We examine the impact of rebalancing by anomaly investors on stock prices. To do this, we introduce a simple proxy for anomaly-driven demand. Our proxy captures demand and supply arising from updates in the information set of anomaly investors. Empirically, we find that stock returns are increasing in our proxy with the effect primarily occurring at the beginning of the month. This points to a significant rebalancing effect by anomaly investors. Our findings suggest that by merely targeting the risk premia associated with different anomalies, anomaly investors impact stock prices.