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) oRandomly chosen month where an event is likely to affect multiple securities simultaneously oNO abnormal performance –models produce consistent results oAbnormal performance –Mean adjusted model did the worst 2. Security risk clustering oGrouped sample securities based on systematic risk (high-risk / low-risk) oNO abnormal performance –tests unaffected oAbnormal 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