13. On Monday, March 19, 2012, before the opening of the trading day, Apple announced plans to initiate a dividend and share repurchase program. Subject to declaration by the Board of Directors, the company was planning to initiate a quarterly dividend of $2.65 per share sometime in the fourth quarter of its fiscal 2012. Additionally, the Company's Board of Directors authorized a $10 billion share repurchase program commencing in the Company's fiscal 2013. The repurchase program was expected to be executed over three years, with the primary objective of neutralizing the impact of dilution from future employee equity grants and employee stock purchase programs. Excel (turn in an Excel printout of the marked borders, as the example file on BB shows): (i) Use Yahoo Finance to download daily prices of Apple's stock (Ticker: AAPL) and the NASDAQ Composite (Ticker: IXIC) from March 19, 2011 to March 23, 2012. (Use adj. close column) (ii) Calculate daily returns for Apple and the NASDAQ for the entire period. (iii) Use the market model to estimate Apple's alpha and beta from March 19, 2011 to March 14, 2012 (The Estimation Period"). (iv) Calculate the daily Abnormal Return on Apple's stock during the Event Window (3/15, 3/16, 3/19, 3/20, 3/21, 3/22, 3/23) (A [-2, +4] event window around the event day of 3/19). (v) Calculate the t-stat for each daily Abnormal Returns. Determine significance at the 5% level. (vi) Calculate the Cumulative Abnormal Return during the event window. Determine its significance at the 5% level. Word: (vii) What was the market response to Apple's announcement? How fast, in your estimation, did the market incorporate the announcement news into Apple's stock price? Explain your answer. 13. On Monday, March 19, 2012, before the opening of the trading day, Apple announced plans to initiate a dividend and share repurchase program. Subject to declaration by the Board of Directors, the company was planning to initiate a quarterly dividend of $2.65 per share sometime in the fourth quarter of its fiscal 2012. Additionally, the Company's Board of Directors authorized a $10 billion share repurchase program commencing in the Company's fiscal 2013. The repurchase program was expected to be executed over three years, with the primary objective of neutralizing the impact of dilution from future employee equity grants and employee stock purchase programs. Excel (turn in an Excel printout of the marked borders, as the example file on BB shows): (i) Use Yahoo Finance to download daily prices of Apple's stock (Ticker: AAPL) and the NASDAQ Composite (Ticker: IXIC) from March 19, 2011 to March 23, 2012. (Use adj. close column) (ii) Calculate daily returns for Apple and the NASDAQ for the entire period. (iii) Use the market model to estimate Apple's alpha and beta from March 19, 2011 to March 14, 2012 (The Estimation Period"). (iv) Calculate the daily Abnormal Return on Apple's stock during the Event Window (3/15, 3/16, 3/19, 3/20, 3/21, 3/22, 3/23) (A [-2, +4] event window around the event day of 3/19). (v) Calculate the t-stat for each daily Abnormal Returns. Determine significance at the 5% level. (vi) Calculate the Cumulative Abnormal Return during the event window. Determine its significance at the 5% level. Word: (vii) What was the market response to Apple's announcement? How fast, in your estimation, did the market incorporate the announcement news into Apple's stock price? Explain your
