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Financial Innovation

Table 3 Event study results

From: Effect of blockchain technology initiatives on firms’ market value

 

Day − 1

Day 0

Day 1

[Days − 1 and 0]

[Days 0 and 1]

[Days − 1 to 1]

Panel A: Market model (n = 114)

Mean abnormal return (%)

− 0.95

7.43

− 0.51

6.46

6.91

5.95

Median abnormal return (%)

− 0.26

0.00

0.11

− 0.10

0.28

0.13

% Positive abnormal return

36.84

53.51

52.63

45.61

57.02

54.38

Cross-sectional t test

− 2.77**

2.41*

− 0.91

2.07*

2.33*

1.99*

Patell’s test

− 1.97*

9.92***

0.77

5.62***

7.56***

5.03***

Corrado rank test

− 2.39*

2.52*

0.70

0.09

2.28*

0.48

Wilcoxon signed rank test

− 2.64**

2.03*

− 0.22

0.43

2.26*

1.37

Generalized sign test

− 2.41*

1.13

0.95

− 0.54

1.88a

1.32

Panel B: Market-adjusted model (n = 114)

Mean abnormal return (%)

− 0.92

7.42

− 0.45

6.50

6.97

6.05

Median abnormal return (%)

− 0.31

0.21

0.06

− 0.04

0.37

0.13

% Positive abnormal return

38.60

55.26

52.63

48.25

62.28

50.88

Cross-sectional t test

− 2.59*

2.42*

− 0.77

2.12*

2.38*

2.08*

Patell’s test

− 1.99*

10.24**

0.82

5.83***

7.83***

5.24***

Corrado rank test

− 2.51*

2.39*

0.58

− 0.09

2.10*

0.26

Wilcoxon signed rank test

− 2.58**

2.40*

− 0.10

0.59

2.69**

1.51

Generalized sign test

− 1.90a

1.46

1.27

0.14

2.58**

0.89

Panel C: Mean-adjusted model (n = 114)

Mean abnormal return (%)

− 0.91

7.37

− 0.34

6.46

7.03

6.12

Median abnormal return (%)

− 0.41

0.21

0.10

− 0.22

0.42

0.42

% Positive abnormal return

35.96

56.14

56.14

45.61

62.28

56.14

Cross-sectional t test

− 2.47*

2.38*

− 0.58

2.08*

2.37*

2.07*

Patell’s test

− 1.41

6.30 ***

1.57

4.93***

8.13***

6.87***

Corrado rank test

− 2.41*

2.41*

1.04

0.00

2.44*

0.60

Wilcoxon signed rank test

− 2.74**

2.34*

0.69

0.71

3.31***

1.67a

Generalized sign test

− 2.70**

1.58

1.58

− 0.66

2.89**

1.58

Panel D: Size-adj model (n = 104)

Mean abnormal return (%)

− 0.91

7.26

− 0.17

6.34

7.08

6.17

Median abnormal return (%)

− 0.40

0.21

0.11

− 0.25

0.42

0.42

% Positive abnormal return

36.54

54.81

55.77

45.19

62.50

55.77

Cross-sectional t test

− 2.38*

2.17*

− 0.28

1.89a

2.20*

1.93a

Patell’s test

− 0.74

8.39***

1.37

5.41***

6.90***

5.21***

Corrado rank test

− 2.09*

2.07*

1.69a

− 0.01

2.66**

0.96

Wilcoxon signed rank test

− 2.45*

1.95a

0.83

0.16

3.21**

1.44

Generalized sign test

− 2.73**

0.99

1.19

− 0.97

2.56*

1.19

Panel E: Industry-adj model (n = 114)

Mean abnormal return (%)

− 0.84

7.43

− 0.27

6.59

7.16

6.32

Median abnormal return (%)

− 0.39

0.21

0.09

− 0.11

0.48

0.45

% Positive abnormal return

36.84

56.14

54.39

48.25

62.28

57.02

Cross-sectional t test

− 2.34*

2.40*

− 0.47

2.13*

2.42*

2.15*

Patell’s test

− 0.84

9.02***

1.38

5.79***

7.352***

5.52***

Corrado rank test

− 1.97*

2.55*

1.76a

0.42

3.05**

1.36

Wilcoxon signed rank test

− 2.50*

2.44*

0.67

0.84

3.50***

2.04*

Generalized sign test

− 2.69**

1.43

1.05

− 0.26

2.74**

1.61

  1. The sample size in Panel D is 104 because we could not get the decile rankings information for 10 firms from Wharton Research Data Service
  2. *p < 0.05, **p < 0.01, ***p < 0.001
  3. ap < 0.10
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