Table III. Result of the test statistics...

Table III.

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

CAAR
Day	Good news		Bad news		No news
Day	ARR (%)	p-value	ARR (%)	p-value	ARR (%)	p-value
−10	0.05	0.50	0.05	0.54	−0.14	0.14
−9	0.22	0.05**	0.05	0.55	−0.16	0.25
−8	0.28	0.05**	−0.06	0.50	0.07	0.68
−7	0.35	0.03**	−0.06	0.50	0.13	0.51
−6	0.47	0.01*	0.06	0.46	0.02	0.92
−5	0.41	0.04**	0.14	0.09	0.00	0.98
−4	0.45	0.04**	0.02	0.84	0.00	1.00
−3	0.33	0.15	−0.25	0.00*	0.10	0.72
−2	0.20	0.41	−0.56	0.00*	0.00	0.99
−1	0.00	1.00	−1.04	0.00*	−0.23	0.46
0	−0.28	0.30	−1.52	0.00*	−0.59	0.07
1	−0.33	0.24	−1.75	0.00*	−0.65	0.06
2	−0.31	0.29	−1.98	0.00*	−0.74	0.04**
3	−0.36	0.24	−2.12	0.00*	−0.77	0.04**
4	−0.34	0.28	−2.25	0.00*	−0.69	0.07
5	−0.21	0.51	−2.25	0.00*	−0.52	0.19
6	−0.15	0.66	−2.09	0.00*	−0.58	0.15
7	0.13	0.72	−2.07	0.00*	−0.50	0.24
8	0.27	0.44	−2.03	0.00*	−0.51	0.23
9	0.34	0.35	−2.12	0.00*	−0.49	0.27
10	0.64	0.09	−2.18	0.00*	−0.55	0.23

CAAR
Day	Good news		Bad news		No news
Day	ARR (%)	p-value	ARR (%)	p-value	ARR (%)	p-value
−10	0.05	0.50	0.05	0.54	−0.14	0.14
−9	0.22	0.05**	0.05	0.55	−0.16	0.25
−8	0.28	0.05**	−0.06	0.50	0.07	0.68
−7	0.35	0.03**	−0.06	0.50	0.13	0.51
−6	0.47	0.01*	0.06	0.46	0.02	0.92
−5	0.41	0.04**	0.14	0.09	0.00	0.98
−4	0.45	0.04**	0.02	0.84	0.00	1.00
−3	0.33	0.15	−0.25	0.00*	0.10	0.72
−2	0.20	0.41	−0.56	0.00*	0.00	0.99
−1	0.00	1.00	−1.04	0.00*	−0.23	0.46
0	−0.28	0.30	−1.52	0.00*	−0.59	0.07
1	−0.33	0.24	−1.75	0.00*	−0.65	0.06
2	−0.31	0.29	−1.98	0.00*	−0.74	0.04**
3	−0.36	0.24	−2.12	0.00*	−0.77	0.04**
4	−0.34	0.28	−2.25	0.00*	−0.69	0.07
5	−0.21	0.51	−2.25	0.00*	−0.52	0.19
6	−0.15	0.66	−2.09	0.00*	−0.58	0.15
7	0.13	0.72	−2.07	0.00*	−0.50	0.24
8	0.27	0.44	−2.03	0.00*	−0.51	0.23
9	0.34	0.35	−2.12	0.00*	−0.49	0.27
10	0.64	0.09	−2.18	0.00*	−0.55	0.23

Notes: Table III 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

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