Table II. Result of the test statistics...

Table II.

Result of the test statistics for AARs and corresponding p-values in 21 days’ event window

AAR
Day	Good news		Bad news		No news
Day	ARR (%)	p-value	ARR(%)	p-value	ARR(%)	p-value
−10	0.05	0.502	0.05	0.539	−0.14	0.143
−9	0.17	0.040**	0.00	0.988	−0.02	0.855
−8	0.06	0.473	−0.11	0.202	0.23	0.019**
−7	0.07	0.375	0.00	1.000	0.06	0.546
−6	0.11	0.160	0.12	0.156	−0.11	0.273
−5	−0.06	0.468	0.08	0.330	−0.03	0.793
−4	0.04	0.630	−0.13	0.129	0.01	0.957
−3	−0.12	0.158	−0.26	0.002*	0.10	0.317
−2	−0.13	0.105	−0.31	0.000*	−0.09	0.333
−1	−0.20	0.01*	−0.48	0.000*	−0.23	0.017**
0	−0.28	0.001*	−0.48	0.000*	−0.36	0.000*
1	−0.05	0.532	−0.23	0.006*	−0.06	0.516
2	0.02	0.809	−0.23	0.005*	−0.09	0.375
3	−0.05	0.552	−0.14	0.098	−0.03	0.774
4	0.02	0.834	−0.13	0.131	0.08	0.395
5	0.13	0.112	0.00	0.982	0.17	0.091
6	0.07	0.413	0.15	0.067	−0.06	0.523
7	0.27	0.001*	0.03	0.741	0.09	0.370
8	0.15	0.070	0.04	0.672	−0.02	0.841
9	0.07	0.395	−0.08	0.307	0.03	0.784
10	0.30	0.000*	−0.06	0.462	−0.06	0.549

AAR
Day	Good news		Bad news		No news
Day	ARR (%)	p-value	ARR(%)	p-value	ARR(%)	p-value
−10	0.05	0.502	0.05	0.539	−0.14	0.143
−9	0.17	0.040**	0.00	0.988	−0.02	0.855
−8	0.06	0.473	−0.11	0.202	0.23	0.019**
−7	0.07	0.375	0.00	1.000	0.06	0.546
−6	0.11	0.160	0.12	0.156	−0.11	0.273
−5	−0.06	0.468	0.08	0.330	−0.03	0.793
−4	0.04	0.630	−0.13	0.129	0.01	0.957
−3	−0.12	0.158	−0.26	0.002*	0.10	0.317
−2	−0.13	0.105	−0.31	0.000*	−0.09	0.333
−1	−0.20	0.01*	−0.48	0.000*	−0.23	0.017**
0	−0.28	0.001*	−0.48	0.000*	−0.36	0.000*
1	−0.05	0.532	−0.23	0.006*	−0.06	0.516
2	0.02	0.809	−0.23	0.005*	−0.09	0.375
3	−0.05	0.552	−0.14	0.098	−0.03	0.774
4	0.02	0.834	−0.13	0.131	0.08	0.395
5	0.13	0.112	0.00	0.982	0.17	0.091
6	0.07	0.413	0.15	0.067	−0.06	0.523
7	0.27	0.001*	0.03	0.741	0.09	0.370
8	0.15	0.070	0.04	0.672	−0.02	0.841
9	0.07	0.395	−0.08	0.307	0.03	0.784
10	0.30	0.000*	−0.06	0.462	−0.06	0.549

Notes: Table II shows AAR values and corresponding p-values for 21 days’ event window with classification as good news, bad news and no news. First column (Days) show 21 days’ event window. −10 to −1 are 10 days before event, 0 is the event day and 1 to 10 days are 10 days after event day. ARR is the average deviation of actual returns of a security from expected returns;

significance at 1% level;

significance at 5% level

[ViewLarge]

Sharing Unavailable