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 RamIssue Date
2004-10Subjects
N321 Investmentalternative investment market
single index market model
abnormal returns
stock returns
lowly capitalised companies
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Show full item recordAbstract
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 BedfordshireType
Thesis or dissertationLanguage
enDescription
A thesis submitted to, University of Luton, Luton Business School, in fulfilment ofthe requirements for the degree ofDoctor ofPhilosophy, FinanceCollections
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