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We examine the long-run abnormal stock returns and operating performance of firms using various methodologies including BHARs and CTARs under different matching firms and asset pricing models.
(14) To ensure that the different performances of CTARs between firms with overconfident CEOs and those without following R&D increases are indeed due to the inefficiency of R&D investments rather than the inefficiency of other corporate policies of overconfident CEOs, we also examine the CTARs for the sample of R&D decreases.
However, the CTAR results for low-tech firms in Panel B of Table V do not support this finding.
The difference in BHARs and CTARs show strong significance over multiple periods and there is evidence of significance for the MARs and even the raw returns.
More importantly, the differences between exercises that are dividend motivated and those that are not are significant, with Type I errors of less than 1% using BHARs, CTARs, raw, market-adjusted returns, and BHAR monthly returns.
Difference tests for Money 1 versus Money 5, as shown in Table IV, are highly significant for the BHARs, the CTARs, the raw returns, and the market-adjusted returns.
These findings are robust to whether we use CTARs, BHARs (matched firm or portfolio benchmarks), different time periods, bootstrapping, or delisting returns.
We use a calendar-time (CTAR) approach to calculate long-run abnormal returns.
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