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 ?
In context of Chinese markets, Wanli (2014) provides evidence that analysts' cumulative rating values have significant positive impact on the cumulative abnormal returns during first 31 days of the event, and a lower rating released corresponds to lower cumulative abnormal returns.
In Panel B of Table II, we report the cumulative abnormal return at the full sample level.
With this goal in mind, we analyze the target, bidder and combined bank cumulative abnormal returns (CARs) utilizing standard event study methodology.
We estimate the abnormal returns and cumulative abnormal returns in the event window and report the results in Table 3.
In all the results obtained in the previous tables, the TSAR test shows that the cumulative abnormal returns are statistically equal to zero, i.
68 This table reports coefficient estimates from the cross-sectional OLS regressions where the dependent variable is the cumulative abnormal return (CAR) in percentage for various event windows surrounding the announcement day of the reverse stock split of the biotechnology firms in our sample.
Calculated the cumulative abnormal returns (CAR-20, +20) proceeded to calculate the average daily abnormal returns (AR-20, +20) and cumulative abnormal returns (CAR-20,+20) for all stock prices within the event window in order to identify potential abnormalities in the 20 days before and after those events reported (-20 to +20).
f,l)] is average cumulative abnormal return over the event window and N is a number of observations (in the present study--a number of innovation announcements).
Cumulative abnormal return means that the return in year 2 includes the return over the 2-year period, not just year 2 alone.
We define the Cumulative Abnormal Return (CAR) as the aggregation through time for an individual event from [t.
To determine the cumulative effect or excess returns during some specific period, the average excess returns in some specific time during the observation period are accumulated to obtain cumulative abnormal return (CAR).