For example, Tropical Storm Allison (ranked #28) had a CAAR
We also report precision weighted CAAR
(PWCAAR) and test results.
Table 1 Market Model Abnormal Returns Event N Mean PWCAAR Positive- Window CAAR
Negative (0, 0) 91 1.
Viewing Panel B the evidence supports the announcement effect (Hypothesis 1) with a CAAR
for each firm (i) in each year (t) is calculated as
Figure 5 displays company CAAR
after the announcement of VDS.
is the summation of abnormal returns over a given period.
We also calculate the CAAR
over multi-day event windows.
To test the statistical significance of AAR and CAAR
and consequently to test the first hypothesis (H1), Boehmer, Musumeci, and Poulsen's (BMP, 1991) standardized cross-sectional t-test is applied (Farrell & Frame, 1997).
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Table 1: Cumulative average abnormal returns for debt events Event CAAR