Measuring Abnormal Performance on the Australian Securities Market

This paper reports the results of simulation tests on various models that have been employed by researchers in testing the share market response to information releases. The study employs methodology similar to that used by Brown and Warner (1980) in the United States. This study based on Australian monthly return data reports generally similar results. The methodologies of the semi-strong market efficiency tests are most powerful when the date on which the information is first released to the share market is accurately identified.