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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. How to thank TFD for its existence? Tell a friend about us, add a link to this page, add the site to iGoogle, or visit webmaster's page for free fun content. |
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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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