Cumulative abnormal return

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Cumulative abnormal return (CAR)

Sum of the differences between the expected return on a stock (systematic risk multiplied by the realized market return) and the actual return often used to evaluate the impact of news on a stock price.

Cumulative Abnormal Return

In stocks, the sum of all the differences between the expected returns and the actual returns up to a given point in time. Since the expected return is computed by an asset pricing model, the cumulative abnormal return may be used to determine how accurate the model is. More often, it is used to investigate the affect extraneous events have on stock prices.
References in periodicals archive ?
In context of Chinese markets, Wanli (2014) provides evidence that analysts' cumulative rating values have significant positive impact on the cumulative abnormal returns during first 31 days of the event, and a lower rating released corresponds to lower cumulative abnormal returns.
Gande and Lewis (2009) confirm these findings by documenting average cumulative abnormal returns of -4.
With this goal in mind, we analyze the target, bidder and combined bank cumulative abnormal returns (CARs) utilizing standard event study methodology.
In the multivariate cross-sectional models, the dependent variable is the two-day (-1,0) cumulative abnormal returns (CARs).
In this study cumulative abnormal returns and cumulative average abnormal returns around event are calculated as:
The method is based on a measurement of additional rate of return: the Cumulative Abnormal Returns (CAR).
Cumulative abnormal returns (CARs) for each stock are formed by aggregating the individual daily stock ARs.
The abnormal returns calculated were further converted into cumulative abnormal returns for application of statistical techniques with the help of constant mean return model.
We estimate the abnormal returns and cumulative abnormal returns in the event window and report the results in Table 3.
The cumulative abnormal returns are obtained by applying the following formula:
To empirically test our hypothesis, we utilize event study methodology and find that cumulative abnormal returns (CARs) are positive following a reverse stock split for biotech firms.
Calculated the cumulative abnormal returns (CAR-20, +20) proceeded to calculate the average daily abnormal returns (AR-20, +20) and cumulative abnormal returns (CAR-20,+20) for all stock prices within the event window in order to identify potential abnormalities in the 20 days before and after those events reported (-20 to +20).