Table 3 AAR, CAAR, conventional t...

Table 3

AAR, CAAR, conventional t-statistic, and crude adjustment- Nifty CM

Event day	AAR (%)	CAAR (%)	Cross-sectional t-statistic	Brown and Warner’s (1980) adjusted t-statistic
−1	−0.100	−0.100	−0.352	−0.083
0	−1.237	−1.337	−2.142^**	−1.035
1	−0.641	−1.978	−1.770^*	−0.536

Event day	AAR (%)	CAAR (%)	Cross-sectional t-statistic	Brown and Warner’s (1980) adjusted t-statistic
−1	−0.100	−0.100	−0.352	−0.083
0	−1.237	−1.337	−2.142^**	−1.035
1	−0.641	−1.978	−1.770^*	−0.536

Note(s): ^* and ^** indicate statistical significance at the 0.10 and 0.05 level respectively

Source(s): Authors’ calculation

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