The Pricing of Portuguese Privatisation Second Initial Public Offerings

Table 3

Time series of short aftermarket returns.

Day	RP	RPC	AR	CAR	t-stat
1	0,10%	0,10%	−1,94%	−1,94%	−3,4223***
2	−0,29%	−0,20%	−0,30%	−2,24%	−2,79607***
3	0,57%	0,37%	0,66%	−1,58%	−1,61227*
4	−0,56%	−0,19%	−0,58%	−2,16%	−1,91131**
5	−0,61%	−0,80%	−0,64%	−2,80%	−2,21277**
6	−0,10%	−0,91%	−0,07%	−2,87%	−2,07011**
7	0,11%	−0,79%	0,14%	−2,73%	−1,82266**
8	−0,32%	−1,11%	−0,34%	−3,06%	−1,91544**
9	−1,19%	−2,29%	−1,15%	−4,21%	−2,48126**
10	−0,55%	−2,84%	−0,32%	−4,52%	−2,53021**
11	0,05%	−2,79%	0,14%	−4,39%	−2,33869**
12	0,16%	−2,63%	−0,11%	−4,49%	−2,29428**
13	−0,60%	−3,23%	−0,73%	−5,22%	−2,56099***
14	−0,56%	−3,79%	−0,98%	−6,20%	−2,92888***
15	−0,79%	−4,57%	−0,34%	−6,54%	−2,98669***
16	−0,20%	−4,78%	−0,86%	−7,40%	−3,27031***
17	0,13%	−4,64%	−0,17%	−7,57%	−3,24524***
18	−0,10%	−4,74%	−0,22%	−7,79%	−3,24546***
19	−0,08%	−4,82%	0,05%	−7,73%	−3,13736***
20	0,08%	−4,74%	0,07%	−7,66%	−3,02886***

The table reports values of average return of EW PSIPO portfolio, gross (RP and RPC) and abnormal (AR and CAR), period (RP and AR) and cumulative (RPC and CAR), for days 1 to 20. ***, **, and * denote, respectively, a return statistically different from zero for 1%, 5%, and 10% significance levels.