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Abnormal returns The second column in Table 1 3 . 1 shows the monthly return on the British FTSE 1 0 0 index from January

Abnormal returns The second column in Table 13.1 shows the monthly return on the British FTSE 100 index from January 2015 through July 2017. The remaining columns show returns on the stocks of two firmsExecutive Cheese and Paddington Beer. Both firms announced their earnings in July 2017. Calculate the average abnormal return of the two stocks during the month of the earnings announcement. The earnings of one of these stocks slightly disappointed investors and the earnings of the other were slightly better than expected. Which was which?
(a) Run a regression using returns from January 2015 to June 2017 to find the alpha and beta for each stock
(b)Calculate the abnormal return of each of the 2 stocks on the event
month.
(c)The earnings of one of these stocks slightly disappointed investors and the earnings of the other were slightly better than expected. Which was which?
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