CARs over different event windows for the control group
| Return model | CRG | BDB | MPS | PRO | MB | UCG | ISP | CE |
|---|---|---|---|---|---|---|---|---|
| Part 1: [−2, +20] event window | ||||||||
| Raw | 1.74% | 19.93% | 14.78% | 20.43% | 17.68% | 9.40% | 14.51% | 6.97% |
| Market adjusted | −6.63% | 11.56% | 6.41% | 12.06% | 9.31% | 1.03% | 6.14% | −1.40% |
| Market model | 7.80% | 19.67% | 24.04% | 13.30% | 5.76% | −3.57% | 0.01% | −0.71% |
| Sector adjusted | −0.42% | 15.67% | 10.33% | 4.24% | −0.62% | −9.92% | −6.68% | −6.77% |
| Fama–French | −1.84% | 15.39% | 12.99% | 6.28% | 0.07% | −5.17% | −0.81% | −8.66% |
| FF-aug. five-factor | −0.65% | 17.12% | 18.27% | 12.37% | 0.26% | −4.45% | −1.35% | −8.63% |
| Part 2: [−2, +1] event window | ||||||||
| Raw | 7.06% | 8.91% | 11.43% | 4.97% | 7.55% | 9.49% | 4.31% | 6.45% |
| Market adjusted | 3.37% | 5.22% | 7.75% | 1.28% | 3.86% | 5.80% | 0.62% | 2.77% |
| Market model | 5.13% | 7.18% | 9.20% | 1.14% | 1.99% | 3.18% | −2.13% | 2.64% |
| Sector adjusted | −1.79% | 3.66% | −1.61% | −6.04% | −4.13% | −3.30% | −8.74% | −2.64% |
| Fama–French | 3.57% | 6.39% | 7.16% | 0.00% | 0.83% | 2.57% | −2.62% | 1.04% |
| FF-aug. five-factor | 4.19% | 6.76% | 6.66% | −0.19% | 0.87% | 2.31% | −2.87% | 1.36% |
| Return model | CRG | BDB | MPS | PRO | MB | UCG | ISP | CE |
|---|---|---|---|---|---|---|---|---|
| Raw | 1.74% | 19.93% | 14.78% | 20.43% | 17.68% | 9.40% | 14.51% | 6.97% |
| Market adjusted | −6.63% | 11.56% | 6.41% | 12.06% | 9.31% | 1.03% | 6.14% | −1.40% |
| Market model | 7.80% | 19.67% | 24.04% | 13.30% | 5.76% | −3.57% | 0.01% | −0.71% |
| Sector adjusted | −0.42% | 15.67% | 10.33% | 4.24% | −0.62% | −9.92% | −6.68% | −6.77% |
| Fama–French | −1.84% | 15.39% | 12.99% | 6.28% | 0.07% | −5.17% | −0.81% | −8.66% |
| FF-aug. five-factor | −0.65% | 17.12% | 18.27% | 12.37% | 0.26% | −4.45% | −1.35% | −8.63% |
| Raw | 7.06% | 8.91% | 11.43% | 4.97% | 7.55% | 9.49% | 4.31% | 6.45% |
| Market adjusted | 3.37% | 5.22% | 7.75% | 1.28% | 3.86% | 5.80% | 0.62% | 2.77% |
| Market model | 5.13% | 7.18% | 9.20% | 1.14% | 1.99% | 3.18% | −2.13% | 2.64% |
| Sector adjusted | −1.79% | 3.66% | −1.61% | −6.04% | −4.13% | −3.30% | −8.74% | −2.64% |
| Fama–French | 3.57% | 6.39% | 7.16% | 0.00% | 0.83% | 2.57% | −2.62% | 1.04% |
| FF-aug. five-factor | 4.19% | 6.76% | 6.66% | −0.19% | 0.87% | 2.31% | −2.87% | 1.36% |
Note(s): The table reports the CARs for a variety of return models for each of the eight banks in the control 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