Consistent with this interpretation, returns within this "Undefined Growth" subset are extremely low: 5-year buy-and-hold abnormal returns
(BHARs) have an average of -73% and a median of -93%.
Farrell and Frame (1997) found significant negative abnormal returns
for the two days following an announcement, but no significant effects on the announcement day (day 0).
will be associated with the event studied if the intercepts in the regressions are economically and statistically significant.
We computed the abnormal returns
using the S&P 500 as the benchmark index because the broader market is more representative of investors' sentiments than the DJIA (Manuela and Rhoades 2013).
Unlike other authors, Linciano finds weak, negative abnormal returns
for downgrades in the window between one day before and one day after the announcement.
Acquisitions that concentrated on increasing the diversity of the business earned the highest abnormal returns
(AR) upon return of Chairman and General Manager
Suspecting a shift in beta caused by 9-11, we test whether the abnormal returns
obtained for the event window It = -5, .
Event studies usually "estimate abnormal returns
at and around the time of some event relating to the shares concerned, for example, the announcement of a rights issue or a takeover bid" [Armitage 1995, p.
The first work identified that accrual anomaly is different than post-earnings announcement drift (the tendency for the cumulative abnormal returns
of an asset to accompany an earnings surprise for various days after its announcement, due to an overreaction of the market to the result disclosed).
While daily abnormal returns
are a bit noisier, the cumulative effect over three trading days is abundantly clear.
Standardized cumulative abnormal returns
can then be aggregated using the individually standardized abnormal returns
for each firm