Abnormal Return


Also found in: Wikipedia.

Abnormal Return

The difference between the expected return and the actual return on an investment. Abnormal returns may be either positive or negative; indeed an abnormal return may be negative even if the actual return is positive. That is, suppose the expected return on an investment is 7% and the actual return is 5%. While the investor has 5% more than he/she had when he/she started, the abnormal return is still -2%. On the other hand, if the expected return is 5% and the actual return is 9%, then there is a positive abnormal return of 4%. One may use an abnormal return to gauge the accuracy of various asset pricing models.
Mentioned in ?
References in periodicals archive ?
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 Performance of Reverse Leveraged Buyouts: Another Look
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.
Stock buy recommendations and their impact: evidence from Indian capital markets
Abnormal return represents the gain or loss for shareholders, which could be explained by many factors, including an M&A transaction.
Value Creation in U.S. Bank Mergers Before and After the Global Financial Crisis
The abnormal return is the deviation from these predictions during an "event window" surrounding the event of interest.
Market expectations following catastrophes: an examination of insurance broker returns
They reported a statically insignificant negative abnormal return (ARR of -0.
The effects of right offering announcements on returns of shares of deposit banks traded in Istanbul stock-exchange
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.
Extrapolation errors in IPOs
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.
The influence of currency risk upon the market value of commercial banks operating in the polish banking sector
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.
Olympic sponsorships, stock prices, and trading activity
Abnormal return is the excess return over expected return of the investors to the real return at definite period.
The investigation of the relationship between cash holding and working capital with abnormal stock return in the companies listed in Tehran stock exchange
In addition, we also explored whether such event would lead to any abnormal return (AR) for the company.
The impact of resumption of former top executives on stock prices: an event study approach
The average abnormal return for a specific event date is the mean of all the individual firm abnormal returns for that date:
Impact of fair-value accounting rules changes on financial institutions returns
The method is based on the assumed occurrence of an abnormal return after a particular event.
Evaluation of merger and acquisition processes in the Brazilian banking sector by means of an event study

Financial browser ?
Full browser ?