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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
Author: Sangray, Sudesh Ram
ISNI:       0000 0001 3551 4456
Awarding Body: University of Luton
Current Institution: University of Bedfordshire
Date of Award: 2004
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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.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID:  DOI: Not available
Keywords: N321 Investment ; alternative investment market ; single index market model ; abnormal returns ; stock returns ; lowly capitalised companies