The study looks at two main objectives, the asset pricing characteristics and the response to annual earnings announcements of the Ghana Stock Market (GSM).

The study hypothesizes that the GSM, as a typical African emerging stock market, is not efficient with respect to annual earnings information releases to the market. The assessment of the market response to information is done by measuring abnormalreturns over a 17-week event window when the annual earnings information is released.

Analysis of cumulative abnormal returns (CAR) is also carried out. The study establishes that 13 out of the 16 stocks studied have systematic risk lower than the market risk. Three stocks have betas greater than the market beta of one. Five
out of the 13 stocks with systematic risk lower than the market risk have negative betas. Their t-values are also not significant.

There are considerable intra-industry differences in systematic risk values of the listed stocks.
On the market response to earnings information, the analysis of CAR shows that the market learns about the impending annual earnings announcements. The market drifts up for good news and down for bad news over the period before the event announcement date.

The study establishes that the market continues drifting up or down beyond the announcement week, i.e., week zero. This is inconsistent with the efficient market hypothesis (EMH). The conclusion is that the Ghana Stock Market is inefficient with respect to annual earnings information releases by the companies listed on the exchange.