This research examines the effect of behavioral components on market anomalies in a developing country. This paper tries to investigate behavioral factors that cause to generate stock market anomalies. This study used heuristics theory to establish the conceptual model. The finding of the research model relies on the data collected from 324 individual investors of Pakistan Stock Market using a convenient sampling technique. Partial Least Square and Structural equation modeling were used to test the proposed model with the help of Smart PLS 3.0 software. Results depict that all four components of heuristics have a statistically significant effect on two classes of anomalies (fundamental and technical anomalies) at a different level of confidence and make market inefficient in two ways and take mispricing advantage. Differently, anchoring toward technical is statistically insignificant. Overconfidence has a positive significant influence on calendar anomalies.
Keywords: Behavioral Finance, Heuristics Theory, Stock Market Anomalies, Individual investors and Market inefficiencies