Abnormal return refers to the return on a security or portfolio of securities that deviates from the market average, such as an index or other benchmark. This can be both a negative deviation ('underperformance') and a positive one ('outperformance').

Abnormal returns are often associated with specific events or market developments, such as news about a merger, acquisition, or legal proceedings that directly affect a particular security.

The concept is essential in financial analysis to understand the impact of such events on returns.