Windows | (1) | (2) | (1)-(2) | ||
around | Full | Institutional | Institutional | ||
SEOs | Sample | Ownership | Ownership | ||
(month) | Increased | Decreased | |||
Average Return | 3.887*** | 3.598*** | 4.376*** | -0.778 | |
(-36, 0) | T value | 14.612 | 10.981 | 9.704 | -1.417 |
P value | 0.000 | 0.000 | 0.000 | 0.158 | |
Average Return | 4.452*** | 4.274*** | 4.754*** | -0.480 | |
(-24, 0) | T value | 17.027 | 12.390 | 12.070 | -0.887 |
P value | 0.000 | 0.000 | 0.000 | 0.376 | |
Average Return | 0.869*** | 0.940*** | 0.748*** | 0.192 | |
(-6, 0) | T value | 12.031 | 9.229 | 8.385 | 1.416 |
P value | 0.000 | 0.000 | 0.000 | 0.158 | |
Average Return | 0.105*** | 0.161*** | 0.010 | 0.151*** | |
(0, 1) | T value | 4.484 | 5.314 | 0.285 | 3.182 |
P value | 0.000 | 0.000 | 0.777 | 0.002 | |
Average Return | 0.155*** | 0.238*** | 0.014 | 0.223*** | |
(0, 3) | T value | 4.561 | 5.356 | 0.288 | 3.250 |
P value | 0.000 | 0.000 | 0.774 | 0.001 | |
Average Return | 0.229*** | 0.415*** | -0.087 | 0.502*** | |
(0, 6) | T value | 3.869 | 5.069 | -1.315 | 4.765 |
P value | 0.000 | 0.000 | 0.192 | 0.000 | |
Average Return | 0.252*** | 0.485*** | -0.141* | 0.626*** | |
(0, 9) | T value | 3.451 | 4.668 | -1.959 | 4.951 |
P value | 0.001 | 0.000 | 0.053 | 0.000 | |
Average Return | 0.197** | 0.437*** | -0.209*** | 0.646*** | |
(0, 12) | T value | 2.457 | 3.784 | -2.772 | 4.684 |
P value | 0.015 | 0.000 | 0.007 | 0.000 | |
Average Return | 0.110 | 0.237** | -0.106 | 0.344** | |
(0, 18) | T value | 1.570 | 2.528 | -1.097 | 2.546 |
P value | 0.118 | 0.013 | 0.276 | 0.012 | |
Average Return | 0.073 | 0.113** | 0.005 | 0.108 | |
(0, 24) | T value | 1.623 | 2.409 | 0.055 | 1.054 |
P value | 0.106 | 0.017 | 0.957 | 0.294 | |
Note: |