2. American Financial Group AFG 8/21/2018,Dividend Increase, Austin janansky

Goal #1: Perform an Event Study

• Based on the information in the attached document for your event, select the appropriate reference index for your firm (DJIA, Russell 2000, S&P500, NASDAQ Composite etc)
• Obtain the daily stock price data for your firm and the reference index for the 18 months prior to your event date and the 2 months after the event date (if possible).
• Calculate the daily returns to your stock and index
• Estimate the alpha (intercept), beta (slope), and sigma (steyx) for the estimation period [-252,-30].
• Calculate the daily expected returns for the event window [-5,5].
• Calculate the abnormal daily returns for your stock for the event window [-5,5].
• Use the calculated sigma to obtain the t-values for each abnormal return. Any t-value that has an absolute value >1.96 is considered statistically significant at the 95% level.

Goal #2; Conclusion

• Draw a conclusion based on your findings.Write 2-3 sentences (in your Excel sheet) that describes what you found and what your conclusion is about market efficiency for your stock.