Cools, Kees; Praag, Mirjam van - 2007
,
especially relevant if the information is released shortly before the stock market closes.
The estimation window covers the … expected return to share i, Ki, where Ki =
N
1 ∑−
−=
1
Nd
Ri,t, and the estimation window is measured over the interval [-N … event window,
iV = the average daily trading volume of company i during the estimation window, and tAVi, = the
abnormal …
