Earnings announcements and market efficiency

Abstract

Here in this report, I use earnings to find abnormal returns and cumulative abnormal returns on listed banks in Dhaka Stock Exchange for three quarter. We can see that Bangladesh stock market is efficient at the semi-strong level. The post negative-event day’s cumulative average abnormal (CARs) returns are negative and the post-positive event days CARs are positive. The empirical study suggests that Bangladesh stock market is not efficient. In fact, it exhibits market under-reaction.