LONG-RUN IMPACTS OF UNIONS ON FIRMS: NEW EVIDENCE FROM FINANCIAL MARKETS, 1961-1999 Supplemental Online Appendix

A commonly used approach in long-run event-studies is the calendar time portfolio (CTP) approach developed by Jaffe (1974) and Mandelker (1974) and advocated by Fama (1998). For each calendar month we compute the return of an equally-weighted portfolio of companies that unionized in the last T months, where T is either 18 or 24 in our study. The return of this “unionization portfolio” is denoted Rut , where u indicates that the portfolio consists of companies where workers voted for unionization and t denotes the calendar month. The unionization portfolio is rolling, because companies with new unionization events are added in any given month, while firms without a unionization event within the last T months are dropped. The Fama-French three factor model (Fama and French, 1993) is used to compute the abnormal return of this portfolio: Rut −R f t = αu + bu(RMt −R f t)+ suSMBt + huHMLt + εut, (1)