1.Identify the event window (days) and the mean cumulative abnormal return where
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Question
1.Identify the event window (days) and the mean cumulative abnormal return where there is evidence to reject the null hypothesis that the mean CAR equals zero. State the level of statistical significance. use the Portfolio Time Series (CDA) test statistic which employs the test (t-test). Note that you will report the strongest statement you can correctly make about statistical significance. For example, if the p-value is .03, then report "statistically significant at the 5% level.
Days (-30, 30) 1, 0) (0,-1) Market Model Abnormal Returns, Value Weighted Index Mean cumulative Portfolio Abnormal Positive Time-Series Negative (CDA) t p-value Return 3:3 2.696 0.173 8624 1:5 1.022 0.3066 2.886 1:5 10.13 3.598 0003 Generalized Sign Z p-value 0.019 9847 -1.614 0.1066 -1.614 0.1066Explanation / Answer
Level of significance = 0.05
For days (-30,+30) , P-value = 0.9847 i.e. P-value > 0.05 , We fail to Reject Ho & Conclude Statistically Insignificant
For days (-1,0) , P-value = 0.1066 i.e. P-value > 0.05 , We fail to Reject Ho & Conclude Statistically Insignificant
For days (0,+1) , P-value = 0.1066 i.e. P-value > 0.05 , We fail to Reject Ho & Conclude Statistically Insignificant
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