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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.
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 < 0.01) than the counterpart rates for the RW-URET and AF-URET metrics.
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.
(11) Alternatively, we could recalculate ABRET using two-day returns, expectations, and standard errors.
Moreover, in analyses not reported here, application of normal-distribution tests across all metrics yielded similar relative rejection rate differences, except that the differences between the VSHRS rejection rates and the ABRET rejection rates narrowed, while the differences between the VSHRS rejection rates and the VTRAN rejection rates widened, relative to those reported here.
Conditional Difference in the Average Post-Acquisition Announcement Monthly Abnormal Return of Acquirers of Unlisted Targets (N = 4,891) [ABRET.sub.i] = [[alpha].sub.0] + [[alpha].sub.1] [UNLISTED.sub.i] + [[alpha].sub.2] [BM.sub.i] + [[alpha].sub.3] [SAME_IND.sub.i] + [[alpha].sub.4] [CROSS.sub.i] + [[alpha].sub.5] [LBIDDER.sub.i] + [[alpha].sub.6] [LSlZE.sub.i] + [[alpha].sub.7] [RSIZE.sub.i] + [[alpha].sub.8] [LCOVERAGE.sub.i] + [[epsilon].sub.i] ABRET is the acquirer's monthly abnormal return based on Daniel et al.'s (1997) portfolio-benchmarking procedure.
where ABRET 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.
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