Abstract
Capital markets being the backbone of the economy, are expected to be functioning efficiently. Efficiently-priced financial markets are considered a catalyst for the economic growth of the nations (Malkiel, 2010). Efficient markets are the reflection of security valuations. In an informationally efficient market, no one can beat the market and make abnormal returns based on the information because the information is instantaneously observed in the stock prices. The current paper analyses the market efficiency of three of the most popular corporate events, i.e., announcement of cash dividends, bonus issues, and stock split in the Indian context. The sample is 2253 pure cash dividend announcements (627 large-caps, 552 mid-caps, and 1074 small-caps), 152 bonus issue announcements (49 large-caps, 33 mid-caps, and 70 small-caps), and 181 stock split announcements (35 large-caps, 34 mid-caps, and 112 small-caps) were used for this study. Event methodology market model used to calculate Average Abnormal Returns (AAR) and Cumulative Average Abnormal Returns (CAAR).
 
 The results of the study have few findings which are contradictory to the existing literature on market efficiency. The cash dividend announcements have shown evidence for market efficiency, and results are contrary to Gupta et al. (2012), but the results are similar to Mishra (2005). Bonus issue announcements also have shown evidence for a semi-strong form of efficiency, test results identical to Dhar and Chhaochharia (2008), Kumar and Mittal (2015). Stock split announcements have not shown market efficiency, and the effect is similar to the study of Lakshmi and Roy (2012) and contrary to Chavali and Zahid (2011). Our results also support the premise that the emerging countries depict evidence of market efficiency (Bechev, 2003). Finally, we conclude that market efficiency results differ based on corporate announcements and market capitalization.
Highlights
Capital market efficiencies could be categorized as a) operational efficiency, b) informational efficiency, c) pricing efficiency, and d) allocation efficiency
The existing body of literature on market efficiency and event-study methodology tries to answer an appropriate question: is there any possibility for the investor to make abnormal returns in the capital markets based on the new information? And the related question that follows is: what does it mean to have a possibility of abnormal return based on new information and no possibility of abnormal returns? Based on the new information, the investors will engage in trading as long as the marginal benefit is more than the marginal cost of the information
It is observed from table 4 that mid-cap cash dividend announcement Abnormal Returns (AAR) and cumulative average abnormal returns (CAAR) values are positive on event day, but abnormal returns on event day not significant
Summary
Capital market efficiencies could be categorized as a) operational efficiency, b) informational efficiency, c) pricing efficiency, and d) allocation efficiency. Marisetty and Babu (2018) state that to analyze the price reaction to particular corporate action, researchers prefer to compute metrics such as abnormal returns (ARs), average abnormal returns (AARs), and cumulative abnormal returns (CARs) around the date of corporate action These metrics are computed using 'Event Study Methodology.'. An event study commonly tries to assess the behaviour of security returns for a group of firms experiencing a common corporate action such as stock split or bonus issues or dividend announcement. These corporate actions might have taken place at different points in the calendar or financial year.
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