Table 8 panel A reports the regression analysis using the one-year buy-and-hold abnormal returns
as the dependent variable.
[BHAR.sub.it] buy-and-hold abnormal returns
on shares over the period T,
Table 5 reports the three-year buy-and-hold abnormal returns
for the sample firms between 1970 and 2006.
return -0.49% 0.0775 -0.04% 0.2308 TABLE 4 Buy-and-Hold Abnormal Returns
, Categorized by Firms with and without Institutional Ownership The table reports buy-and-hold abnormal returns
for several time horizons: from one quarter to one year prior to quarter of bankruptcy filing (Panel A) and following quarter of emergence (Panel B).
Consistent with this interpretation, returns within this "Undefined Growth" subset are extremely low: 5-year buy-and-hold abnormal returns
(BHARs) have an average of -73% and a median of -93%.
[BHAR.sub.iT] = buy-and-hold abnormal returns
on shares of i-th company in period T.
Those are the CAR, the buy-and-hold abnormal return
(BHAR), and the calendar time portfolio approaches.
Compounding this monthly abnormal return over 36 months results in an abnormal stock return of just under--16%, a figure roughly consistent with the univariate buy-and-hold abnormal returns
reported in Table VII.
Buy-and-hold abnormal returns
(BHARs) in Panel B represent size-MB matched firm abnormal returns.
Buy-and-Hold Abnormal Returns
14-month window [-1, 12] 38-month window [-1, 36] Raw Return Abnormal Raw Return Abnormal Return Return N 159 159 159 159 Mean 16.99% -2.06% 27.53% -21.64% (Median) (-2.86%) (0.03%) (-12.45%) (-23.00%) ** Bootstrapped 0.636 0.088 p-value Panel B.
We use buy-and-hold abnormal returns
(BHARs) as our primary means of comparison; however, we also calculate and report raw (unadjusted) returns as well as returns adjusted for the returns of the CRSP equally weighted market portfolio.
A long position in firms with the most positive earnings changes yields an average buy-and-hold abnormal return