The relationship between the announcements of CEO changes and stock prices

Abstract

This paper utilized an event-study in order to investigate the effect of the announcement of CEO turnover and the stock prices. In this paper, using 100 corporate firms are listed in the NASDAQ and New York Stock Exchange are separated them into 2 groups under Global Industry Classification Standard. By analyzing the abnormal returns, average abnormal returns, and cumulative abnormal returns, we tried to establish the implication in the semi-strong form market efficient hypothesis (EMH). The results of t-test shows that abnormal returns, average abnormal returns and cumulative abnormal returns are not significantly difference from zero, which means that the announcement of CEO changes have no impact on stock price. Furthermore, it indicates that investors cannot obtain excess returns over a period under the EMH, which means market react the public information rationally and promptly.