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1、Payattentiontoneglectedfirms!*Evenwhenthey’relarge.AvnerArbelandPaulStrebelT37heintensityoftheresearchperformedbyse-averaged10.7O/0annuallyovertheperiodasawhole.curityanalystsonlistedcompaniesvarieswidely.Giventhecomparativelyshortperiodoftime~5Somecompaniesreceivebroadandcontinuousatten-coveredbyth
2、epreviousstudy,itsresultsweretenta-tion,whileothersgetvirtuallynocoverageatall.tive.Italsogaveinsufficientattentiontonondiversifi-2Examplesofthelattercanbefoundevenamonglargeablerisk-arelevantvariableformostsmallerinves-3corporations.Infact,atanygivenmoment,betweentorsandsomefinancialinstitutions.g1
3、00to150companiesincludedintheS&P500IndexThepurposeofthispaperis,first,toextendthereceivelittleregularcoverage.earlieranalysisforalongerperiodoftimeinordertoLThewidevariationinsecurityresearchraisescheckwhethertheneglectedfirmeffectpersistedfor8thefollowingquestions:Doesanalystattentionaffectthe1970’
4、sdecadeasawhole;second,toassessthere-thewaythatthemarketpricessecurities?Morespe-sultsforportfoliosthatarelessthanperfectlydiver-;cifically,doneglectedsecuritiesperformbetterorsified,and,finally,toexplorethepracticalimplica-6worsecomparedwiththemorepopularones.Ifso,tionsoftheneglectedfirmeffectforin
5、vestors.Inview$why?And,mostimportant,whatarethepracticaloftherecentdebateoverthesmallfirmeffect(seeaimplicationsforinvestors?goodsummaryin[4]),weshalldiscusstheinteractionInarecentstudy[l],wefoundthat,duringthebetweenthesmallandtheneglectedfirmeffectsand5-yearperiod1972-1976,firmsthatwererelativelys
6、uggestsomepracticalconclusionsrelatingtowaysinneglectedbysecurityanalystsexhibitedsuperiormar-whichportfoliomanagerscanbenefitfromthetwoef-ketperformancecomparedwiththosethatwerein-fects.tensivelyresearched.Theaverageannualreturn,in-METHODOLOGYcludingdividends,forthemostneglectedgroupofcommonstockso
7、ntheS&P500listingwasabout18%Wemeasuredthedegreeofanalysts’attentionTheJournalofPortfolioManagement1983.9.2:37-42.Downloadedfromwww.iijournals.combyHARVARDUNIVERSITYon01/28/13.Itisillegaltomakeunauthor
