Our results for PDRs and MMARs are illustrated in Tables V and VI, respectively.
Consistent with Eades, Hess, and Kim (1984), we find that ex-day MMARs are similarly related to [t.sub.d] - [t.sub.cg]/1 - [t.sub.cg].
In this study, the ex-day market model adjusted return (MMAR) (in percentage form) is computed as
In Figure 4, we plot the mean PDR and MMAR for each year of our sample.
In Figure 5, we demonstrate how the theoretically implied PDR [1 - [t.sub.d]/1 - [t.sub.cg] and the implied MMAR quantity [1 - [t.sub.d]/1 - [t.sub.cg], calculated using the three methods described above, has varied through time.
Table IV presents a very similar set of results using MMAR as the dependent variable.