Forms a graphical representation of the pattern of

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Forms a graphical representation of the pattern of abnormal returns to observe the deviation from the mean The Effect of clustering : 1. Event month clustering (government announcement) o Randomly chosen month where an event is likely to affect multiple securities simultaneously o NO abnormal performance models produce consistent results o Abnormal performance Mean adjusted model did the worst 2. Security risk clustering o Grouped sample securities based on systematic risk (high-risk / low- risk) o NO abnormal performance tests unaffected o Abnormal performance - tests unaffected
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8 | P a g e Additional results: The power of the tests increase as the sample size increased but rejection frequencies are less sensitive to different sample sizes
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