Month | AR | CAR | BHAR |
---|---|---|---|
1 | 0.0372 | 0.0217 | −0.2122 |
6 | −0.0065 | 0.0183 | −0.2818 |
12 | −0.0089 | −0.0173 | −0.2649 |
18 | −0.0038 | −0.1923 | −0.2910 |
24 | −0.0194 | −0.2176 | −0.3570 |
30 | −0.0172 | −0.2587 | −0.3890 |
36 | −0.0190 | −0.3287 | −0.4255 |
42 | −0.0256 | −0.3834 | −0.5352 |
48 | −0.0289 | −0.4218 | −0.6388 |
Panel A: Cumulative Abnormal Return (CAR) | ||||||
CAR | Event window | Mean | Std. dev. | Skewness-adjusted | ||
Value | Probability | |||||
60 | 1 | 0.0348 | 0.5387 | 0.345 | 0.545 | |
60 | 6 | −0.0217 | 0.5487 | −0.254 | 0.765 | |
57 | 12 | −0.0276 | 0.6742 | −0.194 | 0.798 | |
52 | 24 | −0.0354 | 0.6198 | −0.543 | 0.802 | |
48 | 36 | −0.0375 | 0.7342 | −0.587 | 0.823 | |
45 | 48 | −0.0403 | 0.7432 | −0.687 | 0.837 | |
Panel B: Buy-and-Hold Abnormal Return (BHAR) | ||||||
Event window | Mean | Std. dev. | Skewness-adjusted | |||
Value | Probability | |||||
BHAR | 60 | 1 | −0.0438 | 0.5398 | −1.453 | 0.156 |
60 | 6 | −0.0563 | 0.4329 | −1.209 | 0.196 | |
57 | 12 | −0.0597 | 0.4034 | −1.438 | 0.065 | |
52 | 24 | −0.0632 | 0.5932 | −1.621 | 0.145 | |
48 | 36 | −0.0698 | 0.6109 | −0.954 | 0.117 | |
45 | 48 | −0.7046 | 0.6543 | −0.974 | 0.146 |
Models | Test statistics | Other features |
---|---|---|
Market model Market adjusted Comparison period mean adjusted Capital Asset Pricing Model (CAPM) Fama–French 3-factor model Fama–French–momentum 4-factor model Fama–French 5-factor model |
T test Cross-sectional T Crude dependence adjustment T Patell Z Adjusted Patell Z BMP/standardized cross-sectional test Adjusted standardized cross-sectional test Skewness corrected Rank Z Generalized rank Z Generalized rank T Sign Z Generalized sign Z Wilcoxon |
Automatic non-trading day adjustments Choice between simple and log returns Optional data file creation service |
First benchmark: Amman Stock Exchange Index (ASEI) | Null hypothesis | Result |
---|---|---|
AR | (H01: AR = 0, when ASEI is a benchmark) | Rejected |
CAR | (H02: CAR = 0, when ASEI is a benchmark) | Rejected |
BHAR | (H03: BHAR = 0, when ASEI is a benchmark) | Rejected |
Second benchmark: Matching Firm approach (MF) | Null hypothesis | Result |
AR | (H04: AR = 0, when MF is a benchmark) | Rejected |
CAR | (H05: CAR =0, when MF is a benchmark) | Accepted |
BHAR | (H06: BHAR = 0, when MF is a benchmark) | Accepted |
Third benchmark: FF3F model | Null hypothesis | Result |
AR | (H07: AR = 0, when FF3F is a benchmark) | Rejected |
CAR | (H08: CAR = 0, when FF3F is a benchmark) | Accepted |
BHAR | (H09: BHAR = 0, when FF3F is a benchmark) | Accepted |
No. of months | Mean | Median | Std. deviation | Minimum | Maximum | |
---|---|---|---|---|---|---|
Benchmark A: ASEI model | ||||||
AR | 48 | −0.00466 | −0.004 | 0.00843 | −0.023 | 0.004 |
CAR | 48 | −0.0743 | −0.065 | 0.02659 | −0.105 | 0.002 |
BHAR | 48 | −0.2879 | −0.087 | 0.47632 | −0.765 | −0.007 |
Benchmark B: FF3F model | ||||||
AR | 48 | −0.00987 | −0.0906 | 0.009065 | −0.018 | 0.037 |
CAR | 48 | −0.12845 | −0.1356 | 0.150986 | −0.280 | 0.047 |
BHAR | 48 | −0.15709 | −0.0678 | 0.169874 | −0.290 | −0.027 |
Benchmark C: Matching Firm (MF) model | ||||||
AR | 48 | −0.00526 | −0.013 | 0.006123 | −0.055 | 0.022 |
CAR | 48 | −0.07853 | −0.042 | 0.065430 | −0.149 | 0.018 |
BHAR | 48 | −0.45789 | −0.076 | 0.664091 | −0.746 | −0.009 |
Month | AR% | CAR% | BHAR% |
---|---|---|---|
1 | 0.0017 | 0.0018 | −0.0252 |
6 | −0.0031 | −0.0606 | −0.0422 |
12 | −0.0026 | −0.0702 | −0.0482 |
18 | −0.0016 | −0.0813 | −0.0592 |
24 | −0.0051 | −0.0925 | −0.0512 |
30 | −0.0025 | −0.1037 | −0.0522 |
36 | −0.0002 | −0.1215 | −0.0572 |
42 | 0.0024 | −0.1253 | −0.0632 |
48 | 0.0031 | −0.01453 | −0.0663 |
Factor | Test name | Test statistic | Conclusion | |
---|---|---|---|---|
ASEI-AR | Augmented Dickey–Fuller | −4.943 | 0.000 | Stationary |
Phillips–Perron (PP) | −5.126 | 0.000 | Stationary | |
FF3F-AR | Test name | Test statistic | Conclusion | |
Augmented Dickey–Fuller | −7.246 | 0.000 | Stationary | |
Phillips–Perron (PP) | −7.246 | 0.000 | Stationary | |
MF-AR | Test name | Test statistic | Conclusion | |
Augmented Dickey–Fuller | −5.759 | 0.000 | Stationary | |
Phillips–Perron (PP) | −5.759 | 0.000 | Stationary | |
SMB | Test name | Test statistic | Conclusion | |
Augmented Dickey–Fuller | −6.630 | 0.000 | Stationary | |
Phillips–Perron (PP) | −6.630 | 0.000 | Stationary | |
HML | Test name | Test statistic | Conclusion | |
Augmented Dickey–Fuller | −8.089 | 0.000 | Stationary | |
Phillips–Perron (PP) | −8.089 | 0.000 | Stationary | |
RM-RF | Test name | Test statistic | Conclusion | |
Augmented Dickey–Fuller | −9.591 | 0.000 | Stationary | |
Phillips–Perron (PP) | −9.591 | 0.000 | Stationary |
Month | AR% | CAR% | BHAR% |
---|---|---|---|
1 | 0.00394 | 0.00434 | −0.00366 |
6 | 0.00034 | −0.02576 | −0.04566 |
12 | 0.00034 | −0.03256 | −0.05466 |
18 | −0.00046 | −0.04196 | −0.05266 |
24 | −0.00106 | −0.05276 | −0.06266 |
30 | −0.00216 | −0.10406 | −0.33026 |
36 | −0.00306 | −0.11316 | −0.75646 |
42 | −0.00336 | −0.15736 | −0.79406 |
48 | −0.00396 | −0.18516 | −0.82226 |
Panel A: Amman Stock Exchange Index (ASEI) | ||||||
AR | Mean | Std. dev. | df | P-value | ||
48 | −0.0095 | 0.00763 | 47 | −4.246 | 0.0000* | |
Panel B: Matching Firm (MF) | ||||||
AR | Mean | Std. dev. | df | P-value | ||
48 | −0.0057 | 0.00629 | 47 | −3.76 | 0.023** | |
Panel C: FF3F model | ||||||
AR | Mean | Std. dev. | df | P-value | ||
48 | −0.0048 | 0.00953 | 47 | −3.051 | 0.037** |
Panel A: Cumulative Abnormal Return (CAR) | ||||||
Event window | Mean | Std. dev. | Skewness-adjusted test statistics | |||
CAR | 60 | 1 | 0.0310 | 0.1872 | 1.342 | 0.804 |
60 | 6 | −0.0106 | 0.1183 | −1.128 | 0.073*** | |
57 | 12 | −0.0189 | 0.1409 | −1.501 | 0.100*** | |
52 | 24 | −0.0264 | 0.1865 | −1.809 | 0.061*** | |
48 | 36 | −0.0329 | 0.2165 | −1.703 | 0.069*** | |
45 | 48 | −0.0358 | 0.2360 | −1.648 | 0.073*** | |
Panel B: Buy-and-Hold Abnormal Return (BHAR) | ||||||
Event window | Mean | Std. dev. | Skewness-adjusted test statistics | |||
BHAR | 60 | 1 | −0.0863 | 0.8375 | −1.295 | 0.087*** |
60 | 6 | −0.0801 | 0.6429 | −1.571 | 0.094*** | |
57 | 12 | −0.0697 | 0.4385 | −1.604 | 0.045** | |
52 | 24 | −0.0954 | 0.6241 | −1.783 | 0.050** | |
48 | 36 | −0.1058 | 0.7410 | −1.301 | 0.075*** | |
45 | 48 | −0.1164 | 0.8642 | −1.542 | 0.075*** |
Panel A: Cumulative abnormal return (CAR) | ||||||
CAR | Event window | Mean | Std. dev. | Skewness-adjusted t-test | ||
Month | Value | Probability | ||||
60 | 1 | 0.01745 | 0.0653 | 2.583 | 0.000* | |
60 | 6 | 0.0356 | 0.0863 | 4.876 | 0.000* | |
57 | 12 | −0.0253 | 0.0674 | −4.345 | 0.000* | |
52 | 24 | −0.0186 | 0.0872 | −5.201 | 0.000* | |
48 | 36 | −0.0232 | 0.0765 | −4.934 | 0.001* | |
45 | 48 | −0.0393 | 0.0654 | −3.682 | 0.010* | |
Panel B: Buy-and-hold abnormal return (BHAR) | ||||||
BHAR | Event window | Mean | Std. dev. | Skewness-adjusted t-test | ||
month | Value | Probability | ||||
60 | 1 | −0.0342 | 0.0854 | −2.198 | 0.004* | |
60 | 6 | −0.0365 | 0.0574 | −2.634 | 0.006* | |
57 | 12 | −0.0426 | 0.0986 | −2.483 | 0.009* | |
52 | 24 | −0.0454 | 0.0793 | −2.089 | 0.003* | |
48 | 36 | −0.0489 | 0.0845 | −2.762 | 0.007* | |
45 | 48 | −0.0559 | 0.0949 | −2.438 | 0.005* |