Stock specification	Obs.	CLNY trading day event window
[-5,0]	[+1,+10]	[5,+10]
CLNY event CAARs (t-stats)	All	887	-0.032%	-0.361%*	-0.393%
(-0.23907)	(-2.3113)	(-1.8977)
Big	270	-1.125%	-1.528%	-2.652%
(-5.6130)	(-6.5076)	(-8.7393)
Small	262	0.389%	0.916%	1.305%
(1.3823)	(2.6372)	(2.8768)
Winners (>0)	406	-0.830%**	-1.066%**	-1.896%**
(-4.0479)**	(-4.4709)	(-6.0359)
Losers (<0)	481	0.642%**	0.233%	0.875%**
(3.8190)	(1.1502)	(3.3408)
Big winners	168	-1.520%	-1.798%	-3.318%
(-5.5244)	(-6.6645)	(-8.8723)
Big losers	102	-0.473%	-1.083%	-1.556%
(-1.7880)	(-2.5023)	(-3.1159)
Small winners	100	-0.355%	0.051%	-0.304%
(-0.6745)	(0.0799)	(-0.3690)
Small losers	162	0.848%	1.450%	2.298%
(2.6993)	(3.6492)	(4.4646)

A2c) Discuss the predictability of CLNY returns implied by your event study results. (1.5 marks)

A2d) Based on your event study results, recommend a CLNY trading strategy assuming there are no short-selling constraints. (1.5marks)

A2e) What are the practical limitations to implementing this trading strategy? (1 mark)

Answer rating: 100% (QA)

A2c The predictability of CLNY returns implied by the event study results can be analyzed based on t... View the full answer