Table 3 reports announcement period rejection rates for the VSHRS, VTRAN, and ABRET metrics by sample size using 5 percent (Panel A) and 1 percent (Panel B) significance levels.
That is, replacing the ABRET metric with the VTRAN metric increases power to roughly the same extent as increasing sample size by 60 percent.
In these untabulated analyses, we reach a 95 percent rejection rate (5 percent probability of a Type II error) for sample sizes of 70, 55, and 85 for the VSHRS, VTRAN, and ABRET metrics, respectively.
Since data availability may be associated with systematic differences in announcement-period return and volume magnitudes, we also calculate rejection rates for VSHRS, VTRAN, and ABRET for the 500 RW-URET subsamples (Panel A) and for the 500 AF-URET subsamples (Panel B).
Table 4 also reports that the rejection rates for the unconditional ABRET metric are significantly higher (p < 0.
Panel A of Table 5 reports rejection rates when we employ ABRET in combination with VSHRS (ABRET&VSHRS).
All differences are significant at the 1 percent level, indicating that ABRET&VTRAN-based tests are more powerful than tests based on ABRET alone.