Efficient Markets Hypothesis predicts that securities prices follow a random course. According to the hypothesis, it should be impossible to predict future returns based on public information. Similarly, it should be impossible to estimate changes in stock prices based on past price behavior. According to the Efficient Market Hypothesis, no abnormal return will be achieved. However, in the literature, research findings contradicting this assumption of the Efficient Markets Hypothesis have been found. The concept of anomaly, which means deviation from normal, is used to explain these findings that are incompatible with the hypothesis. In this study, the stocks traded in BIST were examined within the framework of small firm effect and neglected firm effect from market anomalies. According to the results of the study, small and neglected stocks can produce positive abnormal returns.
Small and Neglected Stock Effect, Abnormal Return, BİST