This table reports the compounded buy-and-hold return (in percent) for the sample of firms included on the Council of Institutional Investors (CII) focus list for 12 months and 48 months prior to inclusion. The table also reports the mean difference between the CII portfolio and a benchmark portfolio corresponding to each sample year and matched on short-run prior performance and market capitalization, long-run prior performance and market capitalization, market-to-book ratio and market capitalization, two-digit SIC code and the S&P 500. Market capitalization and market-to-book are calculated as of the January prior to inclusion in the focus list. Compound buy-and-hold returns do not assume portfolio re-balancing. Sample size for the CII portfolio is shown in brackets. P-values for the two-tailed test are reported below the mean difference in parentheses. Significance levels are determined via bootstrapping from the reference portfolio.
| Reference Portfolio | Event Period |
1991 | 1992 | 1993 | 1994 | All Years |
| Council of Institutional Investors Focus List |
[-48,0] | -18.20% [N=16] |
44.12% [N=25] |
3.54% [N=55] |
11.2% [N=20] |
10.5% [N=116] |
| [-12,0] | 34.0% [N=16] |
13.7% [N=25] |
-7.1% [N=55] |
-15.1% [N=20] |
1.5% [N=116] |
|
| Short-Run Return Match and Size |
[-48,0] | -68.6% (0.001) |
-80.4% (0.008) |
-45.2% (0.001) |
-97.6% (0.001) |
-72.1% (0.001) |
| [-12,0] | 1.2% (0.099) |
-1.0% (0.543) |
-0.7% (0.988) |
0.2% (0.686) |
1.7% (0.167) |
|
| Long-Run Return Match and Size |
[-48,0] | -1.4% (0.065) |
-3.8% (0.40) |
-0.3% (0.48) |
-0.4% (0.72) |
-1.9% (0.53) |
| [-12,0] | 5.3% (0.494) |
4.3% (0.382) |
-18.5% (0.000) |
-15.0% (0.002) |
-9.3% (0.001) |
|
| Book-to-Market Match |
[-48,0] | -50.7% (0.001) |
-40.0% (0.040) |
-90.4% (0.001) |
-140.5% (0.001) |
-85.3% (0.001) |
| [-12,0] | -20.4% (0.018) |
-8.4% (0.081) |
-45.1% (0.001) |
-23.5% (0.001) |
-27.9% (0.001) |
|
| Industry Match | [-48,0] | -40.5% (0.060) |
-3.0% (0.487) |
-46.4% (0.001) |
-67.5% (0.040) |
-42.6% (0.001) |
| [-12,0] | -16.7% (0.071) |
2.8% (0.642) |
-36.8% (0.000) |
-15.5% (0.059) |
-20.4% (0.001) |
|
| S&P 500 | [-48,0] | -72.4% (0.001) |
-47.5% (0.052) |
-74.8% (0.001) |
-104.0% (0.001) |
-72.9% (0.001) |
| [-12,0] | -13.9% (0.165) |
-2.6% (0.613) |
-37.9% (0.001) |
-20.3% (0.002) |
-22.4% (0.001) |
