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.

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T-tests were used to determine whether abnormal returns in each case were significantly different from zero (p < 0.

The Performance of Reverse Leveraged Buyouts: Another Look

Second, the information hypothesis, assumes that abnormal returns are caused by new, relevant information, leading to a permanent revaluation of the security.

Stock buy recommendations and their impact: evidence from Indian capital markets

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.

Value Creation in U.S. Bank Mergers Before and After the Global Financial Crisis

The figure below indicates that the KSE-100 Index is more volatile and has recently generated higher abnormal returns.

PAKISTAN STOCK EXCHANGE IS HITTING NEW HIGHS, IS THE RECENT RUN SUSTAINABLE?

On average over the 20 events with the largest insured losses, broker stocks earned abnormal returns of 0.

Market expectations following catastrophes: an examination of insurance broker 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.

The effects of right offering announcements on returns of shares of deposit banks traded in Istanbul stock-exchange

Table VI is similar to Table V, but uses buy-and-hold abnormal returns in place of annualized raw returns.

Extrapolation errors in IPOs

Measurements of additional rate of return used in research are Cumulative Abnormal Returns (CAR) and Buy-and-Hold-Abnormal Returns (BHAR).

The influence of currency risk upon the market value of commercial banks operating in the polish banking sector

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).

Olympic sponsorships, stock prices, and trading activity

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.

Evaluation of merger and acquisition processes in the Brazilian banking sector by means of an event study

Abnormal returns will be associated with the event studied if the intercepts in the regressions are economically and statistically significant.

The early bird gets the worm? The stock returns and operating performance of quick SEOs

The daily abnormal returns were aggregated over the event window and cumulative abnormal returns were calculated as follows:

Short- and long-term effects of innovations on enterprise market value: a case of the tourism industry

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