References in periodicals archive ?
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 are computed.
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 of 0.
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 (BHAR).
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.
Abnormal returns 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: