Measuring Abnormal Performance on the Australian Securities Market

Terrence J. Shevlin
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Terrence J. Shevlin: Department of Accounting and Finance, Monash University. This paper has benefitted from the comments and criticisms of R. Brown, P. Praetz and S. Brown. As supervisor for my M.Ec. thesis, I am indebted to R. Officer. P. Brown also allowed access to the ‘N = 909’ version of his price relative data file. Any errors or omissions remain of course the responsibility of the author.

Australian Journal of Management, 1981, vol. 6, issue 1, 67-108

Abstract: This paper reports the results of simulation tests on various models that have been employed by researchers in testing the share market response to information releases. The study employs methodology similar to that used by Brown and Warner (1980) in the United States. This study based on Australian monthly return data reports generally similar results. The methodologies of the semi-strong market efficiency tests are most powerful when the date on which the information is first released to the share market is accurately identified.

Keywords: ABNORMAL PERFORMANCE; POWER; RESIDUALS; SECURITY PRICES; SIMULATION (search for similar items in EconPapers)
Date: 1981
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:sae:ausman:v:6:y:1981:i:1:p:67-108

DOI: 10.1177/031289628100600104

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