An Evaluation Of The Semi Strong Form Of Market Efficiency At The Nairobi Securities Exchange By Analysing The Effect Of Cash Dividend On Returns Of Listed Companies

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dc.contributor.authorM’Mutungi, Moses Kiambi
dc.date.accessioned2020-10-12T08:59:13Z
dc.date.available2020-10-12T08:59:13Z
dc.date.issued2013-06-01
dc.descriptionThesisen_US
dc.description.abstractThe purpose of this study was to evaluate the semi-strong form of market efficiency as per the Efficient Market Hypothesis at the Nairobi Securities Exchange by testing for information asymmetry evidenced by its ability to react randomly and rapidly to dividend announcements. The objectives were to establish the trend of individual returns of listed companies before cash dividend announcement using the Capital Asset Pricing Model (CAPM), to assess the timeliness of responses of listed companies’ shares to cash dividend announcement by examining Abnormal Returns (AR), Cumulative Abnormal Returns (CAR) over the 60 day event period, to examine average market response to cash dividend announcements and confirm whether the data sets reject the null hypothesis or fail to reject the null hypothesis and to make recommendations towards the development of market efficiency at the Nairobi Securities Exchange. This study was a descriptive research that was quantitative in nature examining 6 purposively sampled companies from a total population of the 55 listed companies at the Nairobi Securities Exchange. Data analysis was performed using regression analysis over a 60 day event period surrounding the dividend announcement. The findings indicated that returns trends can be established using CAPM with a statistical level of certainty; second, an information lag, or delayed response to dividend announcements exists; third, it is evident that information asymmetry exists at the Nairobi Securities Exchange proving it does not respond efficiently in regard to price changes of listed shares of listed companies that have declared dividends. Finally the researcher recommends broadening of the information set at the exchange, more government encouragement of security analysis, improvement of regulatory machinery, and the overall independence of the exchange.en_US
dc.description.sponsorshipDaystar University, School of Business and Economicsen_US
dc.identifier.citationM’Mutungi, M. K., (2013). An Evaluation Of The Semi Strong Form Of Market Efficiency At The Nairobi Securities Exchange By Analysing The Effect Of Cash Dividend On Returns Of Listed Companies. Daystar University, School of Business and Economics, Nairobi.en_US
dc.identifier.urihttps://repository.daystar.ac.ke/handle/123456789/3296
dc.language.isoenen_US
dc.publisherDaystar University, School of Business and Economics.en_US
dc.subjectMarket Efficiencyen_US
dc.subjectNairobi Securities Exchangeen_US
dc.subjectCash Dividenden_US
dc.subjectReturnsen_US
dc.subjectListed Companiesen_US
dc.titleAn Evaluation Of The Semi Strong Form Of Market Efficiency At The Nairobi Securities Exchange By Analysing The Effect Of Cash Dividend On Returns Of Listed Companiesen_US
dc.typeThesisen_US

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