Table 4:
Abnormal returns around earnings announcement in small/medium/large companies.
Day
Small companies
Medium companies
Large companies
AR
Cumulative Abnormal Returns
(CAR)
AR
Cumulative Abnormal Returns
(CAR)
AR
Cumulative Abnormal Returns
(CAR)
−5
0.1040
0.1040
0.0433
0.0433
0.0234
0.0234
−4
0.1003
0.2043
0.0390
0.0822
0.0269
0.0511
−3
0.1177
0.3219
0.0393
0.1215
0.0318
0.0828
−2
0.1231
0.4450
0.0453
0.1668
0.0358
0.1186
−1
0.1164
0.5614
0.0467
0.2136
0.0346
0.1532
0
0.1261
0.6875
0.0397
0.2533
0.0353
0.1885
1
0.1175
0.8050
0.0409
0.2942
0.0172
0.2057
2
0.1174
0.9225
0.0525
0.3467
0.0287
0.2344
3
0.1120
1.0345
0.0458
0.3925
0.0419
0.2763
4
0.1191
1.1536
0.0384
0.4309
0.0471
0.3234
5
0.1186
1.2722
0.0391
0.4700
0.0495
0.3729
C
A
R
5
,
1
=
0
.
8
0
5
0
C
A
R
5
,
1
=
0
.
2
9
4
2
C
A
R
5
,
1
=
0
.
2
0
5
7
𝑡
-statistic = 2.0576
𝑡
-statistic = 2.0400
𝑡
-statistic =1.8292