Reference no: EM132398896 , Length: word count : 1100
FINC 5001 Capital Markets and Corporate Finance, University of Sydney Australia
Assignment
For this assignment, you only need to write about 3 pages of market efficiency, and the company's news, charts and calculations have been provided by the students
Analyze the abnormal return meanings of different announcements, judge market efficiency, and connect with literature (For example, looking for research on the market efficiency for Similar incidents occurred in companies in the same industry)
This assignment requires you to reflect upon what you have learnt during the course about the theory investors respond to the release of announcements by publicly listed companies. Furthermore, you will be required to undertake some empirical calculations to test that theory.
For this task your group is required to select ONE (1) company listed on the Australian Securities Exchange (ASX). The company chosen by your group must have been listed on the ASX for a period of not less than six years.
Once your group has chosen a suitable company you are then required to undertake the following tasks.
Required:
1. Identify FOUR (4) public announcements made by your chosen company within the period 30 June 2018 through to 30 June 2019. The announcements should be ones that would be expected to have an impact upon the company’s share price following the release of the information. Provide a brief summary of key content of each of those announcements and explain why you think each announcement should have an impact upon the company’s share price.
2. Using data from your company calculate its beta. Using suitable academic literature, justify your data choices with respect to time horizon, measurement interval, measurement of returns, and market index.
3. Using the beta value you have calculated, apply the Capital Asset Pricing Model (CAPM) to determine the daily abnormal returns for a period of THREE (3) days before and FIVE (5) days after each of your chosen company announcements.
4. Analyse the response of the market to the release of these announcements with reference to the efficient market hypothesis. Do the results indicate the information contained in the announcements has been swiftly incorporated into the share price? Ensure you support your conclusions with reference to appropriate academic literature.