Table 3.
Average cumulative abnormal returns (%) of characteristic-sorted portfolios.
| Size | ROE | Price-to-book value | |||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| Window | [−3,3] | [−5,5] | [−7,7] | [−3,3] | [−5,5] | [−7,7] | [−3,3] | [−5,5] | [−7,7] | ||
| Panel A: All events | |||||||||||
| All events | |||||||||||
| Largest | −0.152 | −0.944 | −0.964 | Most profitable | −0.183 | −0.650 | −0.258 | Growth | 2.137** | 2.196** | 2.932** |
| Smallest | −1.150 | −3.166** | −2.383 | Least profitable | −1.278* | −4.059*** | −4.439*** | Value | −1.580** | −5.120*** | −5.100*** |
| Panel B: Negative events | |||||||||||
| All negative events | |||||||||||
| Largest | −1.275 | −1.633 | −1.404 | Most profitable | 0.935 | −0.647 | −1.838 | Growth | 4.237*** | 3.383** | 3.605* |
| Smallest | −0.749 | −3.436** | −4.092** | Least profitable | −2.973** | −5.677*** | −5.844*** | Value | −1.528 | −5.114*** | −5.380*** |
| 1st negative event | |||||||||||
| Largest | −0.042 | −0.124 | −0.898 | Most profitable | 0.653 | −0.237 | −0.717 | Growth | 1.560 | 0.762 | 0.727 |
| Smallest | −0.176 | −1.446 | −2.542** | Least profitable | −0.071 | −0.747 | −1.888 | Value | 0.975 | −0.062 | −0.648 |
| 2nd negative event | |||||||||||
| Largest | −2.507 | −3.143 | −2.800 | Most profitable | 1.216 | −1.057 | −2.960 | Growth | 6.913*** | 6.004** | 6.483* |
| Smallest | −1.321 | −5.426** | −5.643** | Least profitable | −5.700** | −9.982*** | −9.839*** | Value | −4.032** | −10.165*** | −10.112*** |
| Panel C: Positive events | |||||||||||
| All positive events | |||||||||||
| Largest | 0.970 | −0.255 | −0.525 | Most profitable | −1.301 | −0.654 | 1.321 | Growth | 0.037 | 1.009 | 2.259* |
| Smallest | −1.552 | −2.896 | −0.675 | Least profitable | 0.418 | −2.441** | −3.035*** | Value | −1.632** | −5.127*** | −4.820*** |
| 1st positive event | |||||||||||
| Largest | 0.674 | −2.435 | −2.425 | Most profitable | −4.986** | −3.464 | −0.684 | Growth | −0.521 | 2.012 | 4.311* |
| Smallest | −8.369*** | −10.394*** | −5.479** | Least profitable | −5.750** | −9.783** | −5.213** | Value | −7.251*** | −14.208*** | −11.895*** |
| 2nd positive event | |||||||||||
| Largest | 1.266 | 1.925 | 1.376 | Most profitable | 2.384 | 2.156 | 3.327** | Growth | 0.596 | 0.007 | 0.207 |
| Smallest | 5.265*** | 4.602** | 4.130** | Least profitable | 5.362*** | 5.296*** | 3.665** | Value | 3.987*** | 3.954*** | 2.255 |
Notes: This table shows the average cumulative abnormal returns (CAR) (test statistics within parenthesis) for different event windows and for different characteristics-sorted portfolios. Firms characteristics considered are size (market value of equity), price-to-book value ratio, and return on equity (ROE). All the stocks are sorted into quartile portfolios, average CARs are calculated and they are reported for the largest and smallest, most profitable and least profitable, and value and growth portfolios. ∗, ∗∗, ∗∗∗ denote statistical significance at the 10%, 5% and 1% level, respectively. See notes to Table 2 for further details.