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abnormal return
The Generalized Treynor Ratio is defined as the abnormal return of a portfolio per unit of premium-weighted average systematic risk, normalized by the premium-weighted average systematic risk of the benchmark.
      
A trading strategy based on the excluded expenses yields a large positive abnormal return in the years following the announcement, and persists after controlling for various risk factors and other anomalies.
      
Our results suggest the inclusion of real estate in a corporate portfolio appears to be associated with lower return, higher total risk, higher systematic risk and poorer abnormal return performance.
      
At the time of merger announcements, the rivals earn positive abnormal return on average; at the time of the antitrust complaints, the rivals earn normal returns.
      
We also find that conventional parametric tests to detect changes in the variance of the event-day average abnormal return are misspecified when the null of no change is true.
      
It concludes that tests which use the announcing firm's abnormal return to proxy for the information signal generally overstate the significance of information transfer due to cross-covariation of regression disturbances.
      
The 'after-transaction cost' abnormal return from the short strategy is about 0.5% for the period 1946-94.
      
Specifically, the issuance of SEOs with warrant-based compensation has a significantly less negative impact on abnormal return performance than the issuance of SEOs with cash-based compensation.
      
This paper investigates the determinants of leveraged buyout activity through the use of an abnormal return premium from the time of the first announcement through the final trading day.
      
The unconditional probability of abnormal return is estimated by the EM algorithm.
      
Appraisal of the event's impact requires a measure of the abnormal return.
      
A brief description of his test of no abnormal return for event day zero follows.
      
An important consideration when setting up an event study is the ability to detect the presence of a non-zero abnormal return.
      
Also it is imaginable, that the investor defines an abnormal return limit.
      
As expected, dirty opinions are negatively correlated with cumulative abnormal return, as measured by CAR.
      
By removing the portion of the return that is related to variation in the market's return, the variance of the abnormal return is reduced.
      
Each of those studies found that the mean cumulative abnormal return associated with IT announcements was, on the whole, not positive.
      
Furthermore, we define three additional variables that are useful as control variables in our abnormal return regression tests.
      
First, if the event is partially anticipated, some of the abnormal return behavior related to the event should show up in the pre-event period.
      
Factor models are motivated by the benefits of reducing the variance of the abnormal return by explaining more of the variation in the normal return.
      
 

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