Page 57 of 140
Page 58 of 140
Table 6 to Table 8 and Figure 12 to Figure 20. Different accumulation lengths of CAAR can be viewed in appendices 7-11.
6.3.1 Market measure of abnormal returns – adjusted sample
As for the initial sample, the first significant and positive observation is on day -28, looking at all countries combined (Figure 12: Market measure CAAR, all countries – adjusted sample
-30 -28 -26 -24 -22 -20 -18 -16 -14 -12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20
-2%
0%
2%
4%
6%
8%
10%
12%
14%
16%
18%
20%
22%
24%
Days relative to event-date
Denmark Norway Sweden
Page 59 of 140
Table 6). Here as well, further significance can be observed on days -11, -9, -4, -2 and -1, with the latter substantially higher than for the initial sample with 1,26%, significant at the 0,1% level. The adjusted sample also produces a slightly higher announcement effect of 15,57%, an increase of 0,26 percentage points from the initial sample. On CAAR we yet again see a cluster of significant observations early in the event window, although now becoming insignificant two days earlier. The run-up becomes consistently significant one day later at -7, culminating in a pre-bid run-up of 3,99%.
For Denmark, the days with significantly positive AAR are the same as for the initial sample, namely -16, -15 and -9. Despite its insignificance, the highest AAR occurs one day before the event date at 1,31%. A more substantial difference from the initial sample can be seen on the CAAR, which for the initial sample became significant on day -26 and remained so throughout the event period. For the adjusted sample, on the other hand, the CAAR is low and insignificant until day -5, where it picks up pace and produces a significant pre-event run-up of 6,39%, more than 1 percentage point higher than for the initial sample. For accumulation lengths of 25, 20 and 10 days, the run-up is significant at the 10% level as well, while the remaining two are insignificant.
For Norway, the first significant and positive observation occurs on day -14, as opposed to -9 in the initial sample. While day -9 is insignificant for the adjusted sample, days -4 ,-3 and -1 remains significantly positive before the announcement effect of 16,61%. While CAAR for the initial sample experienced occasional negative and significant observations, the Norwegian run-up in the adjusted sample remains insignificant with a pre-event run-up of 2,52%. As for the initial sample, the cluster of negative AARs influence the 30-day run-up, resulting in a significant run-up for shorter accumulation lengths.
As for the initial sample, the first positive and significant observation in Sweden occurs on day -28.
Contrary to the initial sample, following this, only days -2 and -1 are significant, the latter with an AAR as high as 1,50%, significant at the 0,1% level. The announcement effect of 16,19% is half a percentage point higher than in the initial sample. While CAAR in the initial sample had drops of significance throughout the event window, only days -28 and -27 display significance here. The run-up becomes continuously significant only on day -2, five days later than for the initial sample, leading to a similar pre-event run-up of 4,01%, significant at the 5% level. The run-up is significant on at least the 5% level across all accumulation lengths, beginning from day -8 to –2.
We can see that for the most part, the two samples yield similar results, with the CAAR for Denmark being a great exception to this norm. This, however, is no surprise, seeing as Denmark suffered the greatest loss from the additional screen, reducing the number of observations by 28%, compared to 15%
and 20% for Norway and Sweden, respectively.
Page 60 of 140 Figure 12: Market measure CAAR, all countries – adjusted sample
-30 -28 -26 -24 -22 -20 -18 -16 -14 -12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20
-2%
0%
2%
4%
6%
8%
10%
12%
14%
16%
18%
20%
22%
24%
Days relative to event-date
Denmark Norway Sweden
Page 61 of 140
Table 6: Market measure AAR and CAAR, all countries – adjusted sample
All countries Denmark Norway Sweden
Day AAR CAAR AAR CAAR AAR CAAR AAR CAAR
-30 -0,15% -0,15% -0,46% -0,46% 0,21% 0,21% -0,23% -0,23%
-29 0,22% 0,07% 0,05% -0,41% 0,19% 0,40% 0,29% 0,06%
-28 0,33% * 0,41% * 0,05% -0,37% -0,19% 0,21% 0,67% ** 0,73% **
-27 0,26% 0,67% ** 0,55% 0,19% 0,39% 0,60% 0,11% 0,84% *
-26 -0,08% 0,59% ** 0,83% 1,02% 0,02% 0,62% -0,40% 0,45%
-25 -0,06% 0,53% -0,44% 0,58% -0,41% 0,21% 0,22% 0,67%
-24 -0,02% 0,51% -0,09% 0,49% -0,13% 0,08% 0,06% 0,73%
-23 -0,32% 0,19% 0,43% 0,92% -0,46% -0,38% -0,48% 0,25%
-22 0,04% 0,23% 0,77% 1,68% -0,83% -1,21% 0,25% 0,50%
-21 0,09% 0,32% -0,03% 1,66% -0,02% -1,22% 0,19% 0,68%
-20 -0,07% 0,25% 0,31% 1,97% 0,19% -1,04% -0,30% 0,38%
-19 0,04% 0,30% 0,21% 2,18% -0,13% -1,16% 0,08% 0,46%
-18 0,22% 0,52% -0,43% 1,75% 0,71% -0,45% 0,17% 0,63%
-17 -0,14% 0,38% 0,06% 1,81% 0,27% -0,19% -0,39% 0,24%
-16 0,02% 0,41% 0,83% * 2,64% -0,12% -0,31% -0,14% 0,10%
-15 -0,05% 0,35% 0,49% * 3,14% * 0,07% -0,23% -0,27% -0,17%
-14 -0,10% 0,25% -0,91% 2,23% 0,64% ** 0,40% -0,23% -0,40%
-13 -0,24% 0,01% -0,50% 1,72% -0,36% 0,04% -0,10% -0,50%
-12 -0,06% -0,05% 0,00% 1,73% -0,57% -0,53% 0,17% -0,33%
-11 0,29% * 0,24% 0,47% 2,20% 0,08% -0,45% 0,34% 0,01%
-10 0,24% 0,48% -0,29% 1,91% 0,34% -0,12% 0,34% 0,34%
-9 0,51% ** 0,99% 0,76% * 2,67% 0,21% 0,09% 0,58% 0,93%
-8 0,29% 1,28% 0,54% 3,21% -0,12% -0,03% 0,42% 1,35%
-7 0,27% 1,55% * 0,15% 3,36% 0,46% 0,43% 0,21% 1,56%
-6 0,13% 1,68% * 0,36% 3,72% 0,18% 0,61% 0,04% 1,60%
-5 0,05% 1,73% * 0,33% 4,05% * -0,16% 0,45% 0,08% 1,68%
-4 0,38% * 2,11% ** 0,23% 4,29% * 0,62% ** 1,08% 0,31% 1,99%
-3 0,14% 2,25% ** 0,01% 4,30% * 0,57% * 1,65% -0,04% 1,95%
-2 0,48% ** 2,74% ** 0,79% 5,08% * 0,14% 1,79% 0,56% * 2,51% *
-1 1,26% **** 3,99% *** 1,31% 6,39% * 0,73% * 2,52% 1,50% **** 4,01% **
0 15,57% **** 19,56% **** 11,69% **** 18,08% **** 16,61% **** 19,13% **** 16,19% **** 20,20% ****
1 1,68% **** 21,24% **** 2,05% ** 20,13% **** 2,40% *** 21,53% **** 1,21% * 21,41% ****
2 -0,30% 20,93% **** -0,11% 20,02% **** -0,85% 20,68% **** -0,10% 21,32% ****
3 -0,33% 20,60% **** -0,07% 19,95% **** 0,23% 20,91% **** -0,68% 20,64% ****
4 -0,02% 20,58% **** -0,08% 19,87% **** 0,16% 21,07% **** -0,09% 20,55% ****
5 -0,08% 20,50% **** 0,08% 19,96% **** -0,13% 20,94% **** -0,10% 20,45% ****
6 0,11% 20,61% **** 0,29% 20,24% **** -0,19% 20,75% **** 0,20% 20,65% ****
7 -0,33% 20,28% **** -0,45% 19,80% **** -0,39% 20,36% **** -0,27% 20,38% ****
8 0,03% 20,31% **** -0,39% 19,41% **** 0,27% 20,63% **** 0,03% 20,41% ****
9 -0,09% 20,22% **** 0,07% 19,48% **** 0,10% 20,73% **** -0,22% 20,19% ****
10 0,07% 20,29% **** 0,51% 19,98% **** -0,10% 20,63% **** 0,02% 20,21% ****
11 -0,04% 20,25% **** 0,28% 20,27% **** 0,19% 20,82% **** -0,24% 19,97% ****
12 0,27% * 20,52% **** 0,50% 20,77% **** 0,26% 21,07% **** 0,21% 20,19% ****
13 0,22% 20,74% **** 0,68% * 21,45% **** 0,52% 21,59% **** -0,07% 20,12% ****
14 0,14% 20,88% **** -0,41% 21,03% **** 0,22% 21,81% **** 0,26% * 20,38% ****
15 -0,16% 20,73% **** -0,67% 20,37% **** -0,22% 21,59% **** 0,03% 20,41% ****
16 0,04% 20,76% **** -0,07% 20,30% **** 0,11% 21,70% **** 0,03% 20,44% ****
17 0,02% 20,78% **** 0,35% 20,65% **** -0,26% 21,44% **** 0,06% 20,50% ****
18 0,01% 20,79% **** -0,14% 20,51% **** 0,19% 21,62% **** -0,04% 20,47% ****
19 -0,40% 20,39% **** 0,73% 21,25% **** -1,35% 20,27% **** -0,27% 20,20% ****
20 -0,09% 20,30% **** -0,83% * 20,42% **** -0,32% 19,95% **** 0,23% 20,43% ****
n 201 33 52 116
Significance indicators: *10%, **5%, ***1%, ****0,1%
Page 62 of 140
6.3.2 Simple measure of abnormal returns – adjusted sample
Similar to preceding measures and samples, the first significant and positive AAR occurs on day -28, this time with 0,38% (Table 7). As opposed to before, day -27 is now significant at the 10% level with 0,41%. While day -11 AAR is now lower and no longer significant, similar magnitude can be observed on days -4, -2 and -1, the latter very much so with 1,36% at the 0,1% level. Across all countries, we see an average announcement effect of 15,60%.
For Denmark, we only observe a single significantly positive pre-event AAR, namely day -16 with 0,87%, as opposed to previous measures and samples where we observed three to four significantly positive days. The announcement effect remains more or less equal to before at 11,73%, also here significant at the 0,1% level. As was the case for the market measure, the run-up becomes significant on day -5, far later than for the initial sample equivalents. Here, however, the run-up becomes insignificant on day -3 due to the now negative AAR on the same day, resulting in a pre-event run-up of 6,16%, significant at the 10% level. The run-up for different accumulation lengths is similar in its significance to the market measure.
The first significant and positive AAR for the Norwegian sample occurs on day -14, as for the market measure, although now at 0,68%. While day -3 is insignificant both days -4 and -1 become higher in magnitude. This especially goes for the former, which increases almost 0,4 percentage points to 1,00%.
Although lower than for the initial sample, the announcement effect remains the highest among the markets, at 16,61%, significant at the 0,1% level. The run-up is still insignificant and the lowest among the three at a mere 2,66%. Again, we see great influence on CAAR from the negative AARs early in the event window, as the run-up is both higher and significant for the alternative accumulation lengths, however, usually becomes significant later than for the market measure.
As also observed previously, the first significantly positive Swedish AAR is observed on day -28, now at 0,71% and significant at the 5% level. Day -4 has now become significant with an 0,5% AAR, significant at the 10% level. Days -2 and -1 are still significant, however the latter has increased to a staggering 1,63% with a 0,1% significance. The announcement effect for Sweden experiences a marginal increase to 16,19%, also this the highest compared to previous measures and samples. In terms of CAAR, we observe a small, significant three-day cluster succeeding day -28 . Following this, the run-up returns to significance only on day -1 – one day later than for the market measure – leading to a pre-event run-up of 3,77%, significant at the 5% level. For the alternative accumulation lengths, the run-up is similar to those of the market measure in terms of both size and significance.
Page 63 of 140 Table 7: Simple measure AAR and CAAR – adjusted sample
All countries Denmark Norway Sweden
Day AAR CAAR AAR CAAR AAR CAAR AAR CAAR
-30 -0,08% -0,08% -0,51% -0,51% 0,20% 0,20% -0,09% -0,09%
-29 0,17% 0,09% 0,03% -0,48% 0,21% 0,41% 0,20% 0,10%
-28 0,38% ** 0,47% * 0,23% -0,25% -0,21% 0,20% 0,71% ** 0,81% **
-27 0,41% * 0,88% ** 0,51% 0,27% 0,57% 0,77% 0,31% 1,12% **
-26 0,06% 0,94% ** 0,89% 1,16% 0,47% 1,24% * -0,39% 0,73% *
-25 -0,22% 0,72% -0,61% 0,55% -0,68% 0,56% 0,11% 0,84%
-24 -0,19% 0,53% -0,25% 0,30% -0,13% 0,43% -0,20% 0,64%
-23 -0,31% 0,22% 0,52% 0,82% -0,39% 0,04% -0,51% 0,13%
-22 0,01% 0,23% 0,90% 1,72% -0,75% -0,71% 0,12% 0,25%
-21 0,06% 0,29% 0,01% 1,73% -0,26% -0,97% 0,23% 0,48%
-20 -0,12% 0,17% 0,20% 1,93% 0,07% -0,90% -0,31% 0,17%
-19 0,08% 0,25% 0,21% 2,14% 0,14% -0,75% 0,01% 0,18%
-18 0,19% 0,43% -0,53% 1,61% 0,57% -0,18% 0,21% 0,39%
-17 -0,18% 0,26% 0,19% 1,81% 0,20% 0,02% -0,47% -0,08%
-16 0,16% 0,41% 0,87% * 2,68% 0,18% 0,20% -0,07% -0,14%
-15 -0,09% 0,33% 0,40% 3,08% 0,16% 0,36% -0,35% -0,50%
-14 -0,09% 0,24% -0,70% 2,38% 0,68% ** 1,05% -0,29% -0,79%
-13 -0,29% -0,06% -0,53% 1,86% -0,66% 0,38% -0,04% -0,83%
-12 -0,18% -0,23% 0,17% 2,02% -0,77% -0,39% 0,02% -0,81%
-11 0,24% 0,01% 0,56% 2,58% -0,22% -0,61% 0,37% -0,44%
-10 0,18% 0,19% -0,37% 2,21% 0,23% -0,37% 0,31% -0,13%
-9 0,47% * 0,66% 0,65% 2,87% 0,14% -0,24% 0,57% 0,44%
-8 0,27% 0,92% 0,53% 3,40% -0,13% -0,36% 0,38% 0,83%
-7 0,20% 1,13% 0,04% 3,43% 0,42% 0,06% 0,15% 0,98%
-6 0,14% 1,26% 0,29% 3,73% 0,29% 0,34% 0,02% 0,99%
-5 0,07% 1,34% 0,50% 4,23% * -0,08% 0,26% 0,02% 1,01%
-4 0,57% *** 1,91% * 0,13% 4,37% * 1,00% *** 1,26% 0,50% * 1,51%
-3 0,13% 2,04% ** -0,25% 4,12% 0,52% 1,78% 0,05% 1,55%
-2 0,46% * 2,50% ** 0,60% 4,72% * 0,11% 1,89% 0,59% * 2,14%
-1 1,36% **** 3,86% *** 1,45% 6,16% * 0,77% * 2,66% 1,63% **** 3,77% **
0 15,60% **** 19,47% **** 11,73% **** 17,89% **** 16,69% **** 19,35% **** 16,21% **** 19,98% ****
1 1,66% **** 21,13% **** 1,93% ** 19,82% **** 2,15% ** 21,51% **** 1,34% ** 21,32% ****
2 -0,25% 20,87% **** -0,16% 19,67% **** -0,94% 20,57% **** 0,05% 21,37% ****
3 -0,32% 20,55% **** -0,23% 19,44% **** 0,28% 20,85% **** -0,64% 20,73% ****
4 0,02% 20,57% **** 0,18% 19,62% **** 0,23% 21,08% **** -0,13% 20,60% ****
5 -0,10% 20,47% **** 0,05% 19,67% **** -0,26% 20,82% **** -0,06% 20,54% ****
6 0,04% 20,51% **** 0,24% 19,91% **** -0,19% 20,63% **** 0,09% 20,63% ****
7 -0,29% 20,22% **** -0,38% 19,52% **** -0,48% 20,15% **** -0,18% 20,46% ****
8 -0,02% 20,20% **** -0,30% 19,22% **** -0,06% 20,09% **** 0,08% 20,53% ****
9 -0,16% 20,04% **** -0,06% 19,16% **** -0,09% 20,01% **** -0,22% 20,31% ****
10 0,06% 20,10% **** 0,33% 19,49% **** 0,12% 20,12% **** -0,04% 20,27% ****
11 -0,03% 20,08% **** 0,30% 19,79% **** -0,01% 20,11% **** -0,13% 20,15% ****
12 0,41% ** 20,48% **** 0,60% 20,39% **** 0,55% ** 20,66% **** 0,28% * 20,43% ****
13 0,27% * 20,75% **** 0,67% * 21,05% **** 0,70% * 21,36% **** -0,06% 20,37% ****
14 0,10% 20,85% **** -0,36% 20,69% **** 0,08% 21,44% **** 0,24% 20,61% ****
15 -0,30% 20,55% **** -0,79% 19,90% **** -0,46% 20,98% **** -0,08% 20,53% ****
16 0,07% 20,62% **** -0,18% 19,72% **** 0,13% 21,12% **** 0,11% 20,64% ****
17 0,03% 20,65% **** 0,01% 19,73% **** -0,60% 20,51% **** 0,34% ** 20,98% ****
18 0,06% 20,71% **** -0,17% 19,55% **** 0,23% 20,74% **** 0,05% 21,03% ****
19 -0,45% 20,26% **** 0,56% 20,11% **** -1,46% 19,29% **** -0,25% 20,78% ****
20 -0,08% 20,18% **** -0,58% 19,53% **** -0,07% 19,22% **** 0,06% 20,84% ****
n 201 33 52 116
Significance indicators: *10%, **5%, ***1%, ****0,1%
Page 64 of 140 Figure 13: Simple measure CAAR, all countries – adjusted sample
6.3.3 Abnormal volume – adjusted sample
For the total sample, with the exception of days -29 and -16, we see exclusively significant AAVs with varying degrees of significance – as was also the case for the initial sample (Table 8). For 13 of the pre-event days we observe AAVs significant on at least the 1% level. CAAV becomes continuously significant at the 1% level on day -25.
It is evident that the additional liquidity screen has influenced the significance of the Danish and Norwegian observations. The Danish sample has nine fewer significant pre-event observations than the initial sample, while Norway has four fewer. Revisiting formula 8 for calculating t-statistic, this may be due to the screen having ambiguous effects on the standard deviation, but strictly negative influence on the number of observations, thus returning a lower t-statistic. The two Danish stocks causing the AAV spike on day -2 are still in the sample, and the spike is thus still present.
We also see that the extreme Norwegian announcement effect is now gone with the screening. As it was a liquidity screen this may at first glance seem counterintuitive. However, we calculated AV as the daily volume less the estimation period mean and standard deviation. For an illiquid stock the mean and standard deviation are both low, but the market ignores previous illiquidity in the event of a takeover rumour. That is, if there is a rumour of a 20% takeover premium, the market will react accordingly with both price and volume, and the announcement effect on volume will therefore be relatively higher than for more liquid stocks.
For the Swedish sample, on the other hand, the number of significant pre-event observations has increased by two to 26, however the number of significant AAVs on at least the 1% level has decreased by three to now four observations. Following the screening, the Swedish sample now experiences the
-30 -28 -26 -24 -22 -20 -18 -16 -14 -12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20
-2%
0%
2%
4%
6%
8%
10%
12%
14%
16%
18%
20%
22%
24%
Days relative to event-date
Denmark Norway Sweden
Page 65 of 140
highest announcement effect with 0,0726 in excess of the mean and standard deviation. We observe a pattern in CAAV similar to that of the initial sample, although here becoming continuously significant at the 0,1% level seven days later on day -14.
Table 8: AAV and CAAV, all countries – adjusted sample
All countries Denmark Norway Sweden
Day AAV CAAV AAV CAAV AAV CAAV AAV CAAV
-30 0,0006 ** 0,0006 ** 0,0002 0,0002 0,0002 0,0002 0,0009 * 0,0009 *
-29 0,0003 0,0008 ** 0,0001 0,0003 0,0001 0,0002 * 0,0004 0,0013 *
-28 0,0007 ** 0,0015 *** 0,0002 0,0005 ** 0,0009 0,0011 * 0,0007 * 0,0020 **
-27 0,0010 *** 0,0025 **** 0,0017 0,0022 0,0010 0,0021 0,0009 ** 0,0029 ***
-26 0,0008 * 0,0033 *** 0,0014 0,0036 * 0,0002 0,0023 0,0009 0,0037 **
-25 0,0004 ** 0,0037 **** 0,0014 0,0050 * 0,0000 0,0023 * 0,0002 ** 0,0040 **
-24 0,0010 * 0,0047 **** 0,0001 0,0052 ** 0,0026 0,0049 0,0006 ** 0,0046 ***
-23 0,0003 ** 0,0051 **** 0,0007 0,0058 ** 0,0003 0,0053 * 0,0003 * 0,0048 **
-22 0,0008 *** 0,0058 **** 0,0008 ** 0,0066 ** 0,0003 0,0055 * 0,0010 ** 0,0058 ***
-21 0,0005 *** 0,0063 **** 0,0012 0,0078 *** 0,0002 0,0057 * 0,0004 ** 0,0062 ***
-20 0,0002 **** 0,0065 **** 0,0002 0,0080 *** 0,0001 0,0058 * 0,0003 *** 0,0065 ***
-19 0,0011 *** 0,0076 **** 0,0004 0,0083 *** 0,0015 * 0,0073 ** 0,0011 ** 0,0076 ***
-18 0,0010 ** 0,0087 **** 0,0030 0,0114 *** 0,0011 0,0085 ** 0,0004 ** 0,0081 ***
-17 0,0002 **** 0,0089 **** 0,0005 ** 0,0119 *** 0,0001 ** 0,0086 ** 0,0002 ** 0,0083 ***
-16 0,0013 0,0102 **** 0,0006 ** 0,0125 *** 0,0037 0,0123 * 0,0004 ** 0,0086 ***
-15 0,0003 *** 0,0105 **** 0,0006 * 0,0131 *** 0,0002 0,0125 * 0,0003 ** 0,0089 ***
-14 0,0004 *** 0,0109 **** 0,0007 ** 0,0138 **** 0,0002 0,0127 ** 0,0004 ** 0,0093 ****
-13 0,0005 ** 0,0114 **** 0,0002 0,0140 **** 0,0004 0,0130 ** 0,0007 * 0,0099 ****
-12 0,0008 *** 0,0121 **** 0,0016 * 0,0156 **** 0,0007 0,0137 ** 0,0005 ** 0,0105 ****
-11 0,0009 ** 0,0131 **** 0,0001 * 0,0157 **** 0,0003 0,0140 ** 0,0015 ** 0,0120 ****
-10 0,0005 **** 0,0135 **** 0,0003 0,0159 **** 0,0001 0,0141 ** 0,0007 *** 0,0127 ****
-9 0,0005 *** 0,0140 **** 0,0001 0,0160 **** 0,0001 0,0142 ** 0,0007 *** 0,0134 ****
-8 0,0007 * 0,0147 **** 0,0004 * 0,0164 **** 0,0005 0,0147 ** 0,0009 0,0143 ****
-7 0,0010 * 0,0157 **** 0,0008 0,0172 **** 0,0005 0,0152 ** 0,0013 0,0156 ****
-6 0,0004 *** 0,0161 **** 0,0003 0,0175 **** 0,0004 0,0156 ** 0,0005 ** 0,0161 ****
-5 0,0002 ** 0,0164 **** 0,0001 * 0,0176 **** 0,0003 0,0160 ** 0,0003 ** 0,0163 ****
-4 0,0005 *** 0,0168 **** 0,0006 0,0182 **** 0,0001 0,0160 ** 0,0006 *** 0,0170 ****
-3 0,0002 * 0,0171 **** 0,0001 0,0183 **** 0,0001 * 0,0161 ** 0,0003 * 0,0173 ****
-2 0,0037 * 0,0208 **** 0,0146 0,0329 *** 0,0001 0,0162 ** 0,0023 * 0,0196 ****
-1 0,0036 ** 0,0244 **** 0,0005 * 0,0334 *** 0,0016 0,0178 ** 0,0055 * 0,0251 ****
0 0,0576 **** 0,0820 **** 0,0187 *** 0,0521 **** 0,0509 **** 0,0686 **** 0,0726 **** 0,0977 ****
1 0,0194 **** 0,1014 **** 0,0102 ** 0,0623 **** 0,0221 **** 0,0908 **** 0,0208 *** 0,1185 ****
2 0,0059 **** 0,1072 **** 0,0033 *** 0,0657 **** 0,0053 ** 0,0960 **** 0,0068 **** 0,1253 ****
3 0,0041 **** 0,1114 **** 0,0036 * 0,0692 **** 0,0027 *** 0,0987 **** 0,0049 **** 0,1302 ****
4 0,0031 **** 0,1145 **** 0,0020 ** 0,0713 **** 0,0036 ** 0,1024 **** 0,0031 **** 0,1333 ****
5 0,0024 **** 0,1169 **** 0,0019 *** 0,0732 **** 0,0012 *** 0,1036 **** 0,0032 **** 0,1365 ****
6 0,0022 **** 0,1191 **** 0,0008 ** 0,0740 **** 0,0015 ** 0,1051 **** 0,0029 **** 0,1394 ****
7 0,0016 **** 0,1207 **** 0,0015 0,0755 **** 0,0019 ** 0,1070 **** 0,0015 *** 0,1409 ****
8 0,0016 *** 0,1223 **** 0,0027 ** 0,0782 **** 0,0024 0,1094 **** 0,0009 **** 0,1418 ****
9 0,0021 **** 0,1244 **** 0,0021 *** 0,0803 **** 0,0031 0,1125 **** 0,0017 **** 0,1435 ****
10 0,0012 **** 0,1256 **** 0,0019 ** 0,0822 **** 0,0013 ** 0,1138 **** 0,0009 **** 0,1444 ****
11 0,0011 **** 0,1268 **** 0,0022 ** 0,0844 **** 0,0010 ** 0,1148 **** 0,0009 *** 0,1453 ****
12 0,0012 **** 0,1279 **** 0,0006 * 0,0850 **** 0,0012 ** 0,1160 **** 0,0013 *** 0,1466 ****
13 0,0065 0,1344 **** 0,0023 0,0873 **** 0,0206 0,1366 **** 0,0010 **** 0,1476 ****
14 0,0012 **** 0,1356 **** 0,0024 * 0,0897 **** 0,0006 ** 0,1372 **** 0,0012 **** 0,1488 ****
15 0,0022 *** 0,1379 **** 0,0051 * 0,0948 **** 0,0005 * 0,1377 **** 0,0023 ** 0,1510 ****
16 0,0016 **** 0,1395 **** 0,0020 * 0,0968 **** 0,0014 0,1391 **** 0,0017 ** 0,1527 ****
17 0,0011 *** 0,1406 **** 0,0004 ** 0,0973 **** 0,0016 * 0,1407 **** 0,0010 *** 0,1537 ****
18 0,0029 * 0,1435 **** 0,0004 ** 0,0977 **** 0,0085 0,1492 **** 0,0010 ** 0,1547 ****
19 0,0008 **** 0,1443 **** 0,0004 0,0981 **** 0,0016 ** 0,1508 **** 0,0006 ** 0,1553 ****
20 0,0055 * 0,1498 **** 0,0005 * 0,0986 **** 0,0160 0,1668 **** 0,0019 ** 0,1572 ****
n 201 33 52 116
Significance indicators: *10%, **5%, ***1%, ****0,1%
Page 66 of 140 Figure 14: CAAV, all countries – adjusted sample
Figure 15: Market measure AAR and AAV, Denmark – adjusted sample
Figure 16: Market measure AAR and AAV, Norway – adjusted sample
-30 -28 -26 -24 -22 -20 -18 -16 -14 -12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20
0,000 0,020 0,040 0,060 0,080 0,100 0,120 0,140 0,160 0,180
Days relative to event-date
Denmark Norway Sweden
-30 -28 -26 -24 -22 -20 -18 -16 -14 -12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20
0,000 0,002 0,004 0,006 0,008 0,010 0,012 0,014 0,016 0,018 0,020
-3%
-1%
1%
3%
5%
7%
9%
11%
13%
Day relative to event-date
AAV
AAR
AAR AAV
-30 -28 -26 -24 -22 -20 -18 -16 -14 -12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20
0,000 0,010 0,020 0,030 0,040 0,050 0,060
-4%
-2%
0%
2%
4%
6%
8%
10%
12%
14%
16%
18%
Day relative to event-date
AAV
AAR
AAR AAV
Page 67 of 140
Figure 17: Market measure AAR and AAV, Sweden - adjusted sample
Figure 18: Simple measure AAR and AAV, Denmark – adjusted sample
Figure 19: Simple measure AAR and AAV, Norway - adjusted sample
-30 -28 -26 -24 -22 -20 -18 -16 -14 -12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20
0,000 0,010 0,020 0,030 0,040 0,050 0,060 0,070 0,080 0,090 0,100
-2%
0%
2%
4%
6%
8%
10%
12%
14%
16%
18%
Day relative to event-date
AAV
AAR
AAR AAV
-30 -28 -26 -24 -22 -20 -18 -16 -14 -12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20
0,000 0,002 0,004 0,006 0,008 0,010 0,012 0,014 0,016 0,018 0,020
-2%
0%
2%
4%
6%
8%
10%
12%
Day relative to event-date
AAV
AAR
AAR AAV
-30 -28 -26 -24 -22 -20 -18 -16 -14 -12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20
0,000 0,010 0,020 0,030 0,040 0,050 0,060
-2%
0%
2%
4%
6%
8%
10%
12%
14%
16%
18%
Day relative to event-date
AAV
AAR
AAR AAV
Page 68 of 140 Figure 20: Simple measure AAR and AAV, Sweden - adjusted sample