Table 3 Size-based cumulative abnormal...

Table 3

Size-based cumulative abnormal returns for before-event, the event day and post-event windows

Size-based	Number of company	Pre-event days			Event days			Post-event days
Size-based	Number of company	(−10, 0)	(−5, 0)	(−3, 0)	(−1, 0)	(−1, +1)	(0, +1)	(0, +3)	(0, +5)	(0, +10)
Small Cap	285	−0.0371***	−0.0247***	−0.0203***	−0.0034	0.0062	0.0123	0.0265***	0.0359***	0.0485***
Mid Cap	595	−0.0032	−0.0005	−0.0023	−0.0068***	−0.0005	0.0029	0.0142***	0.0085***	0.0132***
Large Cap	294	−0.0152***	−0.01120***	−0.006**	−0.0071**	−0.0032	0.0040	0.0154***	0.0175***	0.0264***

Size-based	Number of company	Pre-event days			Event days			Post-event days
Size-based	Number of company	(−10, 0)	(−5, 0)	(−3, 0)	(−1, 0)	(−1, +1)	(0, +1)	(0, +3)	(0, +5)	(0, +10)
Small Cap	285	−0.0371***	−0.0247***	−0.0203***	−0.0034	0.0062	0.0123	0.0265***	0.0359***	0.0485***
Mid Cap	595	−0.0032	−0.0005	−0.0023	−0.0068***	−0.0005	0.0029	0.0142***	0.0085***	0.0132***
Large Cap	294	−0.0152***	−0.01120***	−0.006**	−0.0071**	−0.0032	0.0040	0.0154***	0.0175***	0.0264***

Note(s): This table presents the cumulative abnormal return (CAR) of a size-based tercile portfolio formed using the average market value over the estimation period. ***, ** and * are significant at 1%, 5% and 10% confidence levels, respectively

Source(s): Authors’ own work

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