You have observed the cumulative abnormal returns graphed be…
You have observed the cumulative abnormal returns graphed below surrounding the announcement of a new CEO for all publicly traded firms in the US from 1990 to 2015. The average CAR is plotted relative to the event date (0 on the figure). Chart A uses the CAPM to calculate expected returns, Chart B uses the Fama-French 3-factor Model to calculate expected returns. Based on this evidence, what can we conclude about market efficiency?
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