Editing Abnormal return (section)

== Calculation ==
The calculation formula for the abnormal returns is as follows:<ref name=":0">{{Cite book|url=https://books.google.com/books?id=cqJoDgAAQBAJ|title=Innovation and Market Value. The Case of Tourism Enterprises|last=Szutowski|first=Dawid|date=2016|publisher=Difin|isbn=9788380852471|pages=153|language=en}}</ref>

<math>AR_{it}=R_{it}-E(R_{it})</math>

where:

AR<sub>it</sub> - abnormal return for firm i on day t

R<sub>it</sub> - actual return for firm i on day t

E(R<sub>it</sub>) – expected return for firm i on day t

A common practice is to standardise the abnormal returns with the use of the following formula:<ref>{{Cite journal|last=McWilliams, A.|first=Siegel, D.|date=1997|title=Event Studies in Management Research: Theoretical and Empirical Issues|journal=Academy of Management Journal|volume=40|issue=3|pages=626–657|doi=10.2307/257056|jstor=257056}}</ref>

<math>SAR_{it}=AR_{it}/SD_{it}</math>

where:

SAR<sub>it</sub> - standardised abnormal returns

SD<sub>it</sub> – standard deviation of the abnormal returns

The SD<sub>it</sub> is calculated with the use of the following formula:<ref name=":0" />

<math>SD_{it}=[S_i^2*(1+\frac{1}{T}*\frac{(R_{mt}-R_m)^2}{\textstyle \sum_{t=1}^T \displaystyle(R_{mt}-R_m)^2})]^{0,5}</math>

where:

S<sub>i</sub><sup>2</sup> – the residual variance for firm i,

R<sub>mt</sub> – the return on the stock market index on day t,

R<sub>m</sub> – the average return from the market portfolio in the estimation period,

T – the numbers of days in the estimation period.