4. THEORETICAL BACKGROUND Since Fama's original works (1965 and 1970), where an efficient market from the point of view of information execution was defined as one in which "stock prices 'fully reflect' all available information" (Fama 1970) and market efficiency was classified into three levels: weak form, semi-strong form and strong form. First, the information set through weak form efficiency only reflects historical prices or returns. Second, the information set in semi-strong efficiency form contains information available to all market participants. Finally, in terms of strong-form efficiency, the information set consists of all information available to any market participant. The researchable task in this study is whether stock asset returns are predictable, which has been a matter of great attention that has emerged with financial econometrics since ancient times. Mathematical models of asset pricing have an unusually rich history compared to any other aspect of economic analysis. For return predictability tests, the information set is defined as the past history of stock prices, firm characteristics, market characteristics, and time of year. The efficient market hypothesis was first introduced by Louis Bachelier, a French mathematician in 1900 in his thesis. The efficient market hypothesis (EMH) means that security prices fully reflect all available information. The efficient market hypothesis has been divided into three categories depending on the information set: weak, semi-strong, and strong form. These classifications were originally suggested by Fama (1970).4.1. Weak-form tests of market efficiency Weak-form tests of market efficiency are tests to find out whether all the information... in the middle of the sheet of paper... comes from publicly available information. Other researchers have performed time series analyzes of stock returns as well as the cross-sectional distribution of individual stock returns to find out whether profit opportunities exist (Damodaran, 1996; Reilly and Brown 2003).4.3. Strong-form tests of market efficiency Finally, strong-form tests of market efficiency are tests of whether the information set consisting of all the information available to any market participant is fully reflected in asset prices and whether any type of investor can make excess profit (Elton and Gruber, 1995). In such strong tests of the efficient market hypothesis no one can earn excess profits. In reality, laws prohibit trading using inside information. The groups normally tested are corporate insiders, stock specialists, security analysts and professional asset managers..