Abstract
The objective of our work is to study the information content of accounting results of listed companies in the Casablanca Stock Exchange. Applying the methodology adopted by Beaver (1968), we analyze the market reaction, in terms of changes in prices and volumes around the announcement of annual earnings. Our study focuses on 75 companies listed on the Casablanca Stock Exchange for the period [2010 to 2015]. It accounts for the presence of an informational content for the accounting results around the announcement date. Thus, this confirms the hypothesis of financial market efficiency in its semi-strong form (Fama, 1970) and the results obtained in other financial markets (US, French, Chinese ...).
Highlights
Empirical research on accounting and financial information and its relationship with the financial market is relatively a recent activity
Our study fits into field of information content studies that are largely applied in different stock markets worldwide
It’s the first event study that is achieved in Moroccan Stock Market
Summary
Empirical research on accounting and financial information and its relationship with the financial market is relatively a recent activity. The exceeding of normative framework for accounting data is due, first, the development of positive approach (empirical) in economics, the development of the Capital Asset Pricing Model (CAPM) and to the hypothesis of efficiency (in its semi-strong form) of financial markets supported by Fama (1970). Event studies consist of evaluating the unexpected impact of the announcement of an economic or political event on stock prices. They are based on the central idea that financial markets react immediately to new information which may affect the value of financial stocks. The event studies have experienced a wide acceptance in corporate finance especially for measuring the market reaction following the announcement of events such as initial public offering (IPOs), funding decisions, the allocation of splits, the accounting or financial measures, strategic alliances, mergers and acquisitions, buyouts, corporate social performance, etc
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