Event Study Methodology as a Mean of Market Efficiency Determination

This paper focuses on a method of market efficiency determination called “Event Study”. This method helps to find an evidence of semi-strong market efficiency in a market on a basis of share price behavior at a chosen time range, in particular, it raises a question, if there are any abnormal returns present, which shows the imperfection of the market and, hence, the lack of semi-strong form market efficiency. Semi-strong form market efficiency is present, when publicly available information is incorporated into share prices at a date of such news issue. During Corporate Finance course at ICEF, HSE, students perform an event study as a group assignment, this paper is based on one of such an assignments and looks forward to investigating deeper and further the efficiency of the market in Russia on a basis of Aeroflot share data and published events of the above named Company. The aim is to test semi-strong market efficiency on a larger sample and variety of event (news) published to draw more strong conclusions about the evidence of semi-strong market efficiency in Russia.