Обложка Efficiency of Stock Market
Название книги:

Efficiency of Stock Market

A Study of Stock Price Responses to Earnings Announcements

LAP LAMBERT Academic Publishing (2011-10-26 )

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ISBN-13:

978-3-8465-2115-1

ISBN-10:
3846521159
EAN:
9783846521151
Язык Книги:
Английский
Краткое описание:
This study has tested the semi-strong form of efficient market hypothesis by examining the stock price responses to quarterly earnings announcements. The sample consists of 156 companies listed on Bombay Stock Exchange, India. The companies are divided into three portfolios, good news, bad news and overall portfolio on the basis of percentage changes in quarterly earnings and sales. We use raw and log returns, market model, event study methodology, t-test, runs test and sign test. This study presents results on stock price responses to quarterly earnings announcements and seasonal analysis. For all the three portfolios under market model with raw returns and market model with log returns stock price behaviour around quarterly earnings on an average produced abnormal returns in pre-and post-announcement periods. Further, the abnormal returns were found to persist up to 31 trading days after the quarterly earnings announcement. The results indicate that the stock price adjustment to the event is delayed and persists throughout the event window. Therefore, the results of this study show that Indian stock market is not efficient in semi-strong form.
Издательский Дом:
LAP LAMBERT Academic Publishing
Веб-сайт:
https://www.lap-publishing.com/
By (author) :
T. H. Iqbal, T. Mallikarjunappa
Количество страниц:
328
Опубликовано:
2011-10-26
Акции:
В наличии
Категория:
Деньги, Банк, Биржа
Цена:
79.00 €
Ключевые слова:
semistrong form, indian stock market, earnings announcements, stock price response, Event Study, Efficient Market Hypothesis, Earnings and Dividend Announcements, Event-Study

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