Month

2003-2007

2008-2012

CAR

StdDev

t-stat

Size

CAR

StdDev

t-stat

Size

12

−0.106***

0.125

−15.883

351

−0.014***

0.102

−3.817

798

24

−0.052***

0.118

−8.312

351

−0.001

0.081

−0.261

519

36

0.050***

0.141

6.597

351

0.250***

0.250

34.942

171