im new to this ^_^
To sum up, based on the discussion above, it seems that for the US market, it appeared to be working under a weak-form of inefficient market considering market anomalies of momentum effects and pricing-earning ratio and intrinsic measure anomalies. However, for Australia market, due to the characteristics difference of Australia market, the portfolio of Australian shares are consistent with the weak-form of market efficiency, however, it does not apply to the individual stocks. Besides, no intrinsic measure anomalies were found for the long horizon. Overall, Australia market is more efficiency compared to US market in terms of weak-from of market efficiency.
In addition, after examining the small firm in January effect anomaly, book to market ratio anomaly and post earnings announcement price drift anomaly, we could see that Australian market especially for small firms was influenced by January effect, book to market ratio and post earnings announcement anomaly, which indicate market inefficiency of Australia market. On the other hand, for the US market, the last three anomalies all applied to US market also, and it seems that US market is also not market efficiency.
An efficient market exists when the stock price fully reflects all the information available . There are several ways to test whether the market is efficient. The main tests include event study, the patterns in stock return, predictors of broad market return, test of anomalies and the inside information . These tests are conducted by using risk models to calculate the excess return of the market , the market is said to be efficient if there is no excess return to be found .
Event study exams the influence on stock price by a specific event and a single-index model is used : rt = a + brmt + et => et = rt –( a + brmt )
rt : stock return during the period t
a : average rate of return during period t with no market
mkay bye (NOT MINE)