$8.$ In a research paper published in Journal of Financial and Quantitative Analysis, Savor and Wilson

$(2013)$ find that $$Stock market average returns and Sharpe ratios are significantly higher

on days when important macroeconomic news about inflation, unemployment, or

interest rates is scheduled for announcement. The average announcement$-$day excess

return from $1958$ to $2009$ is $11\mathrm{.}4$ basis points $($bp$)$ versus $1\mathrm{.}1$ bp for all the other

days.$$

Assume you want to replicate this result. Provide a step by step instruction for this research.

$($data needed, how to test their hypothesis, etc.$)$