如下:
ABRET:cumulative abnormal returns computed as the excess firm returns over the CRSP value-weighted index during the three months ending 2days before the issuance of a management forecast.
ABRET是用来控制动量效应的控制变量,是某段时间的累计收益;我看不明白的是黑体字部分,“during the three months ending 2 days”表示的究竟是那一段时间呢?是三个月前的两天?还是其他什么?