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Semi-strong form of market efficiency

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Test semi-strong form market efficiency hypothesis by using the announcements
of news. Take mergers and acquisition for example, find the 5
announcements using news search engines, and use yahoo finance to find out the daily returns of acquirers during the 10 day period around announcement date (-2,
8). Next step will be measuring abnormal returns. You can use CAPM
model to project the expected returns and then measure the abnormal returns as
the difference between actual returns and expected returns. Then you get
the average abnormal returns among the 5 acquirers for each day of those 10
days. Last step, look at your calculation results and explain what it shows regarding market efficiency.

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Solution Summary

This explains the concept of semi-strong form of market efficiency and its relation with CAPM

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Semi-strong form of market efficiency hypothesis by using the announcement of news
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Take mergers and acquisition for example, the recent 5 announcements :

? May 2 INTL BUSINESS MACH (IBM) Ascential Software Corporation (ASCL) $18.50 per share in cash
? May 5 SIEMENS A G ADR (SI) CTI Molecular Imaging, Inc. (CTMI) $20.50 per share in cash
? May 6 ACXIOM CP (ACXM) Digital Impact, Inc. (DIGI) $3.50 per share in cash
? May 11 SYNOPSYS INC (SNPS) Nassda Corporation (NSDA) $7.00 per share in cash
? May 16 ...

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