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SEMI-STRONG AND STRONG FORM OF STOCK MARKET EFFECTIVENESS BASED ON CURRENT EMPIRICAL STUDY

100%
Kowalczuk P.
Optimum. Studia Ekonomiczne
|
2008
|
issue 1(37)
147-188
EN
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.
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THE ANALYSIS OF AN INVESTMENT RISK WITHIN EMERGING CAPITAL MARKETS. THE CASE OF THE WARSAW STOCK EXCHANGE

51%
Kowerski M.
Finansowy Kwartalnik Internetowy e-Finanse
|
2010
|
vol. 6
|
issue 4
1-23
EN
The purpose of the paper is to show that the three-factor Fama-French model can be a good instrument for analysis of investment risk on emerging capital markets if, because of the relatively small number of quoted companies, for calculation of the SMB and HML values we applied division of all companies into four portfolios (contrary to Fama – French who propose division of all companies into six portfolios). The usefulness of the above concept was verified on the Warsaw Stock Exchange. The models estimated with the Generalized Least Squares Method on monthly data within the period 1994 – 2008 have the signs of coefficients which are consistent with those of the Fama-French three-factor model and there is no autocorrelation of disturbances and no ARCH effect. Models are relatively high adjusted. Estimated coefficients are also robust. The models fully confirm the thesis posed by Fama and French that in addition to market risk there are two other risk factors which influence the return on investment. These are: risk associated with investing in small companies and risk connected with investing in companies undervalued by the market.
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