Estimating the efficient market hypothesis

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A respected security analyst has analyzed annual reports in detail and adjusted firms' liabilities to reflect unfunded pension benefits. He has found that this adjustment would drastically affect the book value of equity for some corporations. On the day that he publicly reported his results, the stock prices of the corporations for which he labeled the reported book value as "substantially overstated" did not have price changes that could not be explained by market movements, however. Furthermore, in the month after the announcement, on average there were no statistically significant abnormal returns for these companies, once the returns were adjusted for risk. This sequence of events is evidence supporting which form(s) of the Efficient Market Hypothesis (EMH)?

A. The strong form only
B. The market is inefficient
C. The semi-strong form only
D. The semi-strong and strong form
E. The weak form only

Reference no: EM133002166

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