Causal impact over different event windows
| BPS | UBI | CV | BPER | BPM | BP | PEL | ||
|---|---|---|---|---|---|---|---|---|
| Part 1: [−2, +20] event window | ||||||||
| Cumulative | 28.50% | 20.14% | 44.30% | 31.80% | 33.80% | 33.60% | 46.30% | |
| Predicted | 17.87% | 26.90% | 19.87% | 25.80% | 25.00% | 19.69% | −4.26% | |
| Absolute | 10.58% | −6.74% | 22.40% | 6.01% | 8.74% | 13.96% | 50.66% | |
| Probability | 89.13% | 80.47% | 96.89% | 69.70% | 76.00% | 88.79% | 99.89% | |
| Part 2: [−2, +1] event window | ||||||||
| Cumulative | 20.60% | 17.20% | 27.00% | 22.90% | 19.80% | 22.50% | 49.00% | |
| Predicted | 7.10% | 9.80% | 8.70% | 10.00% | 10.00% | 8.60% | 3.60% | |
| Absolute | 13.60% | 7.30% | 18.30% | 12.90% | 9.90% | 13.90% | 45.40% | |
| Probability | 99.89% | 99.45% | 99.89% | 99.78% | 99.11% | 99.89% | 99.89% | |
| BPS | UBI | CV | BPER | BPM | BP | PEL | ||
|---|---|---|---|---|---|---|---|---|
| Cumulative | 28.50% | 20.14% | 44.30% | 31.80% | 33.80% | 33.60% | 46.30% | |
| Predicted | 17.87% | 26.90% | 19.87% | 25.80% | 25.00% | 19.69% | −4.26% | |
| Absolute | 10.58% | −6.74% | 22.40% | 6.01% | 8.74% | 13.96% | 50.66% | |
| Probability | 89.13% | 80.47% | 96.89% | 69.70% | 76.00% | 88.79% | 99.89% | |
| Cumulative | 20.60% | 17.20% | 27.00% | 22.90% | 19.80% | 22.50% | 49.00% | |
| Predicted | 7.10% | 9.80% | 8.70% | 10.00% | 10.00% | 8.60% | 3.60% | |
| Absolute | 13.60% | 7.30% | 18.30% | 12.90% | 9.90% | 13.90% | 45.40% | |
| Probability | 99.89% | 99.45% | 99.89% | 99.78% | 99.11% | 99.89% | 99.89% | |
| CRG | BDB | MPS | PRO | MB | UCG | ISP | CE | |
|---|---|---|---|---|---|---|---|---|
| Part 3: [−2, +20] event window | ||||||||
| Cumulative | 1.73% | 19.93% | 14.78% | 20.43% | 17.68% | 9.40% | 14.51% | 7.00% |
| Predicted | −4.92% | −1.53% | −6.04% | 7.48% | 22.84% | 18.01% | 24.90% | 13.95% |
| Absolute | 6.65% | 21.46% | 20.82% | 12.95% | −5.16% | −8.61% | −10.39% | −6.95% |
| Probability | 64.71% | 99.67% | 80.69% | 87.46% | 78.14% | 89.90% | 93.34% | 78.47% |
| Part 4: [−2, +1] event window | ||||||||
| Cumulative | 7.10% | 8.90% | 11.40% | 5.00% | 7.50% | 9.50% | 4.30% | 6.50% |
| Predicted | 1.54% | 1.27% | 4.20% | 4.50% | 8.10% | 7.80% | 8.80% | 4.80% |
| Absolute | 5.56% | 7.63% | 7.20% | 0.50% | −0.60% | 1.70% | −4.50% | 1.70% |
| Probability | 82.02% | 99.56% | 80.91% | 55.83% | 62.93% | 80.69% | 98.00% | 70.59% |
| CRG | BDB | MPS | PRO | MB | UCG | ISP | CE | |
|---|---|---|---|---|---|---|---|---|
| Cumulative | 1.73% | 19.93% | 14.78% | 20.43% | 17.68% | 9.40% | 14.51% | 7.00% |
| Predicted | −4.92% | −1.53% | −6.04% | 7.48% | 22.84% | 18.01% | 24.90% | 13.95% |
| Absolute | 6.65% | 21.46% | 20.82% | 12.95% | −5.16% | −8.61% | −10.39% | −6.95% |
| Probability | 64.71% | 99.67% | 80.69% | 87.46% | 78.14% | 89.90% | 93.34% | 78.47% |
| Cumulative | 7.10% | 8.90% | 11.40% | 5.00% | 7.50% | 9.50% | 4.30% | 6.50% |
| Predicted | 1.54% | 1.27% | 4.20% | 4.50% | 8.10% | 7.80% | 8.80% | 4.80% |
| Absolute | 5.56% | 7.63% | 7.20% | 0.50% | −0.60% | 1.70% | −4.50% | 1.70% |
| Probability | 82.02% | 99.56% | 80.91% | 55.83% | 62.93% | 80.69% | 98.00% | 70.59% |
Note(s): The table reports the estimated causal impact for each of the seven banks in the treatment group (Parts 1–2) and each of the eight banks in the control group (Parts 3–4). Parts 1 and 3 refer to the longer event window, spanning from two days before until 20 days after the announcement date. Parts 2 and 4 refer to the shorter event window, spanning from two days before until one day after the announcement date. Cumulative indicates the actual, cumulative returns over the event window. Predicted indicates the cumulative returns predicted by the statistical model. Absolute is the estimated impact induced by the announcement, obtained as the difference between the actual and predicted returns. Probability indicates the posterior probability of a causal effect