ABRET - What does ABRET stand for? The Free Dictionary
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I winsorize the top and bottom one-percentiles of ABRET
, BM, LSIZE, and RSIZE.
is the size-adjusted return over the period from 18 trading days after the earnings announcement for Quarter 0 (the current quarter) to 17 trading days after the earnings announcement for Quarter +2 (the second quarter after Quarter 0) (the expected return is the compound return of the respective firm's CRSP NYSE/AMEX/NASDAQ size-decile portfolio assignment at the beginning of the year.
AbRets is the average abnormal returns of split announcements in a given year.