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3. Proj Rdg. SAR Calculation

3. Proj Rdg. SAR Calculation

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Published by Arathi Sundarram

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Published by: Arathi Sundarram on Feb 20, 2013
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01/18/2014

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Maximumestimation event Likelihoodtime
AK
period window estimate o
ARG
(relative to the Firm S&P 500 Firm Market the variance Firm S&P 500event date) return return Residuals Residuals used in SAR return return-115 -0.01563 -0.00526 -0.01397 -0.02457 0.003855-114 -0.03038 -0.01149 -0.02241 0.039986 0.005095-113 0.001622 0.00326 -0.00535 0.008567 0.012907-112 0.008875 -0.01748 0.022912 0.03447 -0.0106-111 -0.00322 -8.4E-05 -0.0068 0.011834 0.005442-110 0.00161 0.005671 -0.00781 -0.01642 -0.00944-109 -0.00242 0.000949 -0.00705 -0.00092 -0.00839-108 -0.00161 -0.00384 -0.0014 0.024558 0.001163-107 -0.02702 -0.00737 -0.02323 0 -0.01141-106 0.020535 0.003085 0.013737 -0.0027 -0.01766-105 0.011318 -0.0168 0.02467 -0.00905 -0.00453-104 0.011986 0.008091 0.000117 0.007246 -0.0049-103 -0.01118 -0.01215 -0.00254 -0.05281 0.003428-102 -0.00564 0.006932 -0.01633 0.052814 0.008671-101 -0.04798 -0.00277 -0.04885 -0.00452 0.0113-100 -0.03536 0.019464 -0.05875 -0.05497 -0.00949-99 0.009611 -0.00484 0.010842 0.004778 -0.00552-98 -0.03091 -0.01512 -0.01926 0 -0.00151-97 -0.02268 -0.01121 -0.01499 0.04383 -0.00469-96 0.086935 -0.01715 0.100638 0.043737 0.012416-95 0.127732 0.004022 0.119986 0.038549 -0.00149-94 0.027019 -0.00056 0.023919 -0.02985 0.010028-93 0.022793 -0.00106 0.020195 0.008621 -0.00184-92 0.020907 -0.02264 0.040177 -0.00949 -0.0124-91 -0.06114 -0.01881 -0.04575 -0.05706 -0.02378-90 -0.02524 0.006207 -0.0352 0.004577 0.006855-89 -0.02281 -0.05047 0.024643 -0.01379 -0.0145-88 0.052446 -0.00582 0.054673 0.031893 -0.00113-87 -0.05245 -0.01624 -0.03966 0.05071 0.023415-86 -0.05129 -0.03155 -0.023 0.013548 0.006222-85 -0.07131 -0.01922 -0.05551 0.007541 -0.01094-84 0.002605 0.038243 -0.03981 0.020653 0.009922-83 -0.16769 0.008751 -0.18022 0.033765 -0.00556-82 -0.00514 -0.00518 -0.00357 0.011788 0.006035-81 -0.0114 0.011424 -0.02665 -0.00863 -0.00344-80 0.109523 0.021685 0.083882 -0.05092 -0.0165-79 -0.05771 -0.0023 -0.05905 -0.00332 -0.01641-78 -0.00995 0.012231 -0.02601 -0.01678 0.015952-77 0.00995 0.019731 -0.01371 0.031643 0.010395-76 0.014742 -0.00247 0.013578 -0.02658 0.0024-75 0.070618 0.001635 0.06529 0.008382 -0.00108-74 0.197359 -0.00838 0.202177 -0.00418 0.005555-73 0.006694 -0.00537 0.008463 0.03864 0.003873-72 0.052701 0.022679 0.026053 0.004024 0.003956-71 0.066646 0.015094 0.047683 0.004008 -0.00526-70 -0.01058 -0.00528 -0.0089 -0.02265 -0.01149-69 -0.00266 -0.00153 -0.00478 0.031416 0.00326
 
-68 -0.01005 0.006912 -0.02072 -0.02896 -0.01748-67 -0.05823 -0.01881 -0.04285 0.038435 -8.4E-05-66 -0.01076 -0.0079 -0.00643 0.018678 0.005671-65 0.005755 0.004547 -0.00252 -0.00541 0.000949-64 0.044888 0.01518 0.025838 0.030537 -0.00384-63 0.015652 -0.00471 0.016751 -0.01898 -0.00737-62 -0.01771 0.000387 -0.02178 -0.01934 0.003085-61 -0.02435 0.013628 -0.04183 0.015504 -0.0168-60 0.022974 0.0041 0.015148 0.052446 0.008091-59 -0.04793 -0.02411 -0.02718 -0.0214 -0.01215-58 -0.0595 -0.01731 -0.04563 -0.00374 0.006932-57 0.030191 -9.4E-06 0.026529 0.003736 -0.00277-56 0.033629 0.022689 0.006971 0.002235 0.019464-55 -0.01521 0.002855 -0.02178 0.000744 -0.00484-54 0.010889 0.014283 -0.00725 -0.00447 -0.01512-53 0.024957 0.014422 0.006675 0.022157 -0.01121-52 -0.00282 -0.00274 -0.00372 0.015223 -0.01715-51 0.020273 0.002453 0.014117 0.010734 0.004022-50 0.01238 0.001581 0.007106 0.018336 -0.00056-49 -0.00205 -0.00177 -0.00393 -0.01905 -0.00106-48 0.060463 0.018393 0.038158 -0.00428 -0.02264-47 0.061875 0.001859 0.05632 -0.02756 -0.01881-46 0.007246 0.000902 0.002661 -0.01706 0.006207-45 -0.0012 -0.00315 -0.00169 -0.09651 -0.05047-44 0.003608 0.01084 -0.01105 0.00902 -0.00582-43 -0.03419 -0.00732 -0.03044 -0.02479 -0.01624-42 -0.00936 -0.00494 -0.00803 -0.08284 -0.03155-41 -0.00125 0.011638 -0.01672 -0.06188 -0.01922-40 0.015572 0.006136 0.005684 0.070925 0.038243-39 0.00984 -0.00687 0.013125 0.079627 0.008751-38 -0.0273 -0.01842 -0.01231 -0.00167 -0.00518-37 -0.00189 0.010297 -0.01599 0.077732 0.011424-36 0.032241 -0.00066 0.029236 0.022867 0.021685-35 -0.02721 -0.00842 -0.02236 -0.03684 -0.0023-34 0.036323 0.013101 0.019379 0.036088 0.012231-33 0.027432 0.022073 0.001398 0.020896 0.019731-32 0.023257 -0.00278 0.022403 -0.00741 -0.00247-31 -0.01915 -0.00756 -0.01516 0.004454 0.001635-30 -0.02191 -0.016 -0.00938 -0.00074 -0.00838-29 -0.003 -0.00278 -0.00385 -0.00595 -0.00537-28 0.007777 0.000273 0.00383 0.016273 0.022679-27 -0.02596 -0.01568 -0.01375 0.01167 0.015094-26 -0.02101 0.003309 -0.02804 -0.02125 -0.00528-25 0.021014 0.009985 0.007227 -0.01493 -0.00153-24 0.016379 0.007518 0.005091 0.014926 0.006912-23 0.007791 0.005793 -0.00175 -0.03161 -0.01881-22 -0.01504 -0.00841 -0.01019 -0.00845 -0.0079-21 0.025136 0.004342 0.017066 0.001541 0.004547-20 0.009412 -0.00021 0.005953 0.014521 0.01518-19 -0.00176 0.004115 -0.0096 -0.00609 -0.00471-18 0.018019 0.006729 0.00753 0.011385 0.000387-17 0.019396 0.003356 0.012324 -0.00758 0.013628
 
-16 -0.01136 -0.01121 -0.00368 0.035851 0.0041-15 0.003423 0.005724 4.016E-05 0.00170033 -0.02376 -0.02411-14 -0.00457 0.009138 9.51E-05 0.00170587 0.014174 -0.01731-13 0.021506 0.006194 4.634E-05 0.00170095 -0.00371 -9.4E-06-12 0.01169 -0.00652 3.488E-05 0.0016998 0.003711 0.022689-11 -0.01505 -0.00359 8.887E-06 0.00169718 0.01105 0.002855-10 -0.00846 -0.00481 1.761E-05 0.00169806 0.002926 0.014283-9 0.012388 0.00122 3.362E-06 0.00169662 -0.01398 0.014422-8 -0.00956 -0.00951 7.92E-05 0.00170427 -0.01869 -0.00274-7 -0.00396 -0.0063 3.229E-05 0.00169954 0.006769 0.002453-6 0.015199 0.006811 5.512E-05 0.00170184 0.043995 0.001581-5 -0.0569 -0.01638 0.0002485 0.00172134 -0.00576 -0.00177-4 -0.00534 0.00998 0.0001122 0.0017076 0.019293 0.018393-3 -0.02224 -0.00997 8.757E-05 0.00170511 -0.02363 0.001859-2 -0.00793 -0.00736 4.553E-05 0.00170087 0.00722 0.000902-1 0.002448 0.007893 7.237E-05 0.00170358 0.024868 -0.003150 0.033066 0.003513 1.703E-05 0.001698 0.051293 0.010841 -0.01549 0.000998 2.596E-06 0.00169654 -0.00803 -0.007322 -0.00723 -0.00019 1.761E-07 0.0016963 0.001343 -0.004943 -0.0439 -0.02903 0.0008075 0.00177769 0.012008 0.0116384 -0.02367 0.011679 0.0001511 0.00171152 0.014483 0.0061365 0.036853 0.014824 0.0002383 0.00172031 0.022618 -0.006876 -0.00626 -0.0071 4.212E-05 0.00170053 -0.0077 -0.018427 -0.0502 -0.02505 0.000597 0.00175648 -0.00387 0.0102978 -0.01329 -0.00405 1.179E-05 0.00169747 -0.02421 -0.000669 0.004005 -0.00599 2.891E-05 0.0016992 -0.00865 -0.0084210 0.063872 -0.00309 6.119E-06 0.0016969 0.010631 0.01310111 0.04282 0.014749 0.000236 0.00172008 0.026738 0.02207312 0.015449 0.014238 0.0002206 0.00171852 -0.01165 -0.0027813 0 -0.004 1.147E-05 0.00169744 0.000651 -0.0075614 0.0302 0.009892 0.0001104 0.00170741 -0.01839 -0.01615 -0.02491 -0.00182 1.447E-06 0.00169643 0.023577 -0.00278
Estimation Period Statistics:
 Alpha
0.00367
 Beta
1.0131
Variance in the Firm Residuals
0.00168
 Variance in the Market Residuals 0.016658
Other:
(intermediate calculations to get the Z-statistics on TSAR)Qt 1.020833 time
Abnormal
(relative to the
Returns
event date)
AKARGAGNAHCAMHAXEABIONE
-15 -0.00605 0.006312 -0.00123 0.0425146 -0.0183425 -0.01818 0.01447 0.001747-14 -0.0175 0.034462 -0.00305 -0.019078 -0.0089082 0.008367 -0.00358 -0.00985-13 0.01156 -0.00835 -0.02678 0.0132051 0.02944433 -0.02679 0.036233 0.008194-12 0.014624 -0.03362 -0.03907 -0.000753 -0.0182634 -0.02019 0.002114 -0.01639

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