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The results of the tests of Semi-strong Efficient Market Hypothesis on the example of the Warsaw Stock Exchange in the period 2005-2011 (Wyniki testow hipotezy pólsilnej efektywnosci informacyjnej Gieldy Papierow Wartosciowych w Warszawie w latach 2005-2011)

Author

Listed:
  • Damian Bulski

    (Wydzial Zarzadzania Uniwersytetu Warszawskiego)

  • Marian Gorski

    (Katedra Systemow Finansowych Gospodarki, Wydzial Zarzadzania Uniwersytetu Warszawskiego)

Abstract

The paper presents results of the Semi-strong Efficient Market Hypothesis introduced in to the literature by E. Fama. The hypothesis assumes that the prices of the securities almost instantly reflect the significant public information. We tested the influence on the yearly rate of return on the shares quoted on the Warsaw Stock Exchange (WSA) in the period 2005–2011 the indicators as follows: market capitalization of the company (CAP), Price Earnings Ratio (PE), Price/Book Value Ratio (P/BV), Dividend Yield (DY), beta - risk factor from the Capital Asset Pricing Model (CAPM). Usefulness of above factors in construction maximizing profit shares portfolio diverse and depends on the periods under research. The results of the test has been compared with the others provided for the Warsaw Stock Exchange by Czekaj, Woœ, ¯arnowski (2001) and Buczek (2005).

Suggested Citation

  • Damian Bulski & Marian Gorski, 2012. "The results of the tests of Semi-strong Efficient Market Hypothesis on the example of the Warsaw Stock Exchange in the period 2005-2011 (Wyniki testow hipotezy pólsilnej efektywnosci informacyjnej Gie," Problemy Zarzadzania, University of Warsaw, Faculty of Management, vol. 10(39), pages 141-168.
    • Handle: RePEc:sgm:pzwzuw:v:10:i:39:y:2012:p:141-168
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    References listed on IDEAS

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    1. Bernard, Vl & Thomas, Jk, 1989. "Post-Earnings-Announcement Drift - Delayed Price Response Or Risk Premium," Journal of Accounting Research, Wiley Blackwell, vol. 27, pages 1-36.
    2. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
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