Abstract

ROMACHO, João Carlos  and  CIDRAIS, Vânia Gaspar. A eficiência do mercado de capitais português e o anúncio dos resultados contabilísticos . Tékhne [online]. 2007, n.7, pp.235-252. ISSN 1645-9911.

The purpose of this paper is to test the efficient market hypothesis of the Portuguese capital market in the semistrong-form, selecting as relevant information the announcement of the accounting results. For this propose, we applied the event studies methodology, using the Security Returns Variability (SRV) measure, to a sample composed of 10 shares belonging to the Portuguese index PSI-20 for the period of 4^th January 1999 over 30^th September 2004. The results obtained suggest that, for the generality of the set of stocks, the market is efficient, which is reflected in a fast adjustment of the stock prices when the accounting results are announced and even beforehand. These results are consistent with other studies that have investigated the efficiency of the Portuguese stock market in the semistrong-form.

Keywords : Semistrong-form efficiency; Portuguese capital market; event studies; accounting results; abnormal income.

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