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Cumulative abnormal return |
Also found in: Wikipedia | 0.04 sec. |
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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. |
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| Finally, trading volume, on average, does increase significantly for a few days after the announcement date, supporting positive cumulative abnormal returns observed over two time periods, as shown at the bottom of Table 1. The cumulative abnormal return (CAR) for each security j is calculated by summing average abnormal returns over the event period as follows: These results were reproduced in tables 4 and 5 where differences in cumulative abnormal return (CAR) over three event periods were estimated. |
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Cumulative abnormal return