Table 2 Event window AARs and CAARs Day...

Table 2

Event window AARs and CAARs

Day	AAR	t-statistic (AAR)	% Negative AR	CAAR	t-statistic (CAAR)
$t_{- 10}$	0.5920	0.7244	32	0.5920	0.7244
$t_{- 9}$	−1.4544	−2.6783***	66	−0.8623	−0.8617
$t_{- 8}$	0.0548	0.0753	53	−0.8075	−0.7111
$t_{- 7}$	0.8249	0.9646	39	0.0174	0.0113
$t_{- 6}$	−3.9271	−1.5283	50	−3.9097	−1.1953
$t_{- 5}$	−0.5355	−0.3121	55	−4.4453	−0.9361
$t_{- 4}$	−1.4375	−0.9767	53	−5.8827	−0.9731
$t_{- 3}$	1.2891	1.0362	37	−4.5936	−0.9304
$t_{- 2}$	1.3257	0.6477	29	−3.2680	−0.6775
$t_{- 1}$	−1.8524	−2.0344***	61	−5.1204	−0.9893
$t_{0}$	−1.1314	−0.5259	45	−6.2519	−1.1289
$t_{+ 1}$	0.0493	0.0442	53	−6.2025	−1.1125
$t_{+ 2}$	−0.4184	−0.2998	32	−6.6209	−1.2215
$t_{+ 3}$	0.1702	0.1718	45	−6.4507	−1.0917
$t_{+ 4}$	−0.0237	−0.0168	34	−6.4744	−0.9177
$t_{+ 5}$	0.1204	0.1720	45	−6.3540	−0.9014
$t_{+ 6}$	1.3191	0.9284	39	−5.0349	−0.6752
$t_{+ 7}$	−0.0191	−0.0250	37	−5.0540	−0.6762
$t_{+ 8}$	0.0647	0.0765	42	−4.9893	−0.6605
$t_{+ 9}$	−0.4395	−0.4485	55	−5.4288	−0.7130
$t_{+ 10}$	0.1928	0.2344	45	−5.2361	−0.6992

Day	AAR	t-statistic (AAR)	% Negative AR	CAAR	t-statistic (CAAR)
$t_{- 10}$	0.5920	0.7244	32	0.5920	0.7244
$t_{- 9}$	−1.4544	−2.6783***	66	−0.8623	−0.8617
$t_{- 8}$	0.0548	0.0753	53	−0.8075	−0.7111
$t_{- 7}$	0.8249	0.9646	39	0.0174	0.0113
$t_{- 6}$	−3.9271	−1.5283	50	−3.9097	−1.1953
$t_{- 5}$	−0.5355	−0.3121	55	−4.4453	−0.9361
$t_{- 4}$	−1.4375	−0.9767	53	−5.8827	−0.9731
$t_{- 3}$	1.2891	1.0362	37	−4.5936	−0.9304
$t_{- 2}$	1.3257	0.6477	29	−3.2680	−0.6775
$t_{- 1}$	−1.8524	−2.0344***	61	−5.1204	−0.9893
$t_{0}$	−1.1314	−0.5259	45	−6.2519	−1.1289
$t_{+ 1}$	0.0493	0.0442	53	−6.2025	−1.1125
$t_{+ 2}$	−0.4184	−0.2998	32	−6.6209	−1.2215
$t_{+ 3}$	0.1702	0.1718	45	−6.4507	−1.0917
$t_{+ 4}$	−0.0237	−0.0168	34	−6.4744	−0.9177
$t_{+ 5}$	0.1204	0.1720	45	−6.3540	−0.9014
$t_{+ 6}$	1.3191	0.9284	39	−5.0349	−0.6752
$t_{+ 7}$	−0.0191	−0.0250	37	−5.0540	−0.6762
$t_{+ 8}$	0.0647	0.0765	42	−4.9893	−0.6605
$t_{+ 9}$	−0.4395	−0.4485	55	−5.4288	−0.7130
$t_{+ 10}$	0.1928	0.2344	45	−5.2361	−0.6992

Note(s): Table 2 reports the AARs and CAARs for each day in the event window. *, ** and *** indicate significance at the 10%, 5% and 1% levels respectively. Also shown is the percentage of announcements in the sample (total of 38) that yielded a negative AR on each day

Source(s): Authors’ own work

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