The above equation shows the average cumulative abnormal return
of the zero investment portfolios (Portfolio having net value zero because it's achieved by simultaneously purchasing the loser securities and selling equivalent winner securities) for contrarian strategy and vice versa for momentum strategy.
Relying on the statistical properties of the estimated average effects, we fail to reject that the cumulative abnormal return
is different from zero for nearly every cumulative return, as determined by the test statistic described in Equation 8.
Abnormal returns are then summed to calculate a cross-sectional cumulative abnormal return
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
In Panel B of Table II, we report the cumulative abnormal return
at the full sample level.
With this goal in mind, we analyze the target, bidder and combined bank cumulative abnormal returns
(CARs) utilizing standard event study methodology.
The variance of the cumulative abnormal return
of a sample is (Camargos & Barbosa, 2003).
[CAR.sub.i]: cumulative abnormal return
on asset i;
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).
where [ACAR.sub.(f,l)] is average cumulative abnormal return
over the event window and N is a number of observations (in the present study--a number of innovation announcements).
We assessed firm performance as the CRSP (Center for Research in Security Prices) equally weighted mean cumulative abnormal return
. Cumulative abnormal returns
(CAR) are the returns for a specific firm for one year, two years, etc.
To determine the cumulative effect or excess returns during some specific period, the average excess returns in some specific time during the observation period are accumulated to obtain cumulative abnormal return