The Efficient Market Hypothesis (EMH) still draws attention of capital market participants even though it is over 35 yeas old. This article brings up the issue of semi-strong and strong forms of the EMH. It presents major empirical researches regarding this issue and tries to draw common conclusions. Event studies results do not provide us with a straightforward answer to the question of semi-strong efficiency. The market quickly reacts to dividends announcements, dissemination of analysts' recommendations and equity issues. However, semi-strong efficiency is not supported by earnings announcements studies. The majority of them show too slow market reaction ('drift'). This drift also occurs on Polish equity market (up to 60 days after earnings announcement). Additionally, the smaller the company, the stronger the drift, which suggests that small-cap market is less efficient. Researches concerning strong form of EMH show that there is a group of investors who possess informational advantage over the others. They are referred to as insiders. This fact is contrary to strong efficiency. According to majority of private information studies, neither fund managers nor analysts (even though there are some doubts in their case) possess private information.
P. Kowalczuk, c/o Uniwersytet w Bialymstoku, Wydzial Ekonomii i Zarzadzania, ul. Warszawska 63, 15-062 Bialystok, Poland
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