. 2021 Oct 4;47(4):785–816. doi: 10.1057/s41288-021-00243-5

Table 6.

BMP-adjusted test statistics for different lengths of the event window

	Full sample
	2 Apr	3 Apr	6 Apr	7 Apr	8 Apr	9 Apr	14 Apr
Average cumulative st. abnormal return	0.6636	− 2.0294	− 1.4901	0.5268	− 0.4456	0.5085	− 1.0488
Test statistic t_{AD_BMP}	1.4635	− 3.1579	− 1.8877	0.5760	− 0.4341	0.4503	− 0.8560
Cumulative distribution function (%)	92.3327	0.1032	3.2762	71.2938	33.5957	66.9798	20.1824
Significance of negative st. abnormal return		***	**

	Reduced sample
	2 Apr	3 Apr	6 Apr	7 Apr	8 Apr	9 Apr	14 Apr
Average cumulative st. abnormal return	3.3784	0.1056	− 0.4358	1.1337	0.6584	1.6642	− 0.3047
Test statistic t_{AD_BMP}	6.2718	0.1383	− 0.4648	1.0434	0.5400	1.2406	− 0.2093
Cumulative distribution function (%)	100.0000	54.8852	33.9972	82.2826	68.4139	86.4606	42.6294
Significance of negative st. abnormal return

	Residual sample
	2 Apr	3 Apr	6 Apr	7 Apr	8 Apr	9 Apr	14 Apr
Average cumulative st. abnormal return	− 0.3545	− 2.8300	− 1.8854	0.2993	− 0.8596	0.0751	− 1.3278
Test statistic t_{AD_BMP}	− 0.7373	− 4.1529	− 2.2526	0.3086	− 0.7898	0.0627	− 1.0220
Cumulative distribution function (%)	23.8897	0.0032	1.5047	61.6811	22.3500	52.4082	16.2543
Significance of negative st. abnormal return		***	**

Test statistics are calculated according to Formula (12). Each column represents the event window starting from 2 April and ending on the day reported in the header of the column. ***, ** and * represent a confidence level lower than 1%, 5% and 10% for the significance of negative abnormal return, respectively

Source own calculations