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**The Impact of Toys Recall Announcements on Market Returns
**

Ekanayake, M. Ekanayake Bethune-Cookman University Sengupta, Sunando Bowie State University

ABSTRACT The purpose of this study is to examine empirically the impact of product recall announcements on security prices. The study measures the stock price reaction to recent product recall announcements of some selected firms by examining the abnormal returns associated with these announcements. The sample for this study is based on toy recall announcements and respective stock price reactions between January 1982 and December 2007. Event study methodology common to financial research is used to calculate the cumulative abnormal returns over a 10day event window that included the 10 days prior to, the day of, and the 10 days following the announcement. The results of the study show that the market reactions to toy recall announcements are associated with significant shareholder losses.

Key words: Event study, abnormal returns, market reaction, event window, announcement

The Impact of Toys, Page 1

In their work using recalls of automobiles and drugs (prescription. The recall of a defected product from the market represents the failure of a manufacturer in delivering the promised level of quality. shareholders of competitor firms to the firm with the recalled product(s) also suffered wealth losses. relatively few papers to date have attempted to measure the equity market’s reaction to product recall announcements. Jarrell and Peltzman (1985). Consumer Product Safety Commission ( CPSC ) database. They also concluded that in both industries. Product recalls have been extensively examined in the literature with researchers finding that such actions are typically damaging for shareholder value. The results indicate that the mean cumulative abnormal returns are mostly negative and significant on the days the toy recall announcements are made. and medical devices). Page 2 . Similar to prior studies on product recalls. over the sample period 1974-1982. this paper examines the stock price reaction to recent product recall announcements of some selected firms by examining the abnormal returns associated with these announcements. In this section. Hoffer. However. Crafton. The findings of this study suggest that the toy recall announcements are found to have a significant negative effect on stock prices around the event days. There has been a significant increase in toy recalls in recent years (see Figure 1). Hoﬀer et al. This paper considers toy recalls between 1982 and 2007 for major toy manufacturing companies in the United States as reported in the U. for manufacturers of automobiles and ethical drugs capital market penalized shareholders for more than the direct costs of the recall campaign. Jerrell and Peltzman (1985) concluded that. but neither study investigated the effect of recalls on industry shareholders. Pruitt and Peterson (1986) used a sample of 293 non-automotive product recall and product sales or production-halt announcements and found that security prices continue to react to product recall announcements for approximately two months following the initial news release. while Pruitt and Peterson (1986) and Davidson and Worrell (1992) have similar findings for non-automotive recall announcements. (1987) and Barber and Darrough (1996) all find significant shareholder losses surrounding automotive recall announcements. (1988) and Jarrell and Peltzman (1985) find insignificant shareholder returns surrounding automotive recall announcements. over-the-counter. As Hendricks and Singhal (2003) point out. These findings are consistent with the findings of previous studies on the relationship between the stock prices and product recall announcements. Pruitt. For example. and Reilly The Impact of Toys. using an event-study framework. Review of Literature Although rich literature links security return predictability to variables thought to capture changing business conditions. Hoffer. products recalls may affect firms’ performance and the net cash flows.Journal of Interdisciplinary Business Studies INTRODUCTION The purpose of this study is to examine empirically the impact of toy recall announcements on security prices of a sample of 84 firms over the years 1982-2007.S. and Reilly (1981) and Reilly and Hoffer (1983) found that severe automobile recalls have a significant short-term impact on demand. Earlier. Hoﬀer et al. the findings of some of the studies on product recall announcements are summarized.

ε ˆR ) ˆiτ = Riτ − (α ˆi + β PEiτ ≡ ε i mt with t − 46 1 ˆ R )2 ˆi − β ˆ ε2t = σ ( Riτ − α ∑ i mτ 255 − 2 τ =t − 299 (2) (3) The Impact of Toys. Rupp (2001) found that the market reaction to government-initiated recalls is not associated with larger shareholder losses. [-1. Salin and Hooker (2001) report mixed evidence of security price movements in the wake of recalls while Thomsen and McKenzie (2001) find significant and negative stock price reaction to recalls involving serious health hazards. After constructing an equally-weighted automotive market index to control for industry effects and adjusting the abnormal returns to account for the degree of surprise in the recall announcement. OLS is a consistent estimation procedure for the market model parameters. For example. using the automotive industry recall data during the period 1975-1981. Under standard assumptions. As proxy for the return for the market portfolio Rmt . [-30. Four event windows were defined based on the event date. The event period consists of 61 trading days centered on the product recall announcement event (-30 through +30). identifies the kinds of recalls that cause significant shareholder losses. ˆit . OLS is also efficient. PEiτ . Under the assumption that asset returns are jointly multivariate normal and independently and identically distributed ( iid ). Rupp (2004). using 1973–1998 automotive safety recall data. the study estimates both percentage and real dollar abnormal returns. [+1. Page 3 . In addition to these studies. found that neither shareholders of the firm recalling automobile nor shareholders of competitor firms are significantly affected by product recalls. In a study conducted to examine the stock market reactions to both manufacturer and government-initiated automotive safety recalls using a 26year sample period from 1973 to 1998 involving 734 safety recalls. +2] and [+3. +30]. METHODOLOGY This study employs a standard event study methodology and a standard market model to measure normal performance: Rit = α i + βi Rmt + ε it where E(εit ) = 0 and var (εit ) = σ ε2t (1) The regression coefficients α i and βi are estimated in an ordinary least squares ( OLS ) regression during the estimation period one year (255 trading days) prior to the event period (event days 300 through -46). which represent abnormal returns. there are several studies on the effects of food recalls on company stock prices using the event-study methodology. are simply the OLS residuals. The prediction errors.-2]. In another study. both the CRSP value weighted index and the CRSP equal weighted index is used.Journal of Interdisciplinary Business Studies (1988). 0]. The study finds that the indirect costs of automotive recalls are likely larger than the direct costs.

N = 147 ). the asymptotic variance equals to Var ( AARτ ) = 1 N 2 ∑σ ετ N 2 i =1 (7) The average abnormal returns are aggregated through time to give the cumulative average abnormal return. In other words.. Under the null hypothesis.. Average abnormal returns AARτ are formed by aggregating abnormal returns ARiτ for each event period τ = t − 30. AARτ = 1 N ∑ ARiτ N i =1 (6) Under the assumption that average abnormal returns are independent across securities. the abnormal return is the residual term of the market model calculated on an out of sample basis. abnormal return observations have to be aggregated across securities and through time. var(CAARi (τ 1 . To draw inferences about the average price impact of an event..Journal of Interdisciplinary Business Studies The prediction error.. Given N events (for our sample. conditional on the event window market returns. t − 29.τ = t − 30. var(CAARi (τ 1 . the abnormal returns will be jointly normally distributed with a zero conditional mean and conditional variance: ARiτ ~ N (0. CAARi (τ 1 .τ 2 ) = ∑ AARiτ τ =τ1 τ2 (8) Setting the covariance terms to be zero.τ 2 ) ~ N (0. it is assumed that the contribution of the second component to σ 2 ( ARiτ ) is zero. The first component is the disturbance ˆε2t from (3).t + 29.τ 2 ))) . is used as an estimator of the abnormal return. PEit .τ 2 )) = ∑ var( AARiτ ) i =1 N (9) (10) The Impact of Toys. t − 29. t + 30 be the sample of 61 abnormal returns for firm i in the event window.. Let ARiτ . σ 2 ( ARiτ )) (4) The conditional variance σ 2 ( ARiτ ) has two components. and the second component is additional variance due to sampling error in σ estimating the market model parameters α i and βi : σ 2 ( R − Rm ) 2 1 2 ( ARit ) = σ ε [1 + mt ] t + 2 255 ˆm σ where 1 Rm = 255 t − 46 τ = t − 299 ∑R τ m (5) Since the estimation window is large (255 trading days). Page 4 Hence CAARi (τ 1 . t + 30 .t + 29..

Since on a single day there are two FFTR ringing events involving two firms. it is quite likely that abnormal returns are cross-sectionally 2 correlated across securities. Nevertheless. the test statistic for CAARi (τ1 .τ 2 ) ˆ AAR (τ 2 − τ 1 + 1)σ (13) If clustering is present. it has to be estimated. using σ in (7) to construct test statistics could cause a ˆ ετ potential problem.Journal of Interdisciplinary Business Studies This can be used to test the null hypothesis that the abnormal returns are zero. this portfolio approach will impound any residual cross-sectional correlation in its estimate of portfolio residual’s standard deviation. 2 Because σ ετ is unknown. SARiτ as SARiτ = ARiτ . A common way of addressing this problem is the standardized residual method (Patell. Hence. Under the null hypothesis each SARiτ follows a Student’s t distribution with T-2 degrees of freedom. the abnormal return estimators often have different variances across firms. Summing the SARiτ across the sample yields The Impact of Toys. ˆ σ MLEiτ (14) Where: ˆ MLE τ σ i ⎛ ⎞ 2 ⎜ 1 ⎟ ( R − Rm ) 2 ⎜1 + + t − 46 mτ ⎟ ˆ ετ =σ ⎜ T 2 ⎟ ∑ ( Rmτ − Rm ) ⎟ ⎜ τ =t − 299 ⎝ ⎠ (15) is the maximum likelihood estimate of the variance. Brown and Werner (1985) suggest a ‘crude dependence adjustment’ which uses the variance of portfolio residuals from the estimation period rather than the sum of variances of residuals for individual securities. 1976). Page 5 . Therefore the estimated variance of AARτ is t − 46 2 ˆ AAR σ = t − 46 ∑ τ = t − 299 ( AARτ − AAR )2 255 − 2 where AAR = τ =t − 299 ∑ AARτ 255 (11) The portfolio test statistic for day τ in event time is t= AARτ 2 ˆ AAR σ (12) Assuming time series independence.τ 2 ) is t= CAARi (τ 1 . Define the standardized abnormal return. besides being cross-sectionally correlated.

The data cover a period of twenty one years from January 1982 to December 2007. another 11 companies were eliminated due to unusable data giving us a sample of 84 companies. The portfolio test statistic for day t in event time is t= AARτ ˆ AARτ / N σ ˆ AARτ = where σ 1 N 1 N ( ARiτ − ∑ ARiτ )2 ∑ N − 1 i =1 N i =1 (18) We use the above equation to calculate the Adjusted-t.τ 2 ) = 0 is Z (τ 1 . 580 companies were eliminated since they were not publicly traded companies. But frequently. the U. During the 26-year period from 1982 to 2007. To isolate the equity responses to the recall announcements. Page 6 . events increase the variance of returns. Of the 95 companies selected.S.Journal of Interdisciplinary Business Studies N ASARit = ∑ SARit i =1 where ASARit ~ N (0.τ 2 ) where Zi (τ1 . DATA The data sets to be analyzed are the daily stock prices of 84 companies. Qτ ) (16) The Z-test statistic for the null hypothesis that CAARi (τ 1 . The standardized cross-sectional method is a hybrid of the standardized-residual and the crosssectional approach: Zt = ASARτ ˆ SARτ / N σ ˆ AARτ = where σ 1 N 1 N ( SARiτ − ∑ SARiτ )2 ∑ N − 1 i =1 N i =1 (19) We use the above equation to calculate the Adjusted-Z. so that the event period variance is greater than the estimation period variance. The study used the CRSP daily returns data from EVENTUS software in Wharton Research Database Service. The Impact of Toys. Musumeci and Poulson (1991).τ 2 ) = 1 N ∑ Zi (τ1 .τ 2 ) = i =1 N 1 T − 2 τ =τ1 (τ 2 − τ 1 + 1) T −4 ∑ SAR τ i τ2 (17) The two test statistics so far discussed use the variance estimate from the market model during the estimation period to estimate the variance of the abnormal return estimator. Two common proposals for coping with event-induced variance are the cross-sectional standard deviation method proposed by Brown and Warner (1985) and the standardized cross-sectional test developed by Boehmer. Consumer Product Safety Commission ( CPSC ) published 675 toy recalls. Daily stock price and number of shares outstanding data come from the Center for Research in Security Prices ( CRSP ) at the University of Chicago. The cross-sectional standard deviation method substitutes a daily cross-sectional standard deviation for the portfolio time-series standard deviation.

52 percent. -0. The mean abnormal returns were estimated in two ways: (a) using the market model with equally weighted index. 0]. the toy product recall announcements are found to have a significantly negative effect on stock prices on and around the event days. In conclusion. The results suggest that markets on average tend to react negatively when toy recall announcements are made public. +2]. the mean abnormal returns for three event windows was estimated utilizing the EVENTUS software. the return increases to 0.08 percent mean cumulative abnormal return for the window [-1.61 percent mean cumulative abnormal return for the window [+1. The event date is defined as the date zero. The estimated results for the four event windows and their associated test statistics are presented in Table 1. when market adjusted returns with equally weighted index was used.46 . respectively. The mean cumulative abnormal returns around the event day and the three days following the event day are negative and statistically significant. However.300 to t = . In either case the stock market may be better informed than consumers prior to the press release resulting in reductions in share prices prior to the event days. using equal weighted index as proxy for market portfolio return. We estimate the market model parameters ( α i and βi ) for the 255 days of trading prior to the announcement from t = . +2] and [+3. Since the information contained in the CPSC database may have released before the close of trading on the previous day. the two-day event window includes the prior trading day. 0] but a statistically significant -0. [-1. +30]. +30]. [+1. The results indicate that there is a statistically insignificant -0. Page 7 . Table 2 reports the estimated mean abnormal returns observed for the 84 companies and their associated test statistics.05 percent. The results are somewhat similar when market adjusted returns with equally weighted index was used. ANALYSIS AND FINDINGS A sample of eighty-four companies was used and fitted with a standard market model and calculated the abnormal returns using the following four event windows: [-30. The mean cumulative abnormal returns from days five through eight are also negative but they are not statistically significant. The cumulative abnormal return is the two-day sum of daily average abnormal returns from equation (8).Journal of Interdisciplinary Business Studies The event dates correspond to the press release days for the toy recalls. and (b) using the market adjusted returns with equally weighted index. 2]. and -3. using equal weighted index as proxy for market portfolio return.71 percent for the three event windows. This finding is consistent with the findings of previous studies on the relationship between the stock prices and the product recall announcements. The event period consists of 61 trading days centered on the product recall announcement event (-30 through +30).84 percent mean cumulative abnormal return for the window [+3. The Impact of Toys. Using CRSP data and the market model. Let t index the time in trading days relative to the recall announcement at event day zero. There is also a statistically significant -3. These ‘voluntary’ dates follow significant company analysis and review. for 10 days before and 10 days after the toy recall announcement date. when using equal weighted index as proxy for market portfolio return.

There is also a statistically significant -3. this paper examines the stock price reaction to recent product recall announcements of some selected firms by examining the abnormal returns associated with these announcements. when market adjusted returns with equally weighted index was used. when using equal weighted index as proxy for market portfolio return.Journal of Interdisciplinary Business Studies SUMMARY AND CONCLUSIONS The purpose of this study is to examine empirically the impact of toy recall announcements on security prices of a sample of 84 firms over the years 1982-2007.84 percent mean cumulative abnormal return for the window [+3. The mean cumulative abnormal returns from days five through eight are also negative but they are not statistically significant. using equal weighted index as proxy for market portfolio return. However. the toy product recall announcements are found to have a significantly negative effect on stock prices on and around the event days.05 percent. The Impact of Toys. using equal weighted index as proxy for market portfolio return. our results indicate that the mean cumulative abnormal returns around the event day and the three days following the event day are negative and statistically significant. When all the companies are taken together.61 percent mean cumulative abnormal return for the window [+1. Using an event-study framework.08 percent mean cumulative abnormal return for the window [-1. +30]. respectively. This finding is consistent with the findings of previous studies on the relationship between the stock prices and the product recall announcements. The results indicate that there is a statistically insignificant -0. 0] but a statistically significant -0. Page 8 . +2]. -0.52 percent. the return increases to 0. Similar to prior studies on product recalls. and -3. The mean cumulative abnormal returns were calculated for three event windows using the market model and CRSP data in combination with the eventstudy methodology utilizing the EVENTUS software.71 percent for the three event windows. this study examines how the stock prices respond to toy recall announcements. The results suggest that markets on average tend to react negatively when toy recall announcements are made public. In conclusion.

J.” Journal of Accounting Research. L. S. E. C. Pruitt. 695-711. “Corporate Forecasts of Earnings Per Share and Stock Price Behavior: Empirical Tests. Boehmer. Darrough (1996). 19(3). 28(1). G. E. 246-276. N. 3-31. J. “Automotive Recalls and Informational Efficiency. 104(5). Worrell (1992). Y. Hendricks. Singhal (2003). 1084-1099. J. 13–39. Hoffer. Musumeci.” Journal of Political Economy.” Journal of Political Economy. J. 93(3). 433-442. and A. Pruitt. F. and R. M. 1-21.. MacKinlay (1997). 96–106. 512-536.” Journal of Operations Management. C. Reilly (1994). 51(5)." Economic Inquiry. “Using Daily Stock Returns: The Case of Event Studies. S. "Testing the Impact of Recalls on the Demand for Automobiles. Reilly (1987). MacKinlay. E. 113-122.Journal of Interdisciplinary Business Studies REFERENCES Barber.” The Financial Review. 14(1). Hoffer. G.” International Economic Review. and D. (1976).” Strategic Management Journal. 96(2). S.” Journal of Financial Economics. Fama. Hoﬀer. M. Patell. J. Reilly (1981). L. and V.. 3(3). and M.. Lo. “Event Studies in Economics and Finance. Jarrell. “The Adjustment of Stock Prices to New Information. E. “Event Study Analysis”. and S. and R. and R. Fisher. Poulsen (1991).. C. “Product Reliability and Firm Value: The Experience of American and Japanese Automakers. W. S. A. “The Impact of Product Recalls on the Wealth of Sellers: A Reexamination. G. W.” Journal of Economic Literature. Jensen. 149-180. B.” Journal of Financial Economics. N. S. The Impact of Toys. B. and A.. (1997). Peltzman (1985). Crafton. E. Davidson. G. R. Brown. 22(4). Warner (1985). “Research Notes and Communications: The Eﬀects of Product Recall Announcements on Shareholder Wealth. G. Page 9 . “Event-Study Methodology under Conditions of Event-Induced Variance. Campbell. 467–473.. 1973-1992. 35(1). W. 253-272. 694-703. “The Impact of Product Recalls on the Wealth of Sellers. and R. J. 10(1). Reilly (1988). and J. “The Effects of Supply Chain Glitches on Shareholder Wealth. A. J.” Journal of Political Economy.” The Journal of Consumer Aﬀairs. in The Econometrics of Financial Markets (Princeton University Press: Princeton. Pruitt. K. W. E. Roll (1969). NJ). 30(2). “When Recalls Matter: Factors Aﬀecting Owner Response to Automotive Recalls.. W. M. and R. Hoffer.

Taylor (2002). 265-270. “Are Government Initiated Recalls More Damaging for Shareholders? Evidence from Automotive Recalls. Rupp. 71(2). Page 10 . 50(2). McKenzie (2001). “Will Retarding the Information Flow on Automobile Recalls Affect Consumer Demand?. 21(3). R. G. H. “Market Incentives for Safe Foods: An Examination of Shareholder Losses from Meat and Poultry Recalls. and D. Rupp. Salin. 526-538.” Economic Inquiry. 123–149. 25(1). “Who Initiates Recalls and Who Cares? Evidence from the Automobile Industry. Peterson (1986). (2004). Hoﬀer (1983). J. M. and G. R.” Economic Letters. S. “Security Price Reactions Around Product Recall Announcements. and C.” Journal of Industrial Economics.” American Journal of Agricultural Economics. “Stock Market Reactions to Food Recalls. 113-122. 444–447. 9(2).” Review of Agricultural Economics. N.” Journal of Financial Research.Journal of Interdisciplinary Business Studies Pruitt. R. 82(3). N. M. 21-44. The Impact of Toys. 33-46. (2001). Hooker (2001). N. Reilly. “The Attributes of a Costly Recall: Evidence from the Automotive Industry.” Review of Industrial Organization. 23(2). W. G. Rupp. Thomsen. and A. V. E. G. and N.

Journal of Interdisciplinary Business Studies Figure 1. The Impact of Toys.S. Page 11 . Source: The U. 1982-2008 80 70 60 50 40 30 20 10 0 1982 1984 1986 1988 1990 1992 1994 1996 1998 2000 2002 2004 2006 2008 Note: F igures for 2008 are from J anuary through Augus t 2008. Product Recall database. Number of Toy Recalls. Consumer Product Safety Commission (CPSC).

+30) N 84 84 84 84 Mean Cumulative Abnormal Returns -2.77% -0.01 levels.22% -0. Equally Weighted Index Days (-30. The symbols < and << correspond to the direction of the generalized sign test and statistical significance at the 0.66* -2.19* 1.40** Portfolio Time-Series (CDA) t -1.26 -0.41 -2.77** Portfolio Time-Series (CDA) t -1.77** -3.09 -1.-2) (-1. The Impact of Toys. Page 12 .02% Positive: Negative 32:52< 46:38 30:54< 29:55<< Patell Z -1. +2) (+3.05% -0.19* Note: The symbols * and ** denote statistical significance at the 0.35 -0.05% -0.21 -1.61** Generalized Sign Z -2.61% -3.19 -2. respectively.36% 0.06% Positive: Negative 30:54< 45:39 31:53< 30:54< Patell Z -1. 0) (+1.01 levels.10% -0. 0) (+1.13 -1.77** Generalized Sign Z -1.97* -2.91% -0.37** -3. +2) (+3.86* 1. +30] (a) Market Model.+30) N 84 84 84 84 Mean Cumulative Abnormal Returns -1.05 and 0.Journal of Interdisciplinary Business Studies Table 1: Mean Abnormal Returns of Event Period [-30.68% -4.38 -2. -2) (-1.66% -3.84% Precision Weighted CAAR -1.71% Precision Weighted CAAR -1.08% -0.05 and 0.52** (b) Market Adjusted Returns. Equally Weighted Index Days (-30.52% -3.63 0.30* -2. respectively.74* -0.18 -2.

19 0.28 42:42 0.67 -0.77 0.07% -0.29 -0.08% 45:39 0.50 1.32 -0. +10] Mean Abnormal Return 0.73 0.76 -0.75* -0.98 -0.92 0.10% 34:50< -1.23 -0.98 0.98 0.74 0.29 -0.52 45:39 0.13% 0.20% 44:40 1.07% 0.07 43:41 1.09 0.18% 39:45 -0. << and >> correspond to the direction of the generalized sign test and statistical significance at the 0.82* -0.77 0.10% 32:52<< -1.48% 35:49 -1.55* 31:53<< -1.74 40:44 -2.17% Market Model.31 37:47 -0.16% 0.44 -0.55* 32:52<< -0.25 0.37 -0.00 0.02 -0.43 0.93 -0.65 -0.24 0.30 -0.08% -0.21 0.27 -0.28 42:42 1.10% 45:39 -0.10% 38:46 -0.77 -0.43 37:47 -2.91 -0.05% -0.29% 38:46 0.16% 42:42 -1.50 0.19 45:39 -0. The symbols <.41% -0.70 0.13% 43:41 -0.05% 0. respectively.30 42:42 -0.79* -1.09 -0.08% 0.37 -1.58 -0. Equally Weighted Index Portfolio Positive: Patell Z TimeNegative Series (CDA)t 37:47 -0.43 1.18 -0.32 0.03 32:52<< -1.39 -1.14 -1.17* -1.86* -2.28 1.54 0.32 0.16* 1.40% -0.09 0.76* -0.19% -0.80 -0.Journal of Interdisciplinary Business Studies Table 2: Mean Abnormal Returns Around the Event Day [-10. Page 13 .22 0.11% -0.54 -0.17* -1.40% 0.06 0.77 -1.08% -0.74* -0.60 0.63 Mean Abnormal Return Market Adjusted Returns.56 -1.52 39:45 -0.08 -0.27% -0.65 -0.30* -2.08% 43:41 0.71 0.19 44:40 1.34% 48:36>> 2. The Impact of Toys.10 0.06 -0.76* -0.54 -1.01 levels.43 -0.87 Day -10 -9 -8 -7 -6 -5 -4 -3 -2 -1 0 1 2 3 4 5 6 7 8 9 10 N 84 84 84 84 84 84 84 84 84 84 84 84 84 84 84 84 84 84 84 84 84 Generalized Sign Z -0.02% 42:42 1.30 45:39 -0.55 -0.39** -1.31 45:39 1.20% 41:43 1.05 and 0.26 0.34 0.05 38:46 -1.76* -0.02% 39:45 -0.74* 0.09% 42:42 -0.76 Note: The symbols * and ** denote statistical significance at the 0.28% -0.06* -1.98 0.04% 32:52<< -0.97* 1.28 1.76 0.33 0.28 0.12 -1.58 0.43 -0.42% 32:52<< -2.08% -0. respectively.10 and 0.77 -0.61 0.05 levels.23 0.37 1.21% 40:44 1.32 0.12 44:40 0.44 -0.08* 0.34% 37:47 -2.75 -0. Equally Weighted Index Portfolio Positive: Patell Z TimeGeneralized Negative Series Sign Z (CDA)t 0.39 -0.29% 0.01 -0.80 30:54<< -2.18* -1.96* -1.47 0.31 -0.76* 0.02% 0.61 44:40 0.66 -0.21% -0.86* 0.

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