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Measuring Abnormal Performance on the Australian Securities Market

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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.)

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.

Suggested Citation

  • Terrence J. Shevlin, 1981. "Measuring Abnormal Performance on the Australian Securities Market," Australian Journal of Management, Australian School of Business, vol. 6(1), pages 67-108, June.
    • Handle: RePEc:sae:ausman:v:6:y:1981:i:1:p:67-108
    DOI: 10.1177/031289628100600104
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    References listed on IDEAS

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    1. Brenner, Menachem, 1979. "The Sensitivity of the Efficient Market Hypothesis to Alternative Specifications of the Market Model," Journal of Finance, American Finance Association, vol. 34(4), pages 915-929, September.
    2. John Lintner, 1965. "Security Prices, Risk, And Maximal Gains From Diversification," Journal of Finance, American Finance Association, vol. 20(4), pages 587-615, December.
    3. Gonedes, Nicholas J., 1973. "Evidence on the Information Content of Accounting Numbers: Accounting-based and Market-based Estimates of Systematic Risk," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 8(3), pages 407-443, June.
    4. Ray Ball & Philip Brown & Frank J. Finn, 1977. "Share Capitalization Changes, Information, And the Australian Equity Market," Australian Journal of Management, Australian School of Business, vol. 2(2), pages 105-125, October.
    5. Gonedes, Nj & Dopuch, N & Penman, Sh, 1976. "Disclosure Rules, Information-Production, And Capital-Market Equilibrium - Case Of Forecast Disclosure Rules," Journal of Accounting Research, Wiley Blackwell, vol. 14(1), pages 89-137.
    6. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
    7. Masulis, Ronald W., 1980. "The effects of capital structure change on security prices : A study of exchange offers," Journal of Financial Economics, Elsevier, vol. 8(2), pages 139-178, June.
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    Cited by:

    1. Karen Benson & Peter M Clarkson & Tom Smith & Irene Tutticci, 2015. "A review of accounting research in the Asia Pacific region," Australian Journal of Management, Australian School of Business, vol. 40(1), pages 36-88, February.
    2. Keith K.W. Chan & Damien W. McColough & Michael T. Skully, 1993. "Australian Tax Changes and Dividend Reinvestment Announcement Effects: A Pre- and Post-Imputation Study," Australian Journal of Management, Australian School of Business, vol. 18(1), pages 41-62, June.
    3. Corrado, Charles J. & Truong, Cameron, 2008. "Conducting event studies with Asia-Pacific security market data," Pacific-Basin Finance Journal, Elsevier, vol. 16(5), pages 493-521, November.
    4. Elisa Choy & Stephen Gray & Vanitha Ragunathan, 2006. "Effect of credit rating changes on Australian stock returns," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 46(5), pages 755-769, December.

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