Cumulative abnormal returns over different event windows
| Return model | BPS | UBI | CV | BPER | BPM | BP | PEL |
|---|---|---|---|---|---|---|---|
| Part 1: [−2, +20] event window | |||||||
| Raw | 28.45% | 20.14% | 44.28% | 31.83% | 33.79% | 33.65% | 46.31% |
| Market adjusted | 20.08% | 11.77% | 35.91% | 23.46% | 25.42% | 25.28% | 39.25% |
| Market model | 21.88% | 6.21% | 35.41% | 18.59% | 19.61% | 21.55% | 48.56% |
| Sector adjusted | 22.31% | 6.85% | 36.60% | 20.12% | 20.62% | 22.77% | 52.44% |
| Fama–French | 15.85% | 1.74% | 24.73% | 15.93% | 13.53% | 16.55% | 44.83% |
| Fama-French agumented (FF-aug). five-factor | 15.02% | 3.44% | 26.85% | 20.28% | 17.35% | 17.86% | 50.61% |
| Part 2: [−2, +1] event window | |||||||
| Raw | 20.63% | 17.17% | 27.00% | 22.90% | 19.78% | 22.48% | 49.18% |
| Market adjusted | 16.95% | 13.48% | 23.31% | 19.21% | 16.09% | 18.79% | 45.50% |
| Market model | 16.46% | 10.48% | 21.52% | 15.81% | 12.87% | 16.02% | 47.24% |
| Sector adjusted | 15.57% | 9.24% | 20.68% | 14.85% | 11.77% | 15.05% | 46.78% |
| Fama-French | 15.23% | 9.28% | 19.49% | 14.93% | 11.32% | 14.84% | 46.21% |
| FF-aug. five-factor | 14.72% | 9.14% | 19.20% | 15.47% | 12.89% | 14.74% | 46.81% |
| Return model | BPS | UBI | CV | BPER | BPM | BP | PEL |
|---|---|---|---|---|---|---|---|
| Raw | 28.45% | 20.14% | 44.28% | 31.83% | 33.79% | 33.65% | 46.31% |
| Market adjusted | 20.08% | 11.77% | 35.91% | 23.46% | 25.42% | 25.28% | 39.25% |
| Market model | 21.88% | 6.21% | 35.41% | 18.59% | 19.61% | 21.55% | 48.56% |
| Sector adjusted | 22.31% | 6.85% | 36.60% | 20.12% | 20.62% | 22.77% | 52.44% |
| Fama–French | 15.85% | 1.74% | 24.73% | 15.93% | 13.53% | 16.55% | 44.83% |
| Fama-French agumented (FF-aug). five-factor | 15.02% | 3.44% | 26.85% | 20.28% | 17.35% | 17.86% | 50.61% |
| Raw | 20.63% | 17.17% | 27.00% | 22.90% | 19.78% | 22.48% | 49.18% |
| Market adjusted | 16.95% | 13.48% | 23.31% | 19.21% | 16.09% | 18.79% | 45.50% |
| Market model | 16.46% | 10.48% | 21.52% | 15.81% | 12.87% | 16.02% | 47.24% |
| Sector adjusted | 15.57% | 9.24% | 20.68% | 14.85% | 11.77% | 15.05% | 46.78% |
| Fama-French | 15.23% | 9.28% | 19.49% | 14.93% | 11.32% | 14.84% | 46.21% |
| FF-aug. five-factor | 14.72% | 9.14% | 19.20% | 15.47% | 12.89% | 14.74% | 46.81% |
Note(s): The table reports the cumulative abnormal returns for a variety of return models for each of the seven banks in the treatment group. Part 1 refers to a longer event window, spanning from two days before until 20 days after the announcement date. Part 2 refers to a shorter event window, spanning from two days before until one day after the announcement date