Inefficiencies in the small cap market

Large cap stocks that are part of the DOW or the S&P 500 are widely followed by analysts.  Analysts' estimates of earnings are often very close to actual earnings, etc.  The ability of analysts to be accurate is understandable when you consider the availability of data.  CNBC just interviewed a CEO of a company that analyzes cars in parking lots from satellite images (they only analyze for very large companies like McDonalds).  However, the availability of data and the number of analysts on a stock diminutions as the cap size drops.  Small cap stocks have a smaller market (trading volume is often a lot less).  A smaller market makes for inefficiencies - a major opportunity for multi-baggers.  The price of a stock will eventually follow the movement of earnings, but for small cap stocks it can take longer - giving investors the opportunity to exploit the inefficiencies.  I believe the major reason for the inefficiencies is the lack of institutional investor involvement.  Institutional investors have their hands tied, they can't and don't invest in anything they want (they don't invest in penny stocks - stock under $5).  Because analysts cover the large cap stocks, why should you?  Why not cover the small cap stocks and exploit the inefficiencies? I believe the only way an investor can consistently beat any benchmark index (Dow of S&P 500) is by weighting to smaller cap stocks where more inefficiencies exist.  This is one of the reasons I like ZAGG.  Although ZAGG now has a couple of analysts following it, the stock price does not move to match what the analysts expect - a sign of an inefficient market.