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Appendix Abnormal Returns Statistical test of abnormal returns are commonly based on the crossaverage of each measure. For cumulative abnormal returns the crosssectional average is: CAAR τH , τS a 1 T R:BC LH , LS N bWH Whereas, the mean buy-and hold abnormal return is: cccccccc YZ:B LH , LS a 1 T YZ:BC LH , LS N bWH For a detailed discussion of the difference between the two measures you may consult Barber and Lyon (1997) or Ritter (1991). 62
