Semi-strong form efficiency of lowly capitalized firms : the case of the alternative investment market, (aim) UK : an investigation of event study based abnormal returns using the single index market model

2.50
Hdl Handle:
http://hdl.handle.net/10547/550404
Title:
Semi-strong form efficiency of lowly capitalized firms : the case of the alternative investment market, (aim) UK : an investigation of event study based abnormal returns using the single index market model
Authors:
Sangray, Sudesh Ram
Abstract:
This thesis examines the impact of company announcements on the daily stock returns of lowly capitalised companies. A total of 105 companies comprise the sample and 1464 events are examined over the period 21110/97 to 03/0412000. The methodology employed is primarily, empirical in nature. Event studies are conducted to gauge the impact of company announcements on stock returns using the single index market model (SIMM) as the chosen equilibrium market model for modelling abnormal returns. The study professes three mam contributions to knowledge. The empirical evidence suggests that financial announcement have a more timely impact on stock returns than non-financial announcements. Secondly, there appears to be significant over-reaction and mean-reversion exhibited by lowly capitalised firms. Thirdly, the speed of adjustment of stock prices to new information is increased in cases where shareholder concentration is high while over-reactions appear inversely proportionate to shareholder concentration. This may be a consequence of smaller firms experiencing leakage of boardroom level information prior to public announcement days.
Citation:
Sangray, S.R. (2004) 'Semi-strong form efficiency of lowly capitalized firms : the case of the alternative investment market, (aim) UK : an investigation of event study based abnormal returns using the single index market model'. PhD thesis. University of Luton.
Publisher:
University of Bedfordshire
Issue Date:
Oct-2004
URI:
http://hdl.handle.net/10547/550404
Type:
Thesis or dissertation
Language:
en
Description:
A thesis submitted to, University of Luton, Luton Business School, in fulfilment ofthe requirements for the degree ofDoctor ofPhilosophy, Finance
Appears in Collections:
PhD e-theses

Full metadata record

DC FieldValue Language
dc.contributor.authorSangray, Sudesh Ramen
dc.date.accessioned2015-04-21T10:33:40Zen
dc.date.available2015-04-21T10:33:40Zen
dc.date.issued2004-10en
dc.identifier.citationSangray, S.R. (2004) 'Semi-strong form efficiency of lowly capitalized firms : the case of the alternative investment market, (aim) UK : an investigation of event study based abnormal returns using the single index market model'. PhD thesis. University of Luton.en
dc.identifier.urihttp://hdl.handle.net/10547/550404en
dc.descriptionA thesis submitted to, University of Luton, Luton Business School, in fulfilment ofthe requirements for the degree ofDoctor ofPhilosophy, Financeen
dc.description.abstractThis thesis examines the impact of company announcements on the daily stock returns of lowly capitalised companies. A total of 105 companies comprise the sample and 1464 events are examined over the period 21110/97 to 03/0412000. The methodology employed is primarily, empirical in nature. Event studies are conducted to gauge the impact of company announcements on stock returns using the single index market model (SIMM) as the chosen equilibrium market model for modelling abnormal returns. The study professes three mam contributions to knowledge. The empirical evidence suggests that financial announcement have a more timely impact on stock returns than non-financial announcements. Secondly, there appears to be significant over-reaction and mean-reversion exhibited by lowly capitalised firms. Thirdly, the speed of adjustment of stock prices to new information is increased in cases where shareholder concentration is high while over-reactions appear inversely proportionate to shareholder concentration. This may be a consequence of smaller firms experiencing leakage of boardroom level information prior to public announcement days.en
dc.language.isoenen
dc.publisherUniversity of Bedfordshireen
dc.subjectN321 Investmenten
dc.subjectalternative investment marketen
dc.subjectsingle index market modelen
dc.subjectabnormal returnsen
dc.subjectstock returnsen
dc.subjectlowly capitalised companiesen
dc.titleSemi-strong form efficiency of lowly capitalized firms : the case of the alternative investment market, (aim) UK : an investigation of event study based abnormal returns using the single index market modelen
dc.typeThesis or dissertationen
dc.type.qualificationnamePhDen_GB
dc.type.qualificationlevelPhDen
dc.publisher.institutionUniversity of Bedfordshireen
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