading strategy profits.