Testing information efficiency in the Portuguese stock market

• Autor(a) principal: Correia, Ricardo Emanuel Sarmento
• Data de Publicação: 2009
• Tipo de documento: Dissertação
• Idioma: eng
• Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
• Texto Completo: http://hdl.handle.net/10071/1728
• topic: Market efficiency; Event studies; Earnings announcements; Abnormal returns; Thin trading; Forecast optimism; Efficient Market Theory; Behavioral finance; Corporate finance; Eficiência de mercado; Estudo de eventos; Anúncios de resultados; Rendibilidades anormais; Optimismo de previsões; Teoria da Eficiência do Mercado; Finanças comportamentais

This study attempts to discuss information efficiency based on empirical evidence about the Portuguese stock market. We examine the abnormal returns surrounding earnings announcements for all available data on I/B/E/S for the Portuguese stock market and conclude that the evidence partly support the previous studies. Furthermore, our results show persistence of the abnormal returns in the pre-event window and on day zero (i.e. one trading day before the announcement was made public), two anomalies that were previously documented. This fact lead us to argue that the Portuguese stock market is not informational efficient. In addition, our findings about forecast bias suggest to some extent the existence of forecast optimism in Portuguese stock market for Earnings Per Share (EPS), Dividend Per Share (DPS) and Cash Flow Per Share (CPS). Our study points out that the forecast optimism is limited when one proceed to the correction of a currency code bias (CCB) present in I/B/E/S. Since this CCB could significantly influence the results we suggest that studies about European countries that adopted the Euro must account for this issue. In this work, we also compare some of the most known available financial databases to analyze the daily trading volume of the listed firms on Euronext Lisbon and we present the limitations of the available data. According to our conclusions there are a small number of thinly traded stocks considering all available data about these firms.