Month

2003-2007

2008-2012

CAR

StdDev

t-stat

Size

CAR

StdDev

t-stat

Size

12

0.031***

0.128

2.985

152

0.194***

0.142

9.578

49

24

−0.046***

0.130

−4.313

150

0.317***

0.101

19.586

39

36

0.075***

0.186

4.880

147

0.431***

0.091

24.970

28