H1 Abnormal returns
| Country | Event-day | 5-day | 10-day | Country | Event-day | 5-day | 10-day | ||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| AR | Sig | CAR | Sig | CAR | Sig | Australia | AR | Sig | CAR | Sig | CAR | Sig | |
| Australia | |||||||||||||
| AMP | −5.89% | *** | 9.62% | ** | 9.45% | ** | ANZ | 0.12% | 19.62% | *** | 23.91% | *** | |
| (−2.956) | (−2.257) | (−2.218) | (−0.056) | (−4.217) | (−5.14) | ||||||||
| AUB | 0.74% | 9.29% | 17.69% | ** | BOQ | 0.63% | −4.85% | −10.81% | * | ||||
| −0.46 | −1.605 | −3.057 | −0.282 | (−0.79) | (−1.762) | ||||||||
| CIX | −0.83% | −13.85% | * | −2.73% | NAB | −4.62% | ** | 3.92% | 15.89% | *** | |||
| (−0.219) | (−1.754) | (−0.346) | (−2.218) | −0.749 | −3.035 | ||||||||
| NHF | 10.72% | *** | 3.47% | 16.53% | QBE | −3.24% | 15.73% | ** | 15.23% | ** | |||
| −4.174 | −0.253 | −1.207 | (−1.473) | −2.372 | −2.296 | ||||||||
| SUN | −4.53% | * | −16.83% | *** | −8.14% | TWR | −4.23% | ** | −19.22% | *** | −22.53% | *** | |
| (−1.69) | (−3.038) | (−1.469) | (−2.052) | (−3.325) | (−3.898) | ||||||||
| WBB | 3.49% | ** | 0.97% | −2.17% | |||||||||
| −2.177 | −0.268 | (−0.598) |
| Country | Event-day | 5-day | 10-day | Country | Event-day | 5-day | 10-day | ||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| AR | Sig | CAR | Sig | CAR | Sig | Australia | AR | Sig | CAR | Sig | CAR | Sig | |
| Australia | |||||||||||||
| AMP | −5.89% | *** | 9.62% | ** | 9.45% | ** | ANZ | 0.12% | 19.62% | *** | 23.91% | *** | |
| (−2.956) | (−2.257) | (−2.218) | (−0.056) | (−4.217) | (−5.14) | ||||||||
| AUB | 0.74% | 9.29% | 17.69% | ** | BOQ | 0.63% | −4.85% | −10.81% | * | ||||
| −0.46 | −1.605 | −3.057 | −0.282 | (−0.79) | (−1.762) | ||||||||
| CIX | −0.83% | −13.85% | * | −2.73% | NAB | −4.62% | ** | 3.92% | 15.89% | *** | |||
| (−0.219) | (−1.754) | (−0.346) | (−2.218) | −0.749 | −3.035 | ||||||||
| NHF | 10.72% | *** | 3.47% | 16.53% | QBE | −3.24% | 15.73% | ** | 15.23% | ** | |||
| −4.174 | −0.253 | −1.207 | (−1.473) | −2.372 | −2.296 | ||||||||
| SUN | −4.53% | * | −16.83% | *** | −8.14% | TWR | −4.23% | ** | −19.22% | *** | −22.53% | *** | |
| (−1.69) | (−3.038) | (−1.469) | (−2.052) | (−3.325) | (−3.898) | ||||||||
| WBB | 3.49% | ** | 0.97% | −2.17% | |||||||||
| −2.177 | −0.268 | (−0.598) |
| Germany | AR | Sig | CAR | Sig | CAR | Sig | Germany | AR | Sig | CAR | Sig | CAR | Sig |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ALV | −2.54% | * | −6.82% | −3.63% | ARL | −5.10% | *** | 3.03% | −2.39% | *** | |||
| (−1.926) | (−1.37) | (−0.728) | (−3.253) | −0.481 | (−5.07) | ||||||||
| CBK | −2.84% | −9.45% | −42.95% | *** | COM | −4.90% | ** | −18.15% | *** | −39.64% | *** | ||
| (−1.1) | (−1.115) | (−8.261) | (−2.244) | (−3.783) | (−3.851) | ||||||||
| DBK | 0.35% | −13.36% | ** | −21.20% | DPB | −3.95% | * | −14.41% | −33.71% | *** | |||
| −0.215 | (−2.427) | (−0.379) | (−1.813) | (−1.58) | (−3.698) | ||||||||
| DRN | −1.12% | −12.00% | * | −19.59% | *** | GLJ | −6.59% | ** | 5.64% | −0.67% | |||
| −0.549 | (−1.688) | (−2.757) | (−2.227) | −0.711 | (−0.084) | ||||||||
| MUV2 | −2.70% | * | 2.73% | 9.87% | ** | OLB | −0.61% | 7.95% | *** | 7.57% | *** | ||
| (−1.9) | −0.667 | −2.415 | (−0.464) | −3.333 | −3.173 | ||||||||
| OTP | −1.14% | −8.02% | −9.20% | * | VVV3 | 6.13% | * | −9.29% | −15.48% | ** | |||
| (−0.483) | (−1.537) | (−1.763) | −1.86 | (−1.329) | (−2.213) | ||||||||
| WUW | 0.25% | −5.46% | −11.67% | ** | |||||||||
| −0.133 | (−0.979) | (−2.091) |
| Germany | AR | Sig | CAR | Sig | CAR | Sig | Germany | AR | Sig | CAR | Sig | CAR | Sig |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ALV | −2.54% | * | −6.82% | −3.63% | ARL | −5.10% | *** | 3.03% | −2.39% | *** | |||
| (−1.926) | (−1.37) | (−0.728) | (−3.253) | −0.481 | (−5.07) | ||||||||
| CBK | −2.84% | −9.45% | −42.95% | *** | COM | −4.90% | ** | −18.15% | *** | −39.64% | *** | ||
| (−1.1) | (−1.115) | (−8.261) | (−2.244) | (−3.783) | (−3.851) | ||||||||
| DBK | 0.35% | −13.36% | ** | −21.20% | DPB | −3.95% | * | −14.41% | −33.71% | *** | |||
| −0.215 | (−2.427) | (−0.379) | (−1.813) | (−1.58) | (−3.698) | ||||||||
| DRN | −1.12% | −12.00% | * | −19.59% | *** | GLJ | −6.59% | ** | 5.64% | −0.67% | |||
| −0.549 | (−1.688) | (−2.757) | (−2.227) | −0.711 | (−0.084) | ||||||||
| MUV2 | −2.70% | * | 2.73% | 9.87% | ** | OLB | −0.61% | 7.95% | *** | 7.57% | *** | ||
| (−1.9) | −0.667 | −2.415 | (−0.464) | −3.333 | −3.173 | ||||||||
| OTP | −1.14% | −8.02% | −9.20% | * | VVV3 | 6.13% | * | −9.29% | −15.48% | ** | |||
| (−0.483) | (−1.537) | (−1.763) | −1.86 | (−1.329) | (−2.213) | ||||||||
| WUW | 0.25% | −5.46% | −11.67% | ** | |||||||||
| −0.133 | (−0.979) | (−2.091) |
| UK | AR | Sig | CAR | Sig | CAR | Sig | UK | AR | Sig | CAR | Sig | CAR | Sig |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ADM | −0.49% | 9.54% | 16.37% | * | AML | −0.26% | 12.08% | *** | 22.59% | *** | |||
| (−0.209) | −0.978 | −1.678 | (−0.142) | −3.267 | −6.111 | ||||||||
| AV | −2.18% | 16.90% | *** | 21.57% | *** | BARC | −2.80% | 22.66% | * | 26.95% | ** | ||
| (−1.214) | −3.746 | −4.781 | (−1.18) | −1.811 | −2.154 | ||||||||
| BGEO | −3.63% | −27.29% | ** | −42.77% | *** | CBG | 1.44% | 20.98% | * | 4.48% | |||
| −1.114 | (−1.984) | (−3.109) | −0.516 | −1.925 | −0.41 | ||||||||
| CTR | 0.11% | −7.41% | * | −6.52% | GACB | −1.47% | −1.88% | −4.95% | * | ||||
| −0.059 | (−1.739) | (−1.531) | (−1.099) | (−0.632) | (−1.669) | ||||||||
| HSBA | 0.65% | 6.33% | * | 13.85% | *** | III | −3.83% | −6.36% | −16.74% | ** | |||
| −0.56 | −1.738 | −3.804 | (−0.779) | (−0.897) | (−2.36) | ||||||||
| IPO | −1.67% | −7.54% | −10.81% | ** | LGEN | −2.47% | 18.04% | *** | 20.37% | *** | |||
| (−0.663) | (−1.64) | (−2.352) | (−1.347) | −3.56 | −4.021 | ||||||||
| LLOY | 7.73% | *** | 5.34% | −3.62% | PAG | −10.12% | * | −7.83% | −13.81% | ||||
| −3.441 | −0.58 | (−0.393) | (−1.679) | (−0.383) | (−0.675) | ||||||||
| PFG | 4.11% | ** | 3.29% | 2.02% | PRU | −3.27% | * | 15.52% | *** | 16.90% | *** | ||
| −2.265 | −0.457 | −0.28 | (−1.831) | −3.401 | −3.703 | ||||||||
| RBS | −4.38% | * | 12.59% | 12.60% | RSA | 5.52% | *** | 10.62% | ** | 15.68% | *** | ||
| (−1.797) | −1.306 | −1.307 | −3.445 | −1.999 | −2.952 | ||||||||
| SL | −4.00% | * | 6.08% | 9.92% | STAN | 2.47% | * | 12.09% | ** | 7.73% | |||
| (−1.916) | −0.999 | −1.63 | −1.657 | −2.394 | −1.53 | ||||||||
| STJ | 2.97% | *** | 28.42% | *** | 22.79% | *** | SVI | −0.93% | * | 10.16% | ** | −3.22% | |
| −4.152 | −4.03 | −3.232 | (−1.942) | −2.21 | (−0.7) |
| UK | AR | Sig | CAR | Sig | CAR | Sig | UK | AR | Sig | CAR | Sig | CAR | Sig |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ADM | −0.49% | 9.54% | 16.37% | * | AML | −0.26% | 12.08% | *** | 22.59% | *** | |||
| (−0.209) | −0.978 | −1.678 | (−0.142) | −3.267 | −6.111 | ||||||||
| AV | −2.18% | 16.90% | *** | 21.57% | *** | BARC | −2.80% | 22.66% | * | 26.95% | ** | ||
| (−1.214) | −3.746 | −4.781 | (−1.18) | −1.811 | −2.154 | ||||||||
| BGEO | −3.63% | −27.29% | ** | −42.77% | *** | CBG | 1.44% | 20.98% | * | 4.48% | |||
| −1.114 | (−1.984) | (−3.109) | −0.516 | −1.925 | −0.41 | ||||||||
| CTR | 0.11% | −7.41% | * | −6.52% | GACB | −1.47% | −1.88% | −4.95% | * | ||||
| −0.059 | (−1.739) | (−1.531) | (−1.099) | (−0.632) | (−1.669) | ||||||||
| HSBA | 0.65% | 6.33% | * | 13.85% | *** | III | −3.83% | −6.36% | −16.74% | ** | |||
| −0.56 | −1.738 | −3.804 | (−0.779) | (−0.897) | (−2.36) | ||||||||
| IPO | −1.67% | −7.54% | −10.81% | ** | LGEN | −2.47% | 18.04% | *** | 20.37% | *** | |||
| (−0.663) | (−1.64) | (−2.352) | (−1.347) | −3.56 | −4.021 | ||||||||
| LLOY | 7.73% | *** | 5.34% | −3.62% | PAG | −10.12% | * | −7.83% | −13.81% | ||||
| −3.441 | −0.58 | (−0.393) | (−1.679) | (−0.383) | (−0.675) | ||||||||
| PFG | 4.11% | ** | 3.29% | 2.02% | PRU | −3.27% | * | 15.52% | *** | 16.90% | *** | ||
| −2.265 | −0.457 | −0.28 | (−1.831) | −3.401 | −3.703 | ||||||||
| RBS | −4.38% | * | 12.59% | 12.60% | RSA | 5.52% | *** | 10.62% | ** | 15.68% | *** | ||
| (−1.797) | −1.306 | −1.307 | −3.445 | −1.999 | −2.952 | ||||||||
| SL | −4.00% | * | 6.08% | 9.92% | STAN | 2.47% | * | 12.09% | ** | 7.73% | |||
| (−1.916) | −0.999 | −1.63 | −1.657 | −2.394 | −1.53 | ||||||||
| STJ | 2.97% | *** | 28.42% | *** | 22.79% | *** | SVI | −0.93% | * | 10.16% | ** | −3.22% | |
| −4.152 | −4.03 | −3.232 | (−1.942) | −2.21 | (−0.7) |
| Greece | AR | Sig | CAR | Sig | CAR | Sig | Greece | AR | Sig | CAR | Sig | CAR | Sig |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ALFA | −3.22% | * | −7.34% | ** | −4.61% | ETE | 1.31% | 7.28% | 15.36% | ** | |||
| (−1.946) | (−2.285) | (−1.437) | −0.827 | −1.071 | −2.261 | ||||||||
| EUPIK | −1.40% | −9.71% | * | 0.64% | TBANK | −10.89% | *** | −24.51% | *** | −25.43% | *** | ||
| (−0.843) | (−1.924) | −0.127 | (−5.607) | (−3.127) | (−3.245) | ||||||||
| TGEN | −3.65% | ** | −6.58% | −11.66% | ** | TT | −3.07% | −6.84% | −13.55% | * | |||
| (−2.035) | (−1.149) | (−2.036) | (−1.6) | (−0.929) | (−1.841) |
| Greece | AR | Sig | CAR | Sig | CAR | Sig | Greece | AR | Sig | CAR | Sig | CAR | Sig |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ALFA | −3.22% | * | −7.34% | ** | −4.61% | ETE | 1.31% | 7.28% | 15.36% | ** | |||
| (−1.946) | (−2.285) | (−1.437) | −0.827 | −1.071 | −2.261 | ||||||||
| EUPIK | −1.40% | −9.71% | * | 0.64% | TBANK | −10.89% | *** | −24.51% | *** | −25.43% | *** | ||
| (−0.843) | (−1.924) | −0.127 | (−5.607) | (−3.127) | (−3.245) | ||||||||
| TGEN | −3.65% | ** | −6.58% | −11.66% | ** | TT | −3.07% | −6.84% | −13.55% | * | |||
| (−2.035) | (−1.149) | (−2.036) | (−1.6) | (−0.929) | (−1.841) |
| Code | Event-day | 5-day | 10-day | Code | Event-day | 5-day | 10-day | ||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| AR | Sig | CAR | Sig | CAR | Sig | AR | Sig | CAR | Sig | CAR | Sig | ||
| NASDAQ | |||||||||||||
| AAME | 0.32% | −20.94% | * | −29.64% | *** | MBVT | −2.69% | * | −1.36% | −1.42% | |||
| −0.058 | (−1.838) | (−2.602) | (−1.754) | (−0.284) | (−0.297) | ||||||||
| MCBC | 1.69% | 26.29% | ** | 8.66% | METR | 0.15% | 13.99% | ** | 8.68% | ||||
| −0.452 | −1.978 | −0.651 | −0.067 | −2.418 | −1.501 | ||||||||
| MFSF | −0.33% | 7.67% | 12.27% | ** | MSFG | −1.65% | 18.82% | *** | 28.89% | *** | |||
| (−0.129) | −1.23 | −1.967 | (−0.612) | −3.086 | −4.738 | ||||||||
| NBBC | −19.04% | *** | 22.41% | ** | 31.66% | *** | NECB | −2.78% | *** | −2.97% | −13.82% | *** | |
| (−5.511) | −1.993 | −2.816 | (−2.803) | (−1.002) | (−4.659) | ||||||||
| NFBK | −3.05% | * | 7.46% | ** | 6.96% | ** | NHTB | −4.33% | * | 0.25% | −9.35% | ||
| (−1.861) | −2.158 | −2.013 | (−1.762) | −0.042 | (−1.62) | ||||||||
| NPBC | −0.18% | 28.17% | ** | 30.16% | ** | NWLI | 0.73% | 14.92% | ** | 16.38% | *** | ||
| (−0.058) | −2.111 | −2.261 | −0.246 | −2.376 | −2.609 | ||||||||
| OCFC | −5.97% | ** | 5.17% | 10.29% | * | OKSB | 2.95% | 31.03% | ** | 32.55% | ** | ||
| (−2.578) | −0.932 | −1.854 | −0.969 | −2.322 | −2.436 | ||||||||
| ONB | 4.77% | * | 32.47% | ** | 33.56% | *** | OPOF | 5.05% | * | −2.32% | 15.73% | *** | |
| −1.774 | −2.58 | −2.667 | −1.805 | (−0.56) | −3.839 | ||||||||
| OSBC | 6.39% | ** | 39.71% | * | 39.08% | ** | OZRK | 3.08% | 32.51% | *** | 30.32% | *** | |
| −2.285 | −1.924 | −1.894 | −0.9 | −2.789 | −2.601 | ||||||||
| PACW | 2.19% | 60.65% | *** | 59.13% | *** | PCBK | −6.52% | ** | 24.74% | ** | 19.29% | * | |
| −0.664 | −3.234 | −3.153 | (−2.049) | −2.243 | −1.749 | ||||||||
| PEBO | 4.84% | * | 32.90% | *** | 32.59% | *** | PGC | −4.13% | *** | 14.43% | * | 10.95% | |
| −1.777 | −4.65 | −4.606 | (−2.611) | −1.81 | −1.374 | ||||||||
| PNBK | 0.24% | 3.89% | −10.05% | *** | PNFP | 5.47% | ** | 34.25% | *** | 42.78% | *** | ||
| −0.113 | −1.197 | (−3.089) | −1.997 | −4.356 | −5.44 | ||||||||
| PROV | −2.20% | 57.01% | *** | 47.02% | *** | PVTB | 1.37% | 47.06% | *** | 58.71% | *** | ||
| (−0.727) | −3.623 | −2.988 | −0.512 | −5.675 | −7.08 | ||||||||
| PWOD | −0.63% | 3.12% | 19.61% | *** | RBPAA | 13.57% | ** | 52.58% | ** | 56.29% | *** | ||
| (−0.302) | −1.141 | −7.164 | −2.438 | −2.585 | −2.767 | ||||||||
| RNST | 1.89% | 32.36% | *** | 33.58% | *** | SASR | −2.91% | 32.62% | ** | 44.18% | *** | ||
| −0.697 | −2.79 | −2.896 | (−1.183) | −2.118 | −2.868 | ||||||||
| SBBX | −9.09% | ** | 6.04% | 10.16% | SBCF | 1.12% | 38.45% | *** | 39.59% | *** | |||
| (−2.122) | −0.709 | −1.191 | −0.249 | −3.289 | −3.387 | ||||||||
| SBNY | 4.65% | 29.68% | *** | 34.95% | *** | SBSI | −5.42% | ** | 18.52% | 28.28% | ** | ||
| −1.606 | −2.795 | −3.291 | (−2.403) | −1.434 | −2.189 | ||||||||
| SFNC | 3.97% | * | 33.87% | *** | 33.12% | *** | SFST | 1.03% | 8.95% | 19.64% | ** | ||
| −1.645 | −5.411 | −5.29 | −0.294 | −0.914 | −2.006 | ||||||||
| SHBI | 2.46% | 19.78% | *** | 21.13% | *** | SLCT | −2.57% | −29.34% | * | −28.76% | * | ||
| −0.858 | −3.43 | −3.665 | (−0.52) | (−1.84) | (−1.809) | ||||||||
| SNBC | −6.22% | ** | 34.01% | *** | 36.07% | *** | SOCB | −9.49% | *** | −16.55% | ** | −27.62% | *** |
| (−2.452) | −2.691 | −2.854 | (−4.007) | (−2.399) | (−4.004) | ||||||||
| SSB | 6.01% | ** | 24.68% | *** | 35.49% | *** | STBA | 0.99% | 12.75% | 23.19% | *** | ||
| −2.379 | −3.688 | −5.304 | −0.458 | −1.448 | −2.635 | ||||||||
| SUBK | 1.16% | 16.35% | ** | 18.34% | *** | SUSQ | 8.15% | *** | 38.49% | ** | 46.28% | ** | |
| −0.585 | −2.411 | −2.704 | −2.912 | −2.157 | −2.593 | ||||||||
| SVBI | −2.45% | 16.66% | ** | 6.99% | SYBT | 2.28% | 14.97% | 19.75% | ** | ||||
| (−0.749) | −1.985 | −0.833 | −0.862 | −1.612 | −2.127 | ||||||||
| TBBK | −1.54% | 37.66% | *** | 54.09% | *** | TCBI | 4.87% | * | 39.63% | *** | 39.93% | *** | |
| (−0.357) | −2.658 | −3.818 | −1.853 | −8.966 | −9.034 | ||||||||
| TCBK | 7.43% | ** | 57.07% | *** | 67.17% | *** | TFSL | −1.02% | 12.32% | ** | 6.92% | ||
| −2.255 | −3.491 | −4.109 | (−0.631) | −2.574 | −1.445 | ||||||||
| THFF | −4.80% | * | 20.65% | ** | 25.50% | *** | TRCB | −9.19% | ** | −2.82% | −5.44% | ||
| (−1.878) | −2.308 | −2.85 | (−2.048) | (−0.294) | (−0.56) | ||||||||
| TRMK | 5.87% | ** | 48.49% | *** | 36.99% | *** | TRST | 4.76% | ** | 30.61% | *** | 43.00% | *** |
| −2.245 | −6.903 | −5.267 | −2.047 | −2.626 | −3.69 | ||||||||
| TSBK | 9.23% | ** | 3.81% | 18.22% | UBFO | −0.52% | 29.05% | *** | 25.49% | *** | |||
| −2.396 | −0.291 | −1.39 | (−0.154) | −4.197 | −3.682 | ||||||||
| UBSH | −5.34% | * | 25.48% | ** | 30.30% | *** | UBSI | 4.48% | * | 38.79% | *** | 51.28% | *** |
| (−1.776) | −2.325 | −2.765 | −1.651 | −4.146 | −5.48 | ||||||||
| UCBI | 11.56% | *** | 46.62% | ** | 8.50% | UMBF | −6.03% | *** | 12.75% | *** | 17.69% | *** | |
| −2.709 | −2.147 | −0.391 | (−2.987) | −2.809 | −3.895 | ||||||||
| UMPQ | 5.69% | 35.11% | ** | 37.28% | ** | UNB | 1.84% | * | −3.22% | −1.50% | |||
| −1.437 | −2.444 | −2.594 | −1.901 | (−1.308) | (−0.609) | ||||||||
| UVSP | 6.67% | * | 29.61% | ** | 36.27% | ** | VPFG | 2.90% | * | 14.68% | *** | 17.98% | *** |
| −1.793 | −1.931 | −2.366 | −1.791 | −3.584 | −4.39 | ||||||||
| WABC | 6.09% | *** | 17.87% | * | 27.72% | *** | WAFD | 1.75% | 34.70% | *** | 33.32% | *** | |
| −2.603 | −1.839 | −2.852 | −0.678 | −2.914 | −2.797 | ||||||||
| WASH | −3.49% | 16.48% | ** | 21.53% | *** | WFD | −2.14% | 2.69% | 10.11% | * | |||
| (−1.404) | −2.03 | −2.652 | (−1.568) | −0.5 | −1.881 | ||||||||
| WSBC | 0.51% | 29.66% | 35.87% | * | WSBF | 3.95% | * | 9.29% | * | 13.39% | ** | ||
| −0.149 | −1.436 | −1.737 | −1.742 | −1.784 | −2.572 | ||||||||
| WSFS | −0.39% | 16.06% | * | 16.50% | * | WTBA | −6.00% | 16.21% | 31.01% | ** | |||
| (−0.177) | −1.896 | −1.948 | (−1.65) | −1.082 | −2.071 | ||||||||
| WTFC | 5.99% | ** | 57.26% | *** | 55.07% | *** | ZION | 6.75% | * | 87.48% | *** | 76.97% | *** |
| −2.097 | −3.808 | −3.661 | −1.705 | −5.381 | −4.735 | ||||||||
| NYSE | |||||||||||||
| AFL | 0.50% | 10.72% | ** | 0.20% | AIZ | −5.58% | *** | −9.87% | * | −5.77% | |||
| −0.363 | −2.37 | −0.044 | (−3.447) | (−1.645) | (−0.961) | ||||||||
| BAC | −10.90% | *** | 30.21% | ** | 33.50% | ** | BANC | 1.46% | 12.28% | ** | 17.82% | *** | |
| (−3.821) | −2.248 | −2.493 | −0.593 | −2.008 | −2.915 | ||||||||
| BBT | 4.26% | * | 40.01% | *** | 30.84% | ** | BBX | −5.89% | ** | 51.42% | ** | ###### | *** |
| −1.8018 | −3.297 | −2.541 | (−2.317) | −2.041 | −12.2 | ||||||||
| BHLB | −1.09% | 16.70% | *** | 14.21% | *** | BOH | 3.07% | 12.02% | *** | 17.46% | *** | ||
| (−0.449) | −2.989 | −2.545 | −1.48 | −2.91 | −4.227 | ||||||||
| BXS | 4.33% | 26.32% | *** | 29.35% | *** | C | −4.53% | 22.02% | ** | 24.21% | *** | ||
| −1.572 | −3.073 | −3.428 | (−1.536) | −2.5 | −2.748 | ||||||||
| CFR | 2.12% | * | 4.43% | 6.37% | CIA | 6.66% | * | 18.76% | ** | 30.83% | *** | ||
| −1.85 | −0.925 | −1.332 | −1.827 | −2.463 | −4.049 | ||||||||
| CM | 7.91% | * | 15.82% | 38.05% | *** | CMA | 3.24% | 46.85% | *** | 41.15% | *** | ||
| −1.932 | −1.602 | −3.853 | −1.002 | −6.111 | −5.368 | ||||||||
| COF | 8.18% | *** | 34.58% | *** | 29.57% | *** | CPF | 11.55% | ** | 59.12% | *** | 77.16% | *** |
| −3.04 | −4.657 | −3.981 | −2.396 | −3.602 | −4.701 | ||||||||
| CYN | 4.70% | * | 26.80% | *** | 24.23% | *** | FCF | 2.16% | 15.99% | * | 23.32% | *** | |
| −1.735 | −2.977 | −2.692 | −0.798 | −1.859 | −2.711 | ||||||||
| FFG | −1.31% | 41.42% | *** | 49.65% | *** | FNB | 4.73% | * | 36.33% | *** | 42.77% | *** | |
| (−0.509) | −5.915 | −7.09 | −1.837 | −5.077 | −5.977 | ||||||||
| HTH | 0.17% | * | 4.10% | 8.19% | *** | IHC | −6.42% | * | −0.69% | −5.25% | |||
| −1.931 | −1.415 | −2.824 | (−1.874) | (−0.101) | (−0.766) | ||||||||
| JPM | −1.02% | *** | 19.63% | *** | 33.61% | *** | LNC | 1.83% | 6.82% | * | 3.52% | ||
| (−2.7) | −2.999 | −5.133 | −1.201 | −1.89 | −0.974 | ||||||||
| MET | −3.50% | *** | 16.18% | *** | −2.43% | MFC | 2.74% | ** | 5.61% | ** | 14.93% | *** | |
| (−2.651) | −5.552 | (−0.832) | −2.063 | −2.093 | −5.568 | ||||||||
| MSL | 2.52% | 15.98% | *** | 1.91% | MTB | 4.10% | * | 33.28% | *** | 32.24% | *** | ||
| −0.947 | −2.631 | −0.315 | −1.716 | −5.371 | −5.203 | ||||||||
| NYCB | 4.42% | ** | 16.10% | ** | 8.22% | PB | 3.65% | 14.48% | ** | 21.90% | *** | ||
| −2.075 | −2.553 | −1.303 | −1.492 | −2.458 | −3.718 | ||||||||
| PFG | −1.21% | 14.81% | *** | 14.57% | *** | PFS | 4.07% | * | 14.13% | *** | 15.27% | *** | |
| (−0.641) | −3.105 | −3.054 | −1.669 | −2.883 | −3.115 | ||||||||
| PL | −9.25% | *** | −4.59% | −12.80% | *** | PNC | 3.37% | * | 11.99% | 10.37% | |||
| (−6.035) | (−1.245) | (−3.471) | −1.65 | −1.601 | −1.385 | ||||||||
| PRU | −3.38% | * | 16.04% | ** | 7.27% | RF | 7.24% | * | 91.49% | *** | 56.52% | *** | |
| (−1.775) | −2.521 | −1.143 | −1.821 | −7.393 | −4.567 | ||||||||
| SFG | −1.27% | 9.32% | ** | 3.71% | SLF | 1.29% | 0.49% | 7.80% | ** | ||||
| (−0.676) | −2.36 | −0.94 | −0.912 | −0.148 | −2.376 | ||||||||
| SNV | 6.08% | * | 22.82% | *** | 35.34% | *** | STI | 6.21% | * | 41.30% | *** | 23.74% | * |
| −1.865 | −2.842 | −4.402 | −1.89 | −3.302 | −1.898 | ||||||||
| STT | 4.41% | * | −6.41% | −18.50% | ** | TCB | 4.29% | * | 38.81% | ** | 33.67% | ** | |
| −1.889 | (−0.78) | (−2.252) | −1.651 | −2.442 | −2.118 | ||||||||
| TMK | 0.80% | 4.18% | ** | 10.83% | *** | USB | 4.59% | ** | 17.05% | *** | 20.80% | *** | |
| −0.76 | −2.226 | −5.772 | −2.215 | −2.69 | −3.283 | ||||||||
| VLY | 4.78% | ** | 15.80% | * | 16.32% | * | |||||||
| −1.982 | −1.751 | −1.808 | |||||||||||
| Code | Event-day | 5-day | 10-day | Code | Event-day | 5-day | 10-day | ||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| AR | Sig | CAR | Sig | CAR | Sig | AR | Sig | CAR | Sig | CAR | Sig | ||
| AAME | 0.32% | −20.94% | * | −29.64% | *** | MBVT | −2.69% | * | −1.36% | −1.42% | |||
| −0.058 | (−1.838) | (−2.602) | (−1.754) | (−0.284) | (−0.297) | ||||||||
| MCBC | 1.69% | 26.29% | ** | 8.66% | METR | 0.15% | 13.99% | ** | 8.68% | ||||
| −0.452 | −1.978 | −0.651 | −0.067 | −2.418 | −1.501 | ||||||||
| MFSF | −0.33% | 7.67% | 12.27% | ** | MSFG | −1.65% | 18.82% | *** | 28.89% | *** | |||
| (−0.129) | −1.23 | −1.967 | (−0.612) | −3.086 | −4.738 | ||||||||
| NBBC | −19.04% | *** | 22.41% | ** | 31.66% | *** | NECB | −2.78% | *** | −2.97% | −13.82% | *** | |
| (−5.511) | −1.993 | −2.816 | (−2.803) | (−1.002) | (−4.659) | ||||||||
| NFBK | −3.05% | * | 7.46% | ** | 6.96% | ** | NHTB | −4.33% | * | 0.25% | −9.35% | ||
| (−1.861) | −2.158 | −2.013 | (−1.762) | −0.042 | (−1.62) | ||||||||
| NPBC | −0.18% | 28.17% | ** | 30.16% | ** | NWLI | 0.73% | 14.92% | ** | 16.38% | *** | ||
| (−0.058) | −2.111 | −2.261 | −0.246 | −2.376 | −2.609 | ||||||||
| OCFC | −5.97% | ** | 5.17% | 10.29% | * | OKSB | 2.95% | 31.03% | ** | 32.55% | ** | ||
| (−2.578) | −0.932 | −1.854 | −0.969 | −2.322 | −2.436 | ||||||||
| ONB | 4.77% | * | 32.47% | ** | 33.56% | *** | OPOF | 5.05% | * | −2.32% | 15.73% | *** | |
| −1.774 | −2.58 | −2.667 | −1.805 | (−0.56) | −3.839 | ||||||||
| OSBC | 6.39% | ** | 39.71% | * | 39.08% | ** | OZRK | 3.08% | 32.51% | *** | 30.32% | *** | |
| −2.285 | −1.924 | −1.894 | −0.9 | −2.789 | −2.601 | ||||||||
| PACW | 2.19% | 60.65% | *** | 59.13% | *** | PCBK | −6.52% | ** | 24.74% | ** | 19.29% | * | |
| −0.664 | −3.234 | −3.153 | (−2.049) | −2.243 | −1.749 | ||||||||
| PEBO | 4.84% | * | 32.90% | *** | 32.59% | *** | PGC | −4.13% | *** | 14.43% | * | 10.95% | |
| −1.777 | −4.65 | −4.606 | (−2.611) | −1.81 | −1.374 | ||||||||
| PNBK | 0.24% | 3.89% | −10.05% | *** | PNFP | 5.47% | ** | 34.25% | *** | 42.78% | *** | ||
| −0.113 | −1.197 | (−3.089) | −1.997 | −4.356 | −5.44 | ||||||||
| PROV | −2.20% | 57.01% | *** | 47.02% | *** | PVTB | 1.37% | 47.06% | *** | 58.71% | *** | ||
| (−0.727) | −3.623 | −2.988 | −0.512 | −5.675 | −7.08 | ||||||||
| PWOD | −0.63% | 3.12% | 19.61% | *** | RBPAA | 13.57% | ** | 52.58% | ** | 56.29% | *** | ||
| (−0.302) | −1.141 | −7.164 | −2.438 | −2.585 | −2.767 | ||||||||
| RNST | 1.89% | 32.36% | *** | 33.58% | *** | SASR | −2.91% | 32.62% | ** | 44.18% | *** | ||
| −0.697 | −2.79 | −2.896 | (−1.183) | −2.118 | −2.868 | ||||||||
| SBBX | −9.09% | ** | 6.04% | 10.16% | SBCF | 1.12% | 38.45% | *** | 39.59% | *** | |||
| (−2.122) | −0.709 | −1.191 | −0.249 | −3.289 | −3.387 | ||||||||
| SBNY | 4.65% | 29.68% | *** | 34.95% | *** | SBSI | −5.42% | ** | 18.52% | 28.28% | ** | ||
| −1.606 | −2.795 | −3.291 | (−2.403) | −1.434 | −2.189 | ||||||||
| SFNC | 3.97% | * | 33.87% | *** | 33.12% | *** | SFST | 1.03% | 8.95% | 19.64% | ** | ||
| −1.645 | −5.411 | −5.29 | −0.294 | −0.914 | −2.006 | ||||||||
| SHBI | 2.46% | 19.78% | *** | 21.13% | *** | SLCT | −2.57% | −29.34% | * | −28.76% | * | ||
| −0.858 | −3.43 | −3.665 | (−0.52) | (−1.84) | (−1.809) | ||||||||
| SNBC | −6.22% | ** | 34.01% | *** | 36.07% | *** | SOCB | −9.49% | *** | −16.55% | ** | −27.62% | *** |
| (−2.452) | −2.691 | −2.854 | (−4.007) | (−2.399) | (−4.004) | ||||||||
| SSB | 6.01% | ** | 24.68% | *** | 35.49% | *** | STBA | 0.99% | 12.75% | 23.19% | *** | ||
| −2.379 | −3.688 | −5.304 | −0.458 | −1.448 | −2.635 | ||||||||
| SUBK | 1.16% | 16.35% | ** | 18.34% | *** | SUSQ | 8.15% | *** | 38.49% | ** | 46.28% | ** | |
| −0.585 | −2.411 | −2.704 | −2.912 | −2.157 | −2.593 | ||||||||
| SVBI | −2.45% | 16.66% | ** | 6.99% | SYBT | 2.28% | 14.97% | 19.75% | ** | ||||
| (−0.749) | −1.985 | −0.833 | −0.862 | −1.612 | −2.127 | ||||||||
| TBBK | −1.54% | 37.66% | *** | 54.09% | *** | TCBI | 4.87% | * | 39.63% | *** | 39.93% | *** | |
| (−0.357) | −2.658 | −3.818 | −1.853 | −8.966 | −9.034 | ||||||||
| TCBK | 7.43% | ** | 57.07% | *** | 67.17% | *** | TFSL | −1.02% | 12.32% | ** | 6.92% | ||
| −2.255 | −3.491 | −4.109 | (−0.631) | −2.574 | −1.445 | ||||||||
| THFF | −4.80% | * | 20.65% | ** | 25.50% | *** | TRCB | −9.19% | ** | −2.82% | −5.44% | ||
| (−1.878) | −2.308 | −2.85 | (−2.048) | (−0.294) | (−0.56) | ||||||||
| TRMK | 5.87% | ** | 48.49% | *** | 36.99% | *** | TRST | 4.76% | ** | 30.61% | *** | 43.00% | *** |
| −2.245 | −6.903 | −5.267 | −2.047 | −2.626 | −3.69 | ||||||||
| TSBK | 9.23% | ** | 3.81% | 18.22% | UBFO | −0.52% | 29.05% | *** | 25.49% | *** | |||
| −2.396 | −0.291 | −1.39 | (−0.154) | −4.197 | −3.682 | ||||||||
| UBSH | −5.34% | * | 25.48% | ** | 30.30% | *** | UBSI | 4.48% | * | 38.79% | *** | 51.28% | *** |
| (−1.776) | −2.325 | −2.765 | −1.651 | −4.146 | −5.48 | ||||||||
| UCBI | 11.56% | *** | 46.62% | ** | 8.50% | UMBF | −6.03% | *** | 12.75% | *** | 17.69% | *** | |
| −2.709 | −2.147 | −0.391 | (−2.987) | −2.809 | −3.895 | ||||||||
| UMPQ | 5.69% | 35.11% | ** | 37.28% | ** | UNB | 1.84% | * | −3.22% | −1.50% | |||
| −1.437 | −2.444 | −2.594 | −1.901 | (−1.308) | (−0.609) | ||||||||
| UVSP | 6.67% | * | 29.61% | ** | 36.27% | ** | VPFG | 2.90% | * | 14.68% | *** | 17.98% | *** |
| −1.793 | −1.931 | −2.366 | −1.791 | −3.584 | −4.39 | ||||||||
| WABC | 6.09% | *** | 17.87% | * | 27.72% | *** | WAFD | 1.75% | 34.70% | *** | 33.32% | *** | |
| −2.603 | −1.839 | −2.852 | −0.678 | −2.914 | −2.797 | ||||||||
| WASH | −3.49% | 16.48% | ** | 21.53% | *** | WFD | −2.14% | 2.69% | 10.11% | * | |||
| (−1.404) | −2.03 | −2.652 | (−1.568) | −0.5 | −1.881 | ||||||||
| WSBC | 0.51% | 29.66% | 35.87% | * | WSBF | 3.95% | * | 9.29% | * | 13.39% | ** | ||
| −0.149 | −1.436 | −1.737 | −1.742 | −1.784 | −2.572 | ||||||||
| WSFS | −0.39% | 16.06% | * | 16.50% | * | WTBA | −6.00% | 16.21% | 31.01% | ** | |||
| (−0.177) | −1.896 | −1.948 | (−1.65) | −1.082 | −2.071 | ||||||||
| WTFC | 5.99% | ** | 57.26% | *** | 55.07% | *** | ZION | 6.75% | * | 87.48% | *** | 76.97% | *** |
| −2.097 | −3.808 | −3.661 | −1.705 | −5.381 | −4.735 | ||||||||
| AFL | 0.50% | 10.72% | ** | 0.20% | AIZ | −5.58% | *** | −9.87% | * | −5.77% | |||
| −0.363 | −2.37 | −0.044 | (−3.447) | (−1.645) | (−0.961) | ||||||||
| BAC | −10.90% | *** | 30.21% | ** | 33.50% | ** | BANC | 1.46% | 12.28% | ** | 17.82% | *** | |
| (−3.821) | −2.248 | −2.493 | −0.593 | −2.008 | −2.915 | ||||||||
| BBT | 4.26% | * | 40.01% | *** | 30.84% | ** | BBX | −5.89% | ** | 51.42% | ** | ###### | *** |
| −1.8018 | −3.297 | −2.541 | (−2.317) | −2.041 | −12.2 | ||||||||
| BHLB | −1.09% | 16.70% | *** | 14.21% | *** | BOH | 3.07% | 12.02% | *** | 17.46% | *** | ||
| (−0.449) | −2.989 | −2.545 | −1.48 | −2.91 | −4.227 | ||||||||
| BXS | 4.33% | 26.32% | *** | 29.35% | *** | C | −4.53% | 22.02% | ** | 24.21% | *** | ||
| −1.572 | −3.073 | −3.428 | (−1.536) | −2.5 | −2.748 | ||||||||
| CFR | 2.12% | * | 4.43% | 6.37% | CIA | 6.66% | * | 18.76% | ** | 30.83% | *** | ||
| −1.85 | −0.925 | −1.332 | −1.827 | −2.463 | −4.049 | ||||||||
| CM | 7.91% | * | 15.82% | 38.05% | *** | CMA | 3.24% | 46.85% | *** | 41.15% | *** | ||
| −1.932 | −1.602 | −3.853 | −1.002 | −6.111 | −5.368 | ||||||||
| COF | 8.18% | *** | 34.58% | *** | 29.57% | *** | CPF | 11.55% | ** | 59.12% | *** | 77.16% | *** |
| −3.04 | −4.657 | −3.981 | −2.396 | −3.602 | −4.701 | ||||||||
| CYN | 4.70% | * | 26.80% | *** | 24.23% | *** | FCF | 2.16% | 15.99% | * | 23.32% | *** | |
| −1.735 | −2.977 | −2.692 | −0.798 | −1.859 | −2.711 | ||||||||
| FFG | −1.31% | 41.42% | *** | 49.65% | *** | FNB | 4.73% | * | 36.33% | *** | 42.77% | *** | |
| (−0.509) | −5.915 | −7.09 | −1.837 | −5.077 | −5.977 | ||||||||
| HTH | 0.17% | * | 4.10% | 8.19% | *** | IHC | −6.42% | * | −0.69% | −5.25% | |||
| −1.931 | −1.415 | −2.824 | (−1.874) | (−0.101) | (−0.766) | ||||||||
| JPM | −1.02% | *** | 19.63% | *** | 33.61% | *** | LNC | 1.83% | 6.82% | * | 3.52% | ||
| (−2.7) | −2.999 | −5.133 | −1.201 | −1.89 | −0.974 | ||||||||
| MET | −3.50% | *** | 16.18% | *** | −2.43% | MFC | 2.74% | ** | 5.61% | ** | 14.93% | *** | |
| (−2.651) | −5.552 | (−0.832) | −2.063 | −2.093 | −5.568 | ||||||||
| MSL | 2.52% | 15.98% | *** | 1.91% | MTB | 4.10% | * | 33.28% | *** | 32.24% | *** | ||
| −0.947 | −2.631 | −0.315 | −1.716 | −5.371 | −5.203 | ||||||||
| NYCB | 4.42% | ** | 16.10% | ** | 8.22% | PB | 3.65% | 14.48% | ** | 21.90% | *** | ||
| −2.075 | −2.553 | −1.303 | −1.492 | −2.458 | −3.718 | ||||||||
| PFG | −1.21% | 14.81% | *** | 14.57% | *** | PFS | 4.07% | * | 14.13% | *** | 15.27% | *** | |
| (−0.641) | −3.105 | −3.054 | −1.669 | −2.883 | −3.115 | ||||||||
| PL | −9.25% | *** | −4.59% | −12.80% | *** | PNC | 3.37% | * | 11.99% | 10.37% | |||
| (−6.035) | (−1.245) | (−3.471) | −1.65 | −1.601 | −1.385 | ||||||||
| PRU | −3.38% | * | 16.04% | ** | 7.27% | RF | 7.24% | * | 91.49% | *** | 56.52% | *** | |
| (−1.775) | −2.521 | −1.143 | −1.821 | −7.393 | −4.567 | ||||||||
| SFG | −1.27% | 9.32% | ** | 3.71% | SLF | 1.29% | 0.49% | 7.80% | ** | ||||
| (−0.676) | −2.36 | −0.94 | −0.912 | −0.148 | −2.376 | ||||||||
| SNV | 6.08% | * | 22.82% | *** | 35.34% | *** | STI | 6.21% | * | 41.30% | *** | 23.74% | * |
| −1.865 | −2.842 | −4.402 | −1.89 | −3.302 | −1.898 | ||||||||
| STT | 4.41% | * | −6.41% | −18.50% | ** | TCB | 4.29% | * | 38.81% | ** | 33.67% | ** | |
| −1.889 | (−0.78) | (−2.252) | −1.651 | −2.442 | −2.118 | ||||||||
| TMK | 0.80% | 4.18% | ** | 10.83% | *** | USB | 4.59% | ** | 17.05% | *** | 20.80% | *** | |
| −0.76 | −2.226 | −5.772 | −2.215 | −2.69 | −3.283 | ||||||||
| VLY | 4.78% | ** | 15.80% | * | 16.32% | * | |||||||
| −1.982 | −1.751 | −1.808 | |||||||||||
Note(s): *, ** and *** indicate statistically significant factors at 10, 5 and 1% (two-tailed) level, respectively
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