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In finance, an abnormal return is the difference between the actual return of a security and the expected return.Abnormal returns are sometimes triggered by "events." Events can include mergers, dividend announcements, company earning announcements, interest rate increases, lawsuits, etc. all of which can contribute to an abnormal return.
For firms that report good news in quarterly earnings, their abnormal security returns tend to drift upwards for at least 60 days following their earnings announcement. Similarly, firms that report bad news in earnings tend to have their abnormal security returns drift downwards for a similar period. This phenomenon is called post-announcement ...
Methodologically, event studies imply the following: Based on an estimation window prior to the analyzed event, the method estimates what the normal stock returns of the affected firm(s) should be at the day of the event and several days prior and after the event (i.e., during the event window).
Despite a rapidly changing tech landscape, few investors are likely to dispute the assertion that Apple (NASDAQ: AAPL) stock will remain a long-term winner. While its artificial intelligence (AI ...
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Additionally, the concept of liquidity is a critical component to capturing "inefficiencies" in tests for abnormal returns. Any test of this proposition faces the joint hypothesis problem, where it is impossible to ever test for market efficiency, since to do so requires the use of a measuring stick against which abnormal returns are compared ...
US retailers lost a little over $100 billion in return fraud, or around $13.70 for every $100 returned, up from $10.40 per $100 in 2022. Major retailers are frequent targets of such scams.
In finance, Jensen's alpha [1] (or Jensen's Performance Index, ex-post alpha) is used to determine the abnormal return of a security or portfolio of securities over the theoretical expected return. It is a version of the standard alpha based on a theoretical performance instead of a market index .