Input Parameters

  
Model Fama-French 3 Factor Model
Market Benchmark Fama-French Market Return
Window Spacing Fixed to Event Date
Estimation Window 100
Estimation Window Minimum70
Gap 50
Event Windows (-10, 7), (-5, 5), (1, 10)
Events Input 10
Events Input Used 10

Cumulative Abnormal Returns

window +/-/. car mean car statistic car pvalue scar mean scar statistic scar pvalue
-10,7 7/3/0 0.281 2.263 0.05 2.241 2.114 0.064
-5,5 9/1/0 0.266 2.24 0.052 2.633 2.054 0.07
1,10 5/5/0 0.007 0.198 0.848 -0.02 -0.06 0.953

Statistical Tests

Patell Test

window statistic pvalue
-10,7 7.014 0
-5,5 8.241 0
1,10 -0.063 0.525


Generalized Sign Test

window statistic pvalue
-10,7 -0.481 0.315
-5,5 0.152 0.44
1,10 0.785 0.216


Sign Test

window statistic pvalue
-10,7 -0.632 0.264
-5,5 0 0.5
1,10 0.632 0.264


Wilcoxon Test

window statistic pvalue
-10,7 8 0.049
-5,5 2 0.006
1,10 25 0.846