Skip to main content

Table 2 This table summarizes the AAR, CAAR, AbsAAR, CAbsAAR, AAV and CAAV on and around the date of the announcement of Pfizer’s COVID-19 vaccine for the companies listed on the DJIA index. Results obtained using factor returns from DJIA

From: Analysis of an event study using the Fama–French five-factor model: teaching approaches including spreadsheets and the R programming language

Event Day

N = 30

N = 30

N = 30

Panel 1

Panel 2

Panel 3

AAR (%)

Corrado

AbsAAR (%)

Corrado

AAV (%)

Corrado

-2

− 0.060

− 0.2674

0.073

0.7734

− 2.90

0.1427

-1

0.050

0.5784

− 0.147

− 0.3867

− 22.80

− 1.1558

0

0.317

− 0.5037

1.901

3.9270***

93.50

2.3924**

1

0.199

1.5175

0.590

1.9894**

34.90

1.6322

2

0.001

0.4664

0.016

− 0.0837

− 8.40

− 0.2597

Period

N = 30

N = 30

N = 30

Panel 1

Panel 2

Panel 3

CAAR (%)

Corrado

CAbsAAR (%)

Corrado

CAAV (%)

Corrado

[− 2,0]

0.307

− 0.1113

1.828

2.4906**

67.60

0.7964

[− 1,0]

0.367

0.0528

1.754

2.5034**

70.60

0.8744

[0,1]

0.515

0.7168

2.491

4.1836***

128.40

2.8459***

[0,2]

0.517

0.8546

2.507

3.3676***

119.90

2.1737**

  1. Source: Created by authors
  2. Asterisks indicate significance at the 5% (**) and 1% (***) levels