Table 3 CARs for sample firms affected...

Table 3

CARs for sample firms affected by the RUW

	n	Mean (%)	t-statistic	Median (%)	Z-statistic	AR < 0 (%)
Panel A: total sample for CAR [0, 13]
All sample firms	837	−6.16^***	−4.07	−4.73^***	−15.42	72.75
Automobiles	123	−4.92^**	−2.37	−5.67^***	−6.05	73.77
Automobile components	714	−6.38^***	−3.98	−4.32^***	−14.17	72.58
Panel B: alternative event windows
CAR [0, 1]	837	−0.76	−1.33	−0.76^***	−8.50	64.76
CAR [0, 5]	837	−1.90^*	−1.92	−1.18^***	−8.82	63.34
CAR [0, 10]	837	−4.77^***	−3.55	−4.44^***	−14.56	72.24
CAR [0, 20]	837	−4.57^***	−2.46	−4.51^***	−12.44	68.33
Panel C: alternative models for CAR [0, 13]
Prior-10-day^a	837	−5.21^***	−3.44	−3.63^***	−11.28	65.11
Mean-adjusted model	837	−7.77^***	−4.03	−6.06^***	−16.97	74.79
Four factor model^b	837	−4.21^***	−2.79	−3.81^***	−12.48	68.65
GARCH model	837	−4.13^***	−9.00	−2.75^***	−9.60	60.93
Panel D: CAR [0, 13] based on regions^c
Asia	619	−6.48^***	−3.39	−4.8^***	−13.24	72.73
Europe	68	−9.05^***	−3.89	−8.04^***	−5.85	80.88
North America	50	1.31	0.27	−1.57	−0.78	56.00
Others	100	−5.91^***	−3.21	−4.03^***	−6.78	82.00

	n	Mean (%)	t-statistic	Median (%)	Z-statistic	AR < 0 (%)
Panel A: total sample for CAR [0, 13]
All sample firms	837	−6.16^***	−4.07	−4.73^***	−15.42	72.75
Automobiles	123	−4.92^**	−2.37	−5.67^***	−6.05	73.77
Automobile components	714	−6.38^***	−3.98	−4.32^***	−14.17	72.58
Panel B: alternative event windows
CAR [0, 1]	837	−0.76	−1.33	−0.76^***	−8.50	64.76
CAR [0, 5]	837	−1.90^*	−1.92	−1.18^***	−8.82	63.34
CAR [0, 10]	837	−4.77^***	−3.55	−4.44^***	−14.56	72.24
CAR [0, 20]	837	−4.57^***	−2.46	−4.51^***	−12.44	68.33
Panel C: alternative models for CAR [0, 13]
Prior-10-day^a	837	−5.21^***	−3.44	−3.63^***	−11.28	65.11
Mean-adjusted model	837	−7.77^***	−4.03	−6.06^***	−16.97	74.79
Four factor model^b	837	−4.21^***	−2.79	−3.81^***	−12.48	68.65
GARCH model	837	−4.13^***	−9.00	−2.75^***	−9.60	60.93
Panel D: CAR [0, 13] based on regions^c
Asia	619	−6.48^***	−3.39	−4.8^***	−13.24	72.73
Europe	68	−9.05^***	−3.89	−8.04^***	−5.85	80.88
North America	50	1.31	0.27	−1.57	−0.78	56.00
Others	100	−5.91^***	−3.21	−4.03^***	−6.78	82.00

Note(s): The z-statistics are obtained from Wilcoxon signed rank tests; AR < 0 (%) presents negative abnormal returns;

We used prior-10-day average market returns from Equation (1),

Due to lack of availability of country-wide Fama-French factors, we use the developed markets’ factors for size, value and momentum from the Kenneth French data library;

Scheffé test shows no significant difference in CARs among Europe, Asia, and Other regions, but a significant difference between North America and the other three regions (p < 0.01); ^*p < 0.10,^**p < 0.05,^***p < 0.01

Source(s): Authors’ own creation

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