In the following we present the results of the event study on the initial sample, which are visualised in Table 3 to Figure 5: CAAV, all countries - initial 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
0,0000 0,1000 0,2000 0,3000 0,4000 0,5000
Days relative to event-date
Denmark Norway Sweden
Page 47 of 140
Table 5 and Figure 3 to Figure 11. Different accumulation lengths of CAAR can be viewed in appendices 2-6.
6.2.1 Market measure of abnormal returns – initial sample
Looking at all countries as a whole, AAR turns significantly positive at the 10% level with 0,38% on day -28 relative to the event date, largely driven the by the larger Swedish sample’s significance at the 5% level with an AAR of 0,69%. Further positively significant cross-sample AARs can be observed on days, -11, -9, -4, -2 and -1, with the latter’s 0,98% highly significant at the 1% level. The cross-sample event date AAR – the announcement effect – is 15,31%, significant at the 0,1% level. For CAAR there is a small cluster of significantly positive observations in (-28, -24) until they again turn positive and increasingly more significant from day –8. The 30-day pre-event run-up across all countries is 3,81%, significant at the 0,1% level.
For Denmark, the first significantly positive AAR occurs on day -26 with 1,07%, significant at the 5%
level. Further positive significance is observed on days -16 and -9, ending with an event day AAR of 11,73% significant at the 0,1% level – the lowest announcement effect of the three markets. CAAR turns significantly positive on day -26 and remains so throughout the event study period, leading to a pre-event run-up of 5,34% - the highest among the countries – significant at the 5% level. Looking at other accumulation lengths, it is evident that the highest AARs occur early in the 30-day window, seeing as 20 days is the only other significant length at the 10% level.
For the Norwegian market we are as close as day -9 for the first significantly positive AAR at 0,47%, and then day -4 and -1, both of which significant at the 5% level. The announcement effect is 17,07%, which is the highest of the three markets. The pre-event run-up for the Norwegian sample is a mere 2,25%, however not statistically significant. However, all alternative, and shorter, accumulation lengths display an increasingly more significant run-up – no surprise seeing as of the ten earliest days in the event window, six display negative AARs.
As mentioned, Sweden experiences the first significantly positive AAR on day -28, with other significant observations on days -11, -4, -2 and -1, the latter rather high at 1,15%, significant at the 1%
level. The announcement effect for the Swedish sample is 15,67%, significant at the 0,1% level.
Occasional statistically positive CAAR can be seen on days -28, -23, -17, -11 and then from -7 and forth, with a pre-event run-up of 4,03%, significant at the 1% level. The significance in run-up is robust across different accumulation lengths, with the starting day varying from day -8 to -2.
Page 48 of 140 Figure 3: Market measure CAAR, all countries - initial 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%
2%
6%
10%
14%
18%
22%
Days relative to event-date
Denmark Norway Sweden
Page 49 of 140 Table 3: Market measure AAR and CAAR – initial sample
All countries Denmark Norway Sweden
Day AAR CAAR AAR CAAR AAR CAAR AAR CAAR
-30 -0,11% -0,11% -0,37% * -0,37% * 0,07% 0,07% -0,10% -0,10%
-29 0,20% 0,09% 0,50% 0,13% 0,22% 0,29% 0,10% 0,00%
-28 0,38% * 0,47% * 0,25% 0,37% -0,22% 0,07% 0,69% ** 0,69% **
-27 0,10% 0,57% * 0,23% 0,61% 0,18% 0,26% 0,01% 0,70% *
-26 0,07% 0,64% * 1,07% ** 1,68% * 0,25% 0,51% -0,34% 0,36%
-25 0,26% 0,90% ** 0,54% 2,22% * -0,20% 0,31% 0,38% 0,74%
-24 -0,14% 0,75% * -0,40% 1,81% * -0,30% 0,01% 0,02% 0,75%
-23 -0,25% 0,51% 1,04% 2,85% ** -0,46% -0,45% -0,57% 0,18% **
-22 -0,06% 0,44% 0,39% 3,24% ** -0,98% -1,42% 0,21% 0,39%
-21 0,02% 0,46% -0,36% 2,88% ** -0,25% -1,67% 0,26% 0,65%
-20 0,02% 0,48% 0,22% 3,11% ** 0,17% -1,51% -0,11% 0,55%
-19 -0,03% 0,45% 0,06% 3,16% ** -0,17% -1,68% 0,00% 0,55%
-18 0,15% 0,59% 0,01% 3,17% ** 0,51% -1,17% 0,02% 0,57%
-17 -0,34% 0,25% -0,85% 2,32% * 0,24% -0,94% -0,44% 0,13% *
-16 0,38% 0,64% 1,14% ** 3,46% ** 0,16% -0,78% 0,24% 0,37%
-15 0,00% 0,64% 0,38% * 3,84% ** -0,08% -0,86% -0,08% 0,29%
-14 -0,16% 0,48% -0,70% 3,14% * 0,29% -0,57% -0,18% 0,10%
-13 0,05% 0,53% 0,07% 3,21% * -0,10% -0,67% 0,12% 0,22%
-12 -0,12% 0,41% -0,13% 3,08% * -0,21% -0,88% -0,07% 0,14%
-11 0,31% * 0,73% 0,04% 3,12% * 0,08% -0,80% 0,51% ** 0,65% **
-10 0,02% 0,75% -0,11% 3,01% * 0,03% -0,78% 0,06% 0,71%
-9 0,41% * 1,16% 0,62% * 3,63% * 0,47% * -0,30% 0,32% 1,03%
-8 0,15% 1,31% * 0,34% 3,96% * -0,44% * -0,74% 0,36% 1,38%
-7 0,24% 1,54% * 0,11% 4,07% * 0,51% -0,23% 0,15% 1,53% *
-6 0,24% 1,78% ** 0,20% 4,27% ** 0,09% -0,13% 0,32% 1,86% *
-5 0,04% 1,82% ** 0,28% 4,55% ** 0,07% -0,07% -0,06% 1,80% * -4 0,53% ** 2,35% ** -0,18% 4,37% ** 1,24% ** 1,17% 0,43% * 2,23% **
-3 0,14% 2,49% ** -0,37% 4,00% * 0,54% * 1,72% 0,12% 2,35% **
-2 0,34% * 2,83% *** 0,49% 4,49% * -0,16% 1,56% 0,52% * 2,88% **
-1 0,98% *** 3,81% **** 0,85% 5,34% ** 0,69% ** 2,25% 1,15% *** 4,03% ***
0 15,31% **** 19,12% **** 11,73% **** 17,07% **** 17,07% **** 19,32% **** 15,67% **** 19,69% ****
1 1,50% **** 20,62% **** 1,30% ** 18,37% **** 2,35% *** 21,67% **** 1,18% ** 20,87% ****
2 -0,29% 20,33% **** -0,98% 17,39% **** -0,78% 20,89% **** 0,15% 21,03% ****
3 -0,20% 20,13% **** 0,09% 17,47% **** 0,23% 21,13% **** -0,49% 20,54% ****
4 -0,10% 20,03% **** -0,27% 17,21% **** 0,09% 21,22% **** -0,14% 20,40% ****
5 -0,11% 19,92% **** -0,09% 17,12% **** -0,25% 20,97% **** -0,05% 20,35% ****
6 0,14% 20,06% **** 0,13% 17,25% **** -0,06% 20,91% **** 0,23% 20,58% ****
7 -0,33% 19,72% **** -0,37% 16,88% **** -0,45% 20,46% **** -0,27% 20,31% ****
8 -0,02% 19,71% **** -0,25% 16,63% **** 0,26% * 20,72% **** -0,07% 20,24% ****
9 -0,09% 19,62% **** 0,15% 16,78% **** 0,10% 20,81% **** -0,25% 19,99% ****
10 0,12% 19,73% **** 0,50% 17,28% **** 0,00% 20,81% **** 0,04% 20,04% ****
11 0,10% 19,83% **** 0,66% ** 17,94% **** 0,20% 21,01% **** -0,13% 19,90% ****
12 0,01% 19,84% **** -0,05% 17,90% **** 0,30% 21,31% **** -0,11% 19,79% ****
13 0,28% ** 20,12% **** 0,55% 18,44% **** 0,43% 21,73% **** 0,12% 19,92% ****
14 0,06% 20,17% **** -0,41% 18,03% **** 0,22% 21,95% **** 0,14% 20,05% ****
15 -0,10% 20,07% **** -0,44% 17,60% **** -0,17% 21,78% **** 0,04% 20,09% ****
16 -0,05% 20,02% **** 0,03% 17,62% **** 0,06% 21,84% **** -0,13% 19,96% ****
17 0,18% 20,20% **** 0,22% 17,84% **** -0,20% 21,64% **** 0,35% 20,30% ****
18 -0,04% 20,16% **** 0,01% 17,85% **** -0,03% 21,61% **** -0,06% 20,25% ****
19 -0,37% 19,80% **** 1,34% ** 19,19% **** -1,04% 20,56% **** -0,61% 19,64% ****
20 -0,06% 19,74% **** -0,72% 18,47% **** -0,41% 20,15% **** 0,31% * 19,95% ****
n 254 48 62 144
Significance indicators: *10%, **5%, ***1%, ****0,1%
Page 50 of 140
6.2.2 Simple measure of abnormal returns – initial sample
For the simple measure, the pattern is quite similar to that of the market measure. The first significantly positive observation is again at day -28, also this time heavily influenced by the Swedish sample. While AAR for day -2 is no longer significant, day -16 has turned significant at the 5% level with 0,50%. Both days -4 and -1 are now more significant and higher than for the market measure, as is the event day AAR at 15,35%, with same significance as previously. For CAAR there is still a cluster of significantly positive observations at (-28, -24), however now higher and more significant. The run-up becomes significant one day later and results in a pre-event run-up of 3,80%, marginally lower than for the market measure.
For Denmark, the first positively significant observation is now on day -29, three days earlier than for the market measure. For this measure, however, day -9 is no longer significant, resulting in only two days with positively significant AAR, until an event date AAR of 11,73%. There is also great similarity regarding CAAR, which also here becomes significant on day -26, which with the exception of day -17, remains significant for the remainder of the event period, resulting in a pre-bid run-up of 4,91% - which is 0,4 percentage points lower than for the market measure. The simple measure run-up for different accumulation lengths is similar to those seen for the market measure, with the notion that the (-25, -1) run-up has become insignificant.
For the Norwegian sample, the first significantly positive AAR is now on day -26 with 0,57%, 17 days earlier than for the market measure. Days -9 and -3 are not significant in this case, however, day -4 is higher and more significant with 1,60% at the 1% level. The announcement effect is marginally higher at 17,18%, also this significant at the 0,1% level. Aside from a single day at -26, CAAR never becomes significant, leading to an insignificant yet higher pre-bid run-up than the market measure at 2,68%. In terms of significance, the different accumulation lengths yield identical results as the market measure, while in terms of size, the run-up varies between being higher and lower.
Again, the first significantly positive observation occurs on day -28 for Sweden, while subsequent positive and significant observations occur on the same days as for the market measure. Now, however, days -4 and -1 have increased in both magnitude and significance at 0,60% and 1,26%, respectively.
The event date AAR is very similar both in magnitude and significance at 15,70% at the 0,1% level. The pattern in CAAR is also somewhat similar to that of the market measure. In this case, day -25 becomes significant, while days -17 and -11 are insignificant. A bigger difference, however, is the run-up becoming significant three days later, on day -4, resulting in a pre-bid run-up of 3,95%, slightly lower than for the market measure. For the different accumulation lengths, the length of the significant run-up is slightly shorter than for the market measure, lying both above and below in size.
Page 51 of 140
The low variation in results creates robustness around our calculations and confirms Brown and Warner’s (1980) findings of the simple model often yielding similar results to those of more sophisticated models.
Table 4: Simple measure AAR and CAAR – initial sample
All countries Denmark Norway Sweden
Day AAR CAAR AAR CAAR AAR CAAR AAR CAAR
-30 -0,04% -0,04% -0,41% -0,41% 0,10% 0,10% 0,01% 0,01%
-29 0,17% 0,13% 0,56% * 0,15% 0,20% 0,30% 0,04% 0,05%
-28 0,41% ** 0,54% ** 0,43% 0,58% -0,24% 0,06% 0,71% ** 0,76% **
-27 0,22% 0,76% ** 0,17% 0,75% 0,37% 0,42% 0,17% 0,93% **
-26 0,16% 0,92% ** 1,07% ** 1,82% * 0,57% * 0,99% * -0,32% 0,60%
-25 0,12% 1,05% ** 0,42% 2,24% * -0,45% 0,54% 0,29% 0,89% *
-24 -0,28% * 0,77% * -0,57% 1,67% * -0,27% 0,27% -0,19% 0,70%
-23 -0,24% 0,53% 1,04% 2,71% * -0,40% -0,13% -0,57% 0,13%
-22 -0,09% 0,44% 0,55% 3,26% ** -1,00% -1,13% 0,13% 0,25%
-21 0,01% 0,46% -0,24% 3,01% ** -0,40% -1,53% 0,28% 0,54%
-20 -0,02% 0,44% 0,15% 3,16% ** 0,04% -1,49% -0,10% 0,43%
-19 0,01% 0,45% 0,06% 3,22% ** 0,13% -1,35% -0,06% 0,37%
-18 0,12% 0,56% -0,06% 3,16% * 0,44% -0,92% 0,03% 0,40%
-17 -0,35% * 0,21% -0,71% 2,45% 0,15% -0,77% -0,47% -0,07%
-16 0,50% ** 0,70% 1,16% ** 3,61% ** 0,40% -0,37% 0,32% 0,25%
-15 -0,03% 0,67% 0,26% 3,88% ** 0,01% -0,36% -0,14% 0,11%
-14 -0,13% 0,54% -0,56% 3,31% * 0,37% 0,01% -0,22% -0,11%
-13 0,04% 0,58% 0,09% 3,40% * -0,29% -0,28% 0,18% 0,07%
-12 -0,21% 0,38% -0,01% 3,39% * -0,38% -0,67% -0,19% -0,12%
-11 0,29% * 0,67% 0,06% 3,45% * -0,11% -0,78% 0,55% ** 0,43%
-10 -0,04% 0,63% -0,18% 3,27% * -0,10% -0,88% 0,03% 0,46%
-9 0,37% * 1,00% 0,56% 3,83% * 0,42% -0,46% 0,29% 0,75%
-8 0,13% 1,13% 0,26% 4,09% * -0,38% -0,84% 0,32% 1,08%
-7 0,18% 1,31% -0,04% 4,05% * 0,50% -0,34% 0,10% 1,18%
-6 0,25% 1,56% * 0,10% 4,15% * 0,23% -0,11% 0,31% 1,49%
-5 0,06% 1,62% * 0,42% 4,57% ** 0,16% 0,05% -0,11% 1,38%
-4 0,69% *** 2,31% ** -0,33% 4,24% * 1,60% *** 1,64% 0,60% ** 1,98% *
-3 0,15% 2,45% ** -0,56% 3,68% * 0,54% 2,19% 0,19% 2,18% *
-2 0,30% 2,75% *** 0,30% 3,98% * -0,18% 2,00% 0,52% * 2,69% **
-1 1,05% **** 3,80% *** 0,93% 4,91% * 0,68% * 2,68% 1,26% **** 3,95% ***
0 15,35% **** 19,15% **** 11,72% **** 16,64% **** 17,18% **** 19,86% **** 15,70% **** 19,65% ****
1 1,48% **** 20,63% **** 1,19% * 17,82% **** 2,11% *** 21,97% **** 1,28% ** 20,93% ****
2 -0,27% 20,37% **** -1,04% 16,79% **** -0,85% 21,12% **** 0,25% 21,18% ****
3 -0,20% 20,17% **** -0,01% 16,78% **** 0,26% 21,38% **** -0,47% 20,71% ****
4 -0,04% 20,12% **** 0,06% 16,83% **** 0,16% 21,54% **** -0,17% 20,54% ****
5 -0,11% 20,01% **** -0,22% 16,62% **** -0,36% * 21,18% **** 0,03% 20,57% ****
6 0,05% 20,06% **** -0,02% 16,59% **** -0,07% 21,12% **** 0,13% 20,70% ****
7 -0,29% 19,77% **** -0,31% 16,28% **** -0,51% 20,61% **** -0,19% 20,51% ****
8 -0,06% 19,71% **** -0,14% 16,14% **** -0,07% 20,54% **** -0,03% 20,49% ****
9 -0,14% 19,57% **** -0,05% 16,09% **** -0,02% 20,52% **** -0,22% 20,27% ****
10 0,12% 19,70% **** 0,35% 16,43% **** 0,22% 20,74% **** 0,01% 20,28% ****
11 0,11% 19,81% **** 0,63% * 17,07% **** 0,04% 20,78% **** -0,03% 20,25% ****
12 0,13% 19,94% **** 0,01% 17,07% **** 0,61% *** 21,39% **** -0,05% 20,20% ****
13 0,31% ** 20,25% **** 0,45% 17,52% **** 0,60% * 21,99% **** 0,13% 20,33% ****
14 0,04% 20,29% **** -0,30% 17,22% **** 0,10% 22,09% **** 0,13% 20,46% ****
15 -0,28% 20,01% **** -0,76% 16,46% **** -0,36% 21,72% **** -0,08% 20,38% ****
16 -0,04% 19,97% **** -0,09% 16,37% **** 0,08% 21,81% **** -0,08% 20,30% ****
17 0,15% 20,12% **** -0,20% 16,17% **** -0,49% 21,32% **** 0,55% ** 20,86% ****
18 0,03% 20,16% **** 0,01% 16,18% **** 0,03% 21,35% **** 0,04% 20,90% ****
19 -0,44% 19,72% **** 1,03% * 17,21% **** -1,16% 20,19% **** -0,59% 20,31% ****
20 -0,02% 19,70% **** -0,41% 16,80% **** -0,17% 20,02% **** 0,18% 20,49% ****
n 254 48 62 144
Significance indicators: *10%, **5%, ***1%, ****0,1%
Page 52 of 140 Figure 4: Simple measure CAAR, all countries - initial sample
6.2.3 Abnormal volume – initial sample
For AAV we observe varying degrees of significance. While only three pre-event days have insignificant AAVs, twelve days experience significance on at least the 1% level, two of which on the 0,1% level.
CAAV becomes significant at the 0,1% level on day -28, and remains so until day -3, not to be confused with a decreasing CAAV.
Denmark and Norway experience far more dispersed significance in AAV in the pre-event period. Of the 30 pre-event days, Denmark experience significant AAV on 19, seven of which at the 5% level.
Although insignificant, there is a large spike in AAV on day -2 for Denmark, caused by two takeover targets with extremely high AAV on this day. CAAV is significant on at least the 10% level from day -30, with an 18-day stretch of 1% significance from (-20, -3). The Norwegian sample experiences the fewest significant observations, with only seven on at least the 10% level, just one of which on the 5%
level. Although insignificant, Norway experience the by far highest event day AAV at 0,3230. CAAV is significant in the period (-27, -4), clearly affected by the lacking significance in AAV.
As the Swedish sample is undoubtedly the largest one, it is no surprise that the pattern in AAV follows that of all countries combined. Only six days experience insignificant AAV and seven experience significance on at least the 1% level. CAAV is continuously significant at the 0,1% level from day -21.
The size of AAV and CAAV is more complex to interpret. Basically, it tells how many more times each individual stock is traded than normal, where normal is within the boundaries of the mean plus one standard deviation. Our expectations are more on the development than the size, where we expected a steady run-up before a sharp increase on the event date. We observe this for all countries, however, the announcement effect for Norway is puzzling. Looking into the data, we find 2-3 observations causing
-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%
2%
6%
10%
14%
18%
22%
Days relative to event-date
Denmark Norway Sweden
Page 53 of 140
this. They do not, on the other hand, bias the run-up which otherwise looks more comparable, and thus we do not exclude them.
There are, however, some common features for all three countries, the first being high abnormal volume post-event despite no significantly positive AARs – in many cases even negative. There may be many reasons for this. In some cases, the rumour date is the date of the formal announcement, after which the share tends to stabilise on the bid price. Here the acquirer may also have started buying shares at the offered price, which would explain the high volume and little price movement. In the cases where it is merely a rumour, the increased volume may be caused by the extra attention from media coverage, and some investors are also willing to sell at what they believe is a peak.
Another common feature is the ‘wave’ pattern in AAV. One could only speculate in the reasons for this pattern, but previously mentioned theory states that uninformed market participants react to what they believe are more informed trades. This, in turn, has a cascading effect on the trading volume which peaks and then returns. Illegal insider trading could, among many others, be such a trigger.
Figure 5: CAAV, all countries - initial 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
0,0000 0,1000 0,2000 0,3000 0,4000 0,5000
Days relative to event-date
Denmark Norway Sweden
Page 54 of 140 Table 5: AAV and CAAV – initial sample
All countries Denmark Norway Sweden
Day AAV CAAV AAV CAAV AAV CAAV AAV CAAV
-30 0,0009 ** 0,0009 ** 0,0003 * 0,0003 * 0,0013 0,0013 0,0010 ** 0,0010 **
-29 0,0002 * 0,0012 *** 0,0001 0,0005 ** 0,0000 0,0013 0,0004 0,0013 **
-28 0,0006 *** 0,0017 **** 0,0003 * 0,0007 *** 0,0007 0,0020 0,0006 ** 0,0020 ***
-27 0,0009 *** 0,0026 **** 0,0012 0,0019 * 0,0010 0,0030 * 0,0008 ** 0,0027 ****
-26 0,0009 * 0,0035 **** 0,0010 0,0029 ** 0,0002 0,0032 ** 0,0012 0,0039 ***
-25 0,0005 ** 0,0040 **** 0,0011 0,0040 ** 0,0000 0,0032 ** 0,0006 0,0045 ***
-24 0,0013 ** 0,0053 **** 0,0002 * 0,0042 ** 0,0022 0,0054 ** 0,0013 *** 0,0057 ***
-23 0,0005 *** 0,0059 **** 0,0007 0,0049 *** 0,0003 0,0057 ** 0,0006 ** 0,0063 ***
-22 0,0006 *** 0,0065 **** 0,0006 ** 0,0055 *** 0,0003 * 0,0060 ** 0,0008 ** 0,0071 ***
-21 0,0005 *** 0,0070 **** 0,0010 * 0,0065 *** 0,0001 0,0061 ** 0,0005 ** 0,0076 ****
-20 0,0002 **** 0,0072 **** 0,0003 * 0,0068 **** 0,0001 * 0,0062 ** 0,0003 **** 0,0079 ****
-19 0,0009 *** 0,0081 **** 0,0004 ** 0,0071 **** 0,0012 * 0,0074 ** 0,0010 ** 0,0089 ****
-18 0,0010 ** 0,0091 **** 0,0026 0,0097 **** 0,0009 0,0083 ** 0,0005 *** 0,0093 ****
-17 0,0004 * 0,0095 **** 0,0004 ** 0,0101 **** 0,0001 ** 0,0085 ** 0,0006 0,0099 ****
-16 0,0023 0,0118 **** 0,0005 ** 0,0106 **** 0,0075 0,0160 ** 0,0005 ** 0,0104 ****
-15 0,0008 * 0,0126 **** 0,0005 ** 0,0111 **** 0,0019 0,0178 ** 0,0004 ** 0,0108 ****
-14 0,0003 *** 0,0130 **** 0,0005 ** 0,0116 **** 0,0002 0,0180 ** 0,0004 ** 0,0111 ****
-13 0,0022 0,0152 **** 0,0001 0,0118 **** 0,0074 0,0254 * 0,0005 ** 0,0117 ****
-12 0,0012 * 0,0165 **** 0,0011 * 0,0129 **** 0,0030 0,0284 * 0,0005 *** 0,0122 ****
-11 0,0008 ** 0,0172 **** 0,0001 * 0,0130 **** 0,0003 0,0287 * 0,0012 ** 0,0134 ****
-10 0,0004 **** 0,0176 **** 0,0002 * 0,0132 **** 0,0002 0,0289 * 0,0005 *** 0,0139 ****
-9 0,0004 *** 0,0180 **** 0,0001 * 0,0132 **** 0,0003 0,0292 * 0,0006 *** 0,0145 ****
-8 0,0007 ** 0,0187 **** 0,0003 * 0,0135 **** 0,0005 * 0,0297 * 0,0009 0,0153 ****
-7 0,0011 ** 0,0198 **** 0,0005 0,0141 **** 0,0005 * 0,0302 * 0,0016 * 0,0170 ****
-6 0,0004 *** 0,0202 **** 0,0002 0,0143 **** 0,0004 * 0,0306 * 0,0005 ** 0,0175 ****
-5 0,0005 * 0,0207 **** 0,0001 ** 0,0143 **** 0,0003 0,0309 * 0,0007 0,0183 ****
-4 0,0005 *** 0,0212 **** 0,0004 0,0148 **** 0,0004 0,0313 * 0,0006 *** 0,0188 ****
-3 0,0030 0,0242 *** 0,0001 * 0,0149 **** 0,0110 0,0423 0,0003 * 0,0191 ****
-2 0,0046 ** 0,0288 *** 0,0100 0,0248 *** 0,0066 0,0488 0,0018 * 0,0210 ****
-1 0,0028 ** 0,0316 *** 0,0004 * 0,0252 *** 0,0013 0,0501 0,0044 * 0,0254 ****
0 0,1190 * 0,1506 * 0,0153 **** 0,0405 **** 0,3230 0,3731 0,0591 **** 0,0844 ****
1 0,0165 **** 0,1672 ** 0,0077 ** 0,0482 **** 0,0200 **** 0,3931 0,0179 **** 0,1023 ****
2 0,0066 **** 0,1738 ** 0,0032 **** 0,0514 **** 0,0046 ** 0,3978 0,0086 *** 0,1110 ****
3 0,0066 ** 0,1803 ** 0,0030 ** 0,0544 **** 0,0035 *** 0,4012 0,0091 ** 0,1201 ****
4 0,0037 **** 0,1840 ** 0,0028 * 0,0572 **** 0,0031 ** 0,4044 0,0043 *** 0,1244 ****
5 0,0027 **** 0,1867 ** 0,0021 **** 0,0593 **** 0,0010 *** 0,4053 0,0036 **** 0,1280 ****
6 0,0023 **** 0,1890 ** 0,0008 *** 0,0601 **** 0,0024 ** 0,4078 0,0027 **** 0,1307 ****
7 0,0023 ** 0,1912 ** 0,0012 0,0613 **** 0,0015 ** 0,4092 0,0030 * 0,1338 ****
8 0,0019 **** 0,1931 ** 0,0019 ** 0,0632 **** 0,0022 0,4114 0,0017 *** 0,1355 ****
9 0,0021 **** 0,1952 ** 0,0021 *** 0,0653 **** 0,0025 0,4139 0,0020 **** 0,1374 ****
10 0,0011 **** 0,1963 ** 0,0015 ** 0,0667 **** 0,0011 *** 0,4150 0,0009 **** 0,1383 ****
11 0,0015 **** 0,1978 ** 0,0020 ** 0,0687 **** 0,0022 0,4172 0,0010 **** 0,1393 ****
12 0,0034 * 0,2012 ** 0,0007 * 0,0694 **** 0,0089 0,4261 0,0018 *** 0,1411 ****
13 0,0057 0,2069 ** 0,0018 * 0,0712 **** 0,0167 0,4428 0,0018 ** 0,1429 ****
14 0,0014 **** 0,2082 ** 0,0019 ** 0,0731 **** 0,0004 ** 0,4433 0,0017 *** 0,1446 ****
15 0,0042 ** 0,2124 *** 0,0037 ** 0,0768 **** 0,0041 0,4474 0,0044 * 0,1490 ****
16 0,0025 *** 0,2150 *** 0,0018 ** 0,0786 **** 0,0042 0,4516 0,0020 *** 0,1510 ****
17 0,0012 *** 0,2161 *** 0,0005 ** 0,0791 **** 0,0013 * 0,4530 0,0013 ** 0,1523 ****
18 0,0024 * 0,2185 *** 0,0004 *** 0,0795 **** 0,0068 0,4598 0,0010 ** 0,1533 ****
19 0,0064 0,2248 ** 0,0014 0,0808 **** 0,0212 0,4809 0,0011 ** 0,1544 ****
20 0,0080 ** 0,2328 *** 0,0011 * 0,0820 **** 0,0265 * 0,5074 0,0017 ** 0,1561 ****
n 254 48 62 144
Significance indicators: *10%, **5%, ***1%, ****0,1%
Page 55 of 140 Figure 6: Market measure AAR and AAV, Denmark – initial sample
Figure 7: Market measure AAR and AAV, Norway – initial sample
Figure 8: Market measure AAR and AAV, Sweden – initial 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 0,002 0,004 0,006 0,008 0,010 0,012 0,014 0,016 0,018
-2%
0%
2%
4%
6%
8%
10%
12%
14%
16%
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
-0,010 0,040 0,090 0,140 0,190 0,240 0,290 0,340
-2%
0%
2%
4%
6%
8%
10%
12%
14%
16%
18%
20%
Day relative to event-date
AAVAAR
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 0,070
-2%
0%
2%
4%
6%
8%
10%
12%
14%
16%
18%
Day relative to event-date
AAV
AAR
AAR AAV
Page 56 of 140 Figure 9: Simple measure AAR and AAV, Denmark – initial sample
Figure 10: Simple measure AAR and AAV, Norway – initial sample
Figure 11: Simple measure AAR and AAV, Sweden – initial 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 0,002 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
-0,010 0,040 0,090 0,140 0,190 0,240 0,290 0,340
-5%
0%
5%
10%
15%
20%
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 0,070
-2%
0%
2%
4%
6%
8%
10%
12%
14%
16%
18%
Day relative to event-date
AAVAAR
AAR AAV
Page 57 of 140