Semi-strong form EMH

Fama, Fisher, Jensen and Roll (1969) have done the initial testing for semi-strong market efficiency using the risk-adjusted return with respect to the announcement of stock split and found the occur of high abnormal return prior to the announcement of stock split.

The testing of market reaction to accounting information was rather positive than negative, few of the reviews showed that the accounting information received with positive association (Wilson, 1987). Rayburn (1996) examined the semi strong form factors and saw that there was a relative change in equity value (return).

The testing of semi-strong form by Block trading, when there is a large number of stocks are suddenly placed on the market for sale, resulted that the price of the stock significantly drop but after a short period stock rebounds to its prior level

Strong form EMH

Penman (1982) examined the insider trading and found that the insiders purchase the stocks before the announcement and sell after it, by which receiving high abnormal return. Therefore, insiders do indeed have private information that is not impounded in the stock price.

Article 3

Weak form EMH

According to Author there are two test approaches usually done to test the weak form. The first is the test of the random walk and the second is the test of trading strategies related with past price performance. According to the research, the former tests seem to support weak-form EMH while the latter, although rejecting the random walk by using specific strategies such as hedging and filter techniques, reveal that the available profit opportunities to investors are unable to compensate them with abnormal returns when taking into account transaction costs.

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