Earning surprises. Price changes tend to persist after initial announcements. Stocks with positive surprises tend to drift upward, those with negative surprises tend to drift downward. Some refer to the likelihood of positive earnings surprises to be followed by several more earnings surprises as the "cockroach" theory because when you find one, there are likely to be more in hiding.

Researches show that the post-earnings-announcement drift occurs mainly in the highly illiquid stocks, which have high trading costs and market impact costs, thus supporting for the argument that transactions costs could be the source of the drift.

Initial public offerings. Because of uncertainty about price and the risk involved in underwriting stocks of previously closely held companies, it has been hypothesized that underwriters tend to under-price these new issues. Although there is some under-pricing of IPOs (about 15%) when they are offered, the price adjustment takes place within one day after the offering. Investors who acquire the stock after the initial adjustment do not experience abnormal returns.

Predictability of returns based on prior information. Finding that stock returns are related to prior information such as interest rates, inflation rates and dividend yields would not result in abnormal trading returns.

Summary

Most empirical evidence supports the semi-strong form EMH. The test results of the strong-form EMH are mixed