Dependent variable is cumulative returns for a 40-trading-day window after an earnings announcement. Independent variable of interest is a variable related to investor attention around the earnings announcement.
When I risk-adjust the return (using market model or various factor models), the significance of the coefficient of interest is much stronger than when I just use a simple abnormal return (firm return minus market return) for the dependent variable. If anything, I might have expected the opposite.
Any general thoughts on why the risk-adjusted returns gives a stronger result?