Cumulative abnormal return

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Cumulative abnormal return (CAR)

Sum of the differences between the expected return on a stock (systematic risk multiplied by the realized market return) and the actual return often used to evaluate the impact of news on a stock price.

Cumulative Abnormal Return

In stocks, the sum of all the differences between the expected returns and the actual returns up to a given point in time. Since the expected return is computed by an asset pricing model, the cumulative abnormal return may be used to determine how accurate the model is. More often, it is used to investigate the affect extraneous events have on stock prices.
References in periodicals archive ?
The day-to-day abnormal and cumulative abnormal returns of value-weighted portfolios are less variable than the ones of equally-weighted portfolios.
Cumulative abnormal returns (CARs) are calculated over the next H weeks (where H takes the value 1, 2, 3, 4, 12, 24, 36, or 52).
Table 1 1-year Cumulative Abnormal Returns Model (1) Model (2) Model (3) Constant .
The time-series data consist of daily and cumulative abnormal returns using the Standard & Poor's 500 as the benchmark index.
The acquirers' cumulative abnormal returns also fall much faster after the acquisition announcement when the targets are unlisted than when they are listed.
Second, we discuss the information value difference of different patent lawsuit sources in a competitive environment and determine the financial factors affecting cumulative abnormal returns of different lawsuit sources.
Then, the standardized cumulative abnormal returns for the individual firms can be used to calculate the standardized cumulative abnormal returns for N securities over n periods:
Since the complete price response to new information can potentially take several days, cumulative abnormal returns (CARs) are calculated over multiple trading days known as the event window.
Table 2: Univariate Analysis of Cumulative Abnormal Returns N CAR(-1,1) CAR(-5,5) N Earnings 43 -.
study in this category is Hamilton's (1995) study on the announcement of TRI data, which found significant negative cumulative abnormal returns (ARs) during a 10-day window following the announcement of TRI data.
When event periods are longer, then cumulative abnormal returns (CARs) are relevant.
More interestingly, we find that the relationship between total credit enhancements and cumulative abnormal returns depends on the delinquency rate on securitized assets; when the rate is below some threshold, cumulative abnormal returns are positively correlated with total credit enhancements.