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Abnormal Return

   Also found in: Wikipedia 0.02 sec.
Abnormal Return
The difference between the expected return and the actual return on an investment. Abnormal returns may be either positive or negative; indeed an abnormal return may be negative even if the actual return is positive. That is, suppose the expected return on an investment is 7% and the actual return is 5%. While the investor has 5% more than he/she had when he/she started, the abnormal return is still -2%. On the other hand, if the expected return is 5% and the actual return is 9%, then there is a positive abnormal return of 4%. One may use an abnormal return to gauge the accuracy of various asset pricing models.


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His results demonstrate that for unadjusted and market-adjusted returns, there is a small, but significant announcement day abnormal return of 0.
Exhibit 3 shows that the average size-adjusted abnormal return for the most negative accrual decile is significantly positive (16.
 
 
 
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