A Research project submitted in partial fulfillment of the requirements for the Degree of Bachelor of Business Science in Financial Economics at Strathmore UniversityThe Efficient Market Hypothesis is a core theory which explain s how the securities markets work. Itv proposes that capital markets are efficient to varying degrees where in this context, the term efficient means that the price of a share reflects information that pertains to the company (Fama, 1969). There are two types of investors, those who can consistently make above average returns and the other, those who lose their money due to unfavorable movements in the market. According to (Fama, 1969) market players can 't earn an above average return on their investment from information trading as long as markets are efficient, where information trading is making investment decisions based on information acquired on various securities. This gives rise to phenomena which can't be explained by EMH. Examples are 'day of the week' effect and 'month of the year" effect which shows that on certain days, returns are lower than on others. (Gao 2005) shows that an investor making decisions based on such phenomena could very well earn abnormal return
