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Cumulative Abnormal Return
(redirected from Cumulative abnormal return (CAR))

   Also found in: Wikipedia 0.01 sec.
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.


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2]) to form a conventional Cumulative Abnormal Return (CAR) for the period:
Brown and da Silva Rosa (1997b) find that 1,371 ASX-listed target firms earned a mean cumulative abnormal return (CAR) of -23.
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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