Abstract:

Abstract enThis study aims to determine whether or not the neglected firm effect, one of the market anomalies, exists in Istanbul Stock Exchange between the 2nd January 2012 and 26th December 2014. For this purpose, two different portfolios were formed by using stocks. Average contract numbers, continuously traded at specified date ranges. These portfolios were named popular and neglected. BISTTUM Index was used as the market return. Between 2012 and 2014, the abnormal return of popular portfolio was found approximately %1,4, the abnormal return of neglected portfolio was found %1,1 and the return of market was found %1,6. In the light of this conclusion, the unit risk of portfolios were also examined and the existing of neglected firm effect was not found out in Istanbul Stock Exchange for specified dates range.  

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