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
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.