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 ?
The cumulative abnormal returns during the event window are denoted as CARt, as shown below:
To help fill this gap using the CARs measure (cumulative abnormal returns of stock prices), outsourcing announcements were analyzed for a 14-year period ending in 2004 to assess stock price movements vis a vis the announced outsourcing rationale.
We estimate daily abnormal returns (DARs) and cumulative abnormal returns (CARs) for these nine episodes.
The average abnormal returns are then aggregated over the event window to give the Cumulative abnormal returns (CAR).
Because of the possible information-leakage phenomenon we also use cumulative abnormal returns (CAR) metric to measure abnormal activity over trading intervals constituting days before and after the announcement.
Additionally, since the cumulative abnormal returns are larger in firms with faster growing sales, investors may be telling managers of firms growing quickly that they may be expected to spin-off non-essential activities more so than managers of slow growth organizations.
For our analysis, we use both portfolio and individual cumulative abnormal returns for three days after the terrorist attacks.
The Cumulative Abnormal Returns over a sample of N firms are computed as follows:
The cumulative abnormal returns come down to zero after the 30th month of the splits.
The second and third column show the Cumulative Abnormal returns (CAR) and Cumulative Average Abnormal returns (CAAR) respectively.
Table 2 reports the correlation between the weighted average cumulative abnormal returns of business group affiliated firms (WCAR) with their corresponding focal firm's cumulative abnormal return (FCAR).
According to previous researchers suggest that that abnormal performance measures such as standardized cumulative abnormal returns (SCARs) are less likely to generate false rejections of market efficiency.