Is There a Neglected-Firm Effect?

Craig G. Beard and Richard W. Sias

Financial Analysts Journal, 1997, vol. 53, issue 5, 19-23

Abstract: The “neglected-firm effect” suggests that securities that analysts ignore offer higher returns (a “neglect premium”) than securities that analysts follow and scrutinize heavily. Using a large and recent sample of securities, we reinvestigated the neglected-firm effect. Controlling for capitalization, we found no evidence of a neglect premium. Investors attempting to exploit the neglected-firm effect during the past 14 years are likely to have been disappointed.

Date: 1997
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DOI: 10.2469/faj.v53.n5.2113

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