Table 4 Growth-based cumulative abnormal...

Table 4

Growth-based cumulative abnormal return over the window slides for the before-event, the event day and post-event windows

Growth-based	Number of company	Pre-event days			Event days			Post-event days
Growth-based	Number of company	(−10, 0)	(−5, 0)	(−3, 0)	(−1, 0)	(−1, +1)	(0, +1)	(0, +3)	(0, +5)	(0, +10)
Low	287	−0.0157**	−0.0077	−0.0001	−0.0001	0.0012	0.0017	0.0156***	0.0243***	0.0354***
Medium	594	−0.0148***	−0.0090***	−0.0097***	−0.0073***	−0.0019	0.0041	0.0117***	0.0069**	0.0147***
High	293	−0.0125**	−0.0107**	−0.0114***	−0.0083***	0.0042	0.0118***	0.0311***	0.0319***	0.0360***

Growth-based	Number of company	Pre-event days			Event days			Post-event days
Growth-based	Number of company	(−10, 0)	(−5, 0)	(−3, 0)	(−1, 0)	(−1, +1)	(0, +1)	(0, +3)	(0, +5)	(0, +10)
Low	287	−0.0157**	−0.0077	−0.0001	−0.0001	0.0012	0.0017	0.0156***	0.0243***	0.0354***
Medium	594	−0.0148***	−0.0090***	−0.0097***	−0.0073***	−0.0019	0.0041	0.0117***	0.0069**	0.0147***
High	293	−0.0125**	−0.0107**	−0.0114***	−0.0083***	0.0042	0.0118***	0.0311***	0.0319***	0.0360***

Note(s): This table presents the cumulative abnormal return (CAR) of three book-to-market equity groups based on the breakpoints for the bottom 25% (Low), middle 50% (Medium) and top 25% (High) of the ranked values of the average book-to-market ratio over the estimation period. The ordinate represents the event window. ***, ** and * are significant at 1%, 5% and 10% confidence levels, respectively

Source(s): Authors’ own work

[ViewLarge]

Sharing Unavailable