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For much of his career, Tadas Viskanta has taken the traditional path in finance. He was even the founder of a hedge fund. Then in 2005, he made a big change -- starting an investment blog. It was ...
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.
r it is return to stock i in period t r f is the risk free rate (i.e. the interest rate on treasury bills) r mt is the return to the market portfolio in period t is the stock's alpha, or abnormal return is the stock's beta, or responsiveness to the market return
Thereafter, the method deducts this 'normal returns' from the 'actual returns' to receive 'abnormal returns' attributed to the event. Event studies, however, may differ with respect to their specification of normal returns. The most common model for normal returns is the 'market model' (MacKinlay 1997).
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 .
It’s no wonder Jeff Bezos holds over $70 million in art — this alternative asset has outpaced the S&P 500 since 1995, delivering an average annual return of 11.4%. Here’s how everyday ...
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 drift. This was initially proposed by the information content study of Ray J. Ball & P. Brown, 'An empirical evaluation of accounting income numbers', Journal of ...
Bourbon Street has long been party central, and little changed in the hours after Surgeon General Vivek Murthy on Friday outlined the direct link between alcohol consumption and increased cancer risk.