
The median rank for each firm j is given by
(10.9)
The average rank across all firms at time t is
(10.10)
The average rank across all firms for the event window T
1
to T
2
is
(10.11)
The rank z-statistic for the event window T
1
to T
2
is
(10.12)
XIII. ANNOUNCEMENT EFFECTS BY TYPE OF
ENFORCEMENT ACTIVITY
Table 10.4 summarizes market-model CAPEs for all firms subject to federal law
enforcement announcements in The Wall Street Journal during the 4-year
1992–95 period. CAPEs are categorized based upon the nature of enforcement
activity by the DOJ, FTC, and SEC, including informal investigations, formal
investigations, lawsuits filed, and settlements. Of primary interest ...