Problem:
Test semi-strong form market efficiency hypothesis by using the announcements of news. Take mergers and acquisition for example, find the 5 announcements using news search engines, and use yahoo finance to find out the daily returns of acquirers during the 10 day period around announcement date (-2, 8). Next step will be measuring abnormal returns. You can use CAPM model to project the expected returns and then measure the abnormal returns as the difference between actual returns and expected returns. Then you get the average abnormal returns among the 5 acquirers for each day of those 10 days. Last step, look at your calculation results and explain what it shows regarding market efficiency.