When Firms Publicize Energy Management Projects 125
Dj = the number of trading day returns (220) used to estimate the
parameters of firm j.
Finally, the test statistic for the null hypothesis (H 0 ) that CAART 1 , T 2
equals zero is defined as follows:
ZT 1 ,T 2 = 1⁄ N Σ ZTj 1 ,T 2
j= 1
N
where
ZT 1 ,T 2 = 1⁄ QTj 1 ,T 2 Σ SARjt
t=T 1
T 2
and
(^) QT
1 ,T 2
j = T 2 – T 1 + 1 Dj– 2
Dj– 4