Based on the market model, abnormal monthly returns were calculated using both the buy-and-hold return and cumulative
abnormal return methods for each firm.
The magnitude of
abnormal return at the time of event is a measure of the impact of the event on the firm and its clients.
Abnormal return represents the gain or loss for shareholders, which could be explained by many factors, including an M&A transaction.
The
abnormal return is the deviation from these predictions during an "event window" surrounding the event of interest.
They reported a statically insignificant negative
abnormal return (ARR of -0.
The number of tables and panels quickly becomes overwhelming unless we limit our attention to a modest number of benchmarks for what constitutes an
abnormal return.
The
abnormal return of firm i and event date t is defined as the difference of the realized return and the expected return given the absence of the event.
In contrast, Miyazaki and Morgan (2001), using a different combination of companies, estimation periods, and announcement windows, did not find significant negative
abnormal returns and found a significant positive
abnormal return for one window.
The method is based on the assumed occurrence of an
abnormal return after a particular event.
AB RET 20 is the
abnormal return over the period from trading day 1 to trading day 20 after the IPO date, with a median of 3.
Thus, the
abnormal return provides an estimate of the future earnings generated by the event (Geyskens, Gielens and Dekimpe, 2002).
Like Roberts, we find large and significant effects for geographic clients; firms located in Illinois realized a 4 percent
abnormal return compared to those in Louisiana in the immediate aftermath of Livingston's resignation.
