Asset Pricing and Information Efficiency of the Ghana Stock Market
"The study looks at two main objectives, the asset pricing characteristics and the response to annual earnings announcements of the Ghana Stock Market (GSM). The study hypothesizes that the GSM, as a typical African emerging stock market, is not efficient with respect to annual earnings information releases to the market. The assessment of the market response to information is done by measuring abnormal returns over a 17-week event window when the annual earnings information is released. Analysis of cumulative abnormal returns (CAR) is also carried out. The study establishes that 13 out of the 16 stocks studied have systematic risk lower than the market risk. Three stocks have betas greater than the market beta of one. Five out of the 13 stocks with systematic risk lower than the market risk have negative betas. Their t-values are also not significant. There are considerable intra-industry differences in systematic risk values of the listed stocks."