T-tests were used to determine whether abnormal returns
in each case were significantly different from zero (p < 0.
Second, the information hypothesis, assumes that abnormal returns
are caused by new, relevant information, leading to a permanent revaluation of the security.
bank mergers, a great deal of variation exists among studies in sample and geographic coverage and period of time over which the market model is estimated and abnormal returns
The figure below indicates that the KSE-100 Index is more volatile and has recently generated higher abnormal returns
On average over the 20 events with the largest insured losses, broker stocks earned abnormal returns
2008) ,however, observed insignificant increase on stock prizes in Indian firms reported insignificant positive abnormal returns
in Indian firms (cited by Shahid et al.
Table VI is similar to Table V, but uses buy-and-hold abnormal returns
in place of annualized raw returns.
Measurements of additional rate of return used in research are Cumulative Abnormal Returns
(CAR) and Buy-and-Hold-Abnormal Returns
Farrell and Frame (1997) found significant negative abnormal returns
for the two days following an announcement, but no significant effects on the announcement day (day 0).
Taking into account nineteen M&A cases, the author concluded that in general, the abnormal returns
of acquiring banks was significantly negative, while the abnormal returns
of the acquired banks was significantly positive.
will be associated with the event studied if the intercepts in the regressions are economically and statistically significant.
The daily abnormal returns
were aggregated over the event window and cumulative abnormal returns
were calculated as follows: