Abnormal returns


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Abnormal returns

The component of the return that is not due to systematic influences (market-wide influences). In other words, the abnormal returns is the difference between the actual return and that is expected to result from market movements (normal return). Related: excess returns.

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.
References in periodicals archive ?
Recently, especially after Ikenberry's, Lakonishok's and Vermaelen's (1995) and Barber's and Lyon's (1997) publications, buy-and-hold abnormal returns ([BHA.sub.iT]) have gained considerable importance.
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.
We find that target firms experience an average of +18.6% cumulative abnormal returns (CARs) over (-5,+5) around the ODA, followed by +13.8% abnormal returns around the subsequent merger announcement date on the DA.
The test is based on standardized cumulative abnormal returns determined as:
This study is the first to measure long-term abnormal returns for an investment strategy with companies that announced stock repurchase programs in the Brazilian market.
The magnitude of abnormal returns for hedge portfolios measures the extent of accrual mispricing.
The sectoral analysis of reactions of abnormal returns to the announcement of Brexit outcome is then undertaken using a linear regression model.
The subsequent abnormal returns are smaller when there was more dual downloading at the time of the SEC filing.
All portfolios of rivals to filing firms operating in concentrated industries experience significant positive abnormal returns over the 3-day whereas rivals to filing firms operating in competitive industries experience significant negative abnormal returns over all three event windows.
where [mathematical expression not reproducible] is the sample of abnormal returns for firm i on day t.
The Table 4.1 shows the average abnormal returns before and after an event while table 4.2 show the significance level of terrorist events at different windows level.
Section 3 presents empirical data and analysis; in particular the cumulative abnormal returns around share repurchase results.