151:
607:
Cumulative abnormal return, or CAR, is the sum of all abnormal returns. Cumulative
Abnormal Returns are usually calculated over small windows, often only days. This is because evidence has shown that compounding daily abnormal returns can create bias in the results.
72:, is used as a benchmark to determine the expected return. For example, if a stock increased by 5% because of some news that affected the stock price, but the average market only increased by 3% and the stock has a
82:
76:
of 1, then the abnormal return was 2% (5% - 3% = 2%). If the market average performs better (after adjusting for beta) than the individual stock, then the abnormal return will be negative.
339:
235:
64:
trading, abnormal returns are the differences between a single stock or portfolio's performance and the expected return over a set period of time. Usually a broad index, such as the
48:, etc. all of which can contribute to an abnormal return. Events in finance can typically be classified as information or occurrences that have not already been priced by the
571:
733:
642:
146:{\displaystyle {\textrm {Abnormal}}\ {\textrm {Return}}={\textrm {Actual}}\ {\textrm {Return}}-{\textrm {Expected}}\ {\textrm {Return}}}
682:
793:
37:
268:
166:
698:
McWilliams, A., Siegel, D. (1997). "Event
Studies in Management Research: Theoretical and Empirical Issues".
798:
727:
646:
369:
715:
29:
263:
A common practice is to standardise the abnormal returns with the use of the following formula:
760:
Brown, Stephen; Warner, Jerold (1985). "Using daily stock returns: the case of event studies".
678:
769:
707:
49:
33:
622:
73:
25:
787:
773:
617:
61:
672:
69:
65:
747:
36:. Abnormal returns are sometimes triggered by "events." Events can include
596:– the average return from the market portfolio in the estimation period,
41:
45:
44:
announcements, company earning announcements, interest rate increases,
17:
719:
711:
161:
The calculation formula for the abnormal returns is as follows:
674:
Innovation and Market Value. The Case of
Tourism Enterprises
478:
500:
372:
364:
is calculated with the use of the following formula:
271:
169:
85:
599:T – the numbers of days in the estimation period.
565:
333:
229:
145:
589:– the return on the stock market index on day t,
357:– standard deviation of the abnormal returns
8:
732:: CS1 maint: multiple names: authors list (
551:
534:
524:
508:
494:
483:
471:
461:
445:
435:
422:
404:
399:
380:
371:
322:
310:
301:
282:
270:
215:
193:
177:
168:
137:
136:
127:
126:
117:
116:
107:
106:
97:
96:
87:
86:
84:
334:{\displaystyle SAR_{it}=AR_{it}/SD_{it}}
260:) – expected return for firm i on day t
230:{\displaystyle AR_{it}=R_{it}-E(R_{it})}
645:. About.com - Economics. Archived from
634:
725:
246:- abnormal return for firm i on day t
24:is the difference between the actual
7:
666:
664:
582:– the residual variance for firm i,
253:- actual return for firm i on day t
14:
748:Cumulative abnormal return (CAR)
643:"Definition of Abnormal Returns"
350:- standardised abnormal returns
762:Journal of Financial Economics
566:{\displaystyle SD_{it}=^{0,5}}
548:
544:
531:
501:
468:
438:
413:
392:
224:
208:
1:
700:Academy of Management Journal
68:or a national index like the
774:10.1016/0304-405x(85)90042-x
815:
750:Retrieved on July 18, 2007
603:Cumulative abnormal return
671:Szutowski, Dawid (2016).
677:. Difin. p. 153.
567:
499:
335:
231:
147:
568:
479:
336:
232:
148:
649:on 17 September 2008
370:
269:
167:
83:
409:
563:
541:
540:
395:
331:
227:
143:
794:Equity securities
746:Trading-Glossary
542:
430:
140:
135:
130:
120:
115:
110:
100:
95:
90:
806:
778:
777:
757:
751:
744:
738:
737:
731:
723:
695:
689:
688:
668:
659:
658:
656:
654:
639:
572:
570:
569:
564:
562:
561:
543:
539:
538:
529:
528:
516:
515:
498:
493:
477:
476:
475:
466:
465:
453:
452:
436:
431:
423:
408:
403:
388:
387:
340:
338:
337:
332:
330:
329:
314:
309:
308:
290:
289:
236:
234:
233:
228:
223:
222:
201:
200:
185:
184:
152:
150:
149:
144:
142:
141:
138:
133:
132:
131:
128:
122:
121:
118:
113:
112:
111:
108:
102:
101:
98:
93:
92:
91:
88:
814:
813:
809:
808:
807:
805:
804:
803:
784:
783:
782:
781:
759:
758:
754:
745:
741:
724:
697:
696:
692:
685:
670:
669:
662:
652:
650:
641:
640:
636:
631:
614:
605:
595:
588:
581:
547:
530:
520:
504:
467:
457:
441:
437:
376:
368:
367:
363:
356:
349:
318:
297:
278:
267:
266:
259:
252:
245:
211:
189:
173:
165:
164:
159:
81:
80:
58:
34:expected return
22:abnormal return
12:
11:
5:
812:
810:
802:
801:
796:
786:
785:
780:
779:
752:
739:
712:10.2307/257056
706:(3): 626–657.
690:
683:
660:
633:
632:
630:
627:
626:
625:
623:Rate of return
620:
613:
610:
604:
601:
593:
586:
579:
560:
557:
554:
550:
546:
537:
533:
527:
523:
519:
514:
511:
507:
503:
497:
492:
489:
486:
482:
474:
470:
464:
460:
456:
451:
448:
444:
440:
434:
429:
426:
421:
418:
415:
412:
407:
402:
398:
394:
391:
386:
383:
379:
375:
361:
354:
347:
328:
325:
321:
317:
313:
307:
304:
300:
296:
293:
288:
285:
281:
277:
274:
257:
250:
243:
226:
221:
218:
214:
210:
207:
204:
199:
196:
192:
188:
183:
180:
176:
172:
158:
155:
154:
153:
125:
105:
57:
54:
13:
10:
9:
6:
4:
3:
2:
811:
800:
797:
795:
792:
791:
789:
775:
771:
767:
763:
756:
753:
749:
743:
740:
735:
729:
721:
717:
713:
709:
705:
701:
694:
691:
686:
684:9788380852471
680:
676:
675:
667:
665:
661:
648:
644:
638:
635:
628:
624:
621:
619:
616:
615:
611:
609:
602:
600:
597:
590:
583:
576:
573:
558:
555:
552:
535:
525:
521:
517:
512:
509:
505:
495:
490:
487:
484:
480:
472:
462:
458:
454:
449:
446:
442:
432:
427:
424:
419:
416:
410:
405:
400:
396:
389:
384:
381:
377:
373:
365:
358:
351:
344:
341:
326:
323:
319:
315:
311:
305:
302:
298:
294:
291:
286:
283:
279:
275:
272:
264:
261:
254:
247:
240:
237:
219:
216:
212:
205:
202:
197:
194:
190:
186:
181:
178:
174:
170:
162:
156:
123:
103:
79:
78:
77:
75:
71:
67:
63:
55:
53:
51:
47:
43:
39:
35:
31:
27:
23:
19:
799:Stock market
765:
761:
755:
742:
728:cite journal
703:
699:
693:
673:
651:. Retrieved
647:the original
637:
618:Market value
606:
598:
591:
584:
577:
574:
366:
359:
352:
345:
342:
265:
262:
255:
248:
241:
238:
163:
160:
62:stock market
59:
56:Stock market
21:
15:
157:Calculation
66:S&P 500
788:Categories
629:References
70:Nikkei 225
518:−
481:∑
455:−
433:∗
411:∗
203:−
124:−
768:: 3–31.
653:7 August
612:See also
129:Expected
89:Abnormal
46:lawsuits
42:dividend
32:and the
30:security
575:where:
343:where:
239:where:
38:mergers
18:finance
720:257056
718:
681:
360:The SD
139:Return
134:
119:Return
114:
109:Actual
99:Return
94:
50:market
26:return
716:JSTOR
28:of a
20:, an
734:link
679:ISBN
655:2008
74:beta
770:doi
708:doi
346:SAR
256:E(R
60:In
16:In
790::
766:14
764:.
730:}}
726:{{
714:.
704:40
702:.
663:^
587:mt
362:it
355:it
353:SD
348:it
258:it
251:it
244:it
242:AR
52:.
40:,
776:.
772::
736:)
722:.
710::
687:.
657:.
594:m
592:R
585:R
580:i
578:S
559:5
556:,
553:0
549:]
545:)
536:2
532:)
526:m
522:R
513:t
510:m
506:R
502:(
496:T
491:1
488:=
485:t
473:2
469:)
463:m
459:R
450:t
447:m
443:R
439:(
428:T
425:1
420:+
417:1
414:(
406:2
401:i
397:S
393:[
390:=
385:t
382:i
378:D
374:S
327:t
324:i
320:D
316:S
312:/
306:t
303:i
299:R
295:A
292:=
287:t
284:i
280:R
276:A
273:S
249:R
225:)
220:t
217:i
213:R
209:(
206:E
198:t
195:i
191:R
187:=
182:t
179:i
175:R
171:A
104:=
Text is available under the Creative Commons Attribution-ShareAlike License. Additional terms may apply.