Is it possible to beat the market? What needs to be done to earn more than other investor's average return? Is SEO an opportunity for investors to maximize their returns? Stocks are considered among risky financial instruments due to large price changes compared to Bonds. It is possible to win or lose 20% in just one trading day in Borsa Istanbul. However, getting higher returns than market average depends on many factors such as the timing, target sector and stocks. Stocks of the firms that performed SEOs are beneficial to create optimum investment portfolio? Is the abnormal return phenomenon real? We tried to find sufficient answers for all these questions via the Turkey Case. In this study, it has been examined whether the stock of the firms that have realized SEO provide higher returns (abnormal returns) to the investors in the short and long term.