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 ?
We estimate the abnormal returns and cumulative abnormal returns in the event window and report the results in Table 3.
Cumulative abnormal return means that the return in year 2 includes the return over the 2-year period, not just year 2 alone.
where ACARpt is the average CAR for portfolio p, Z represents the test periods and CAR is the cumulative abnormal return for portfolio p.
2006), I find that the average bidder also experiences positive abnormal returns around the announcements of stock-financed acquisitions of subsidiaries with a cumulative abnormal return of 2.
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.
i,30]: cumulative abnormal return from 14 days before until 30 days after each change i;
The methodology made use of a unit root test for the daily and cumulative abnormal returns to test the free-rider problem hypothesis.
i] is the two-month cumulative abnormal return for bank i.
Table 2: Univariate Analysis of Cumulative Abnormal Returns N CAR(-1,1) CAR(-5,5) N Earnings 43 -.
Dependent variable is cumulative abnormal return in thousands USD; t-statistics are in parentheses.
The abnormal returns are cumulated to obtain the cumulative abnormal return (CAR), and shown in Table 3.
Average Abnormal Return, Cumulative Abnormal Return and the t-statistics for Trading and Services Sector APPENDICES AAR CAR Event Period AAR t-statistics CAR t-statistics -17 0.