An empirical study of the semi-strong form of market efficiency by using stock split announcements as information content

  • The present study examines stock split announcements with regard to the semi-strong form of the efficient market hypothesis. Daily security price data and a sample of 262 stock split announcements observed on the New York Stock Exchange during the ten-year period from January 2006 to December 2015 are applied on parametric as well as nonparametric tests. The test results provide empirical evidence in favor of the semi-strong form of market efficiency. This implies that the marketplace immediately and efficiently reacts to stock split announcements by adjusting security prices. Therefore, it is not possible to generate significant abnormal returns by trading on the information content implicit in stock split announcements.

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Metadaten
Author:Dominik Schätzle
Advisor:Uwe Hack
Document Type:Bachelor Thesis
Language:English
Year of Completion:2018
Granting Institution:Hochschule Furtwangen
Release Date:2018/02/28
Tag:Efficient market hypothesis; New York Stock Exchange; Semi-strong form; Stock split announcements
Degree Program:IBM - International Business Management
Functional area:Finance & Accounting
Access Rights:Frei verfügbar
Licence (German):License LogoEs gilt das UrhG