Abstract
The purpose of this study was to investigate whether there are any significant abnormal returns around the public announcement of earnings and to establish whether the efficient capital market hypothesis applies to the small ALT-X market. The population of interest was all the companies that were listed on the JSE-ALTX, announced annual earnings, from1 January 2009 to 31 December 2009. The method of calculating the expected returns was the CAPM. The empirical evidence showed that there is substantial negative share price reaction to earnings announcements on the ALT-X stock market. The ALT-X also showed the weak-form of market efficiency.
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