Table 4: Abnormal returns around earnings announcement in small/medium/large companies.


Day
Small companiesMedium companiesLarge companies
ARCumulative Abnormal Returns
(CAR)
ARCumulative Abnormal Returns
(CAR)
ARCumulative Abnormal Returns
(CAR)

−50.10400.10400.04330.04330.02340.0234
−40.10030.20430.03900.08220.02690.0511
−30.11770.32190.03930.12150.03180.0828
−20.12310.44500.04530.16680.03580.1186
−10.11640.56140.04670.21360.03460.1532
00.12610.68750.03970.25330.03530.1885
10.11750.80500.04090.29420.01720.2057
20.11740.92250.05250.34670.02870.2344
30.11201.03450.04580.39250.04190.2763
40.11911.15360.03840.43090.04710.3234
50.11861.27220.03910.47000.04950.3729
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